Vidal Fernadez Montoro (Department d’ Economia. Universitat Jaume I. Campus del Riu Sec. E-12080 Castell?n (Spain))
Abstract
Rational Expectations models are tested here under the standard assumptions of the Expectations Hypothesis (EH) of interest rates. We examine the theoretical unbiasedness of the interest rates by predicting changes in the shorter spot rates. Unit root tests are applied and VAR systems are specified as a framework to apply Johansen’s Maximum Likelihood Cointegration Analysis. Homogeneity and exogeneity tests are also carried out. Finally, we provide some Vector Error Correction Models (VECM) to determine the significance of the main assertions of the EH. Our monetary transmission mechanism, the Spanish treasury bills played a very relevant role in the monetary policy applied in Spain in order to enter the EMU.
Download Info
To our knowledge, this item is not available for
download. To find whether it is available, there are three
options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page
whether it is in fact available.
3. Perform a search for a similarly titled item that would be
available.
Publisher Info
Article provided by Cyprus Economic Society and University of Cyprus in its journal Ekonomia.
For technical questions regarding this item, or to correct its listing, contact: (Panayiota Lyssiotou).
Related research
Keywords:
Find related papers by JEL classification: E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates