Testing the expectations theory in a market of short-term financial assets
The aim of this paper is to test the Rational Expectations Theory for the term structure of interest rates in a short-term asset market. Campbell and Shiller (1987) apply cointegration theory to present value models to test that theory for the case of very long run financial assets. In this paper, we reformulate their methodology in order to adapt it to the case of short-run assets. We then apply it to the Spanish interbank market over the period 1986-1992, obtaining some evidence in favour of the theory. The results ratify the institutional measures, that were taken in Spain in the second half of the 1980s, aimed at improving the channels of monetary transmission.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 8 (1998)
Issue (Month): 2 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAFE20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAFE20|
When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:8:y:1998:i:2:p:101-109. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.