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Représentation VAR et test de la théorie des anticipations de la structure par terme

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  • Jondeau, E.

Abstract

This paper deals with the implications of the expectations hypothesis of the term structure on the dynamics of interest rates, which are supposed to have a restricted VAR representation. Constraints on the parameters of the restricted VAR lead us to prefer an indirect estimation based on the error-correction model. This approach is applied to euro-rates over the period 1975-96. The main results are the following: the expectations theory is well accepted for French and UK rates but largely rejected for German and US rates. Classification-jel: E43.

Suggested Citation

  • Jondeau, E., 1997. "Représentation VAR et test de la théorie des anticipations de la structure par terme," Working papers 46, Banque de France.
    • Handle: RePEc:bfr:banfra:46
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    File URL: https://publications.banque-france.fr/sites/default/files/medias/documents/working-paper_46_1997.pdf
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