Modèles à changement de régime et test de la théorie des anticipations rationnelles de la structure par terme des taux d'intérêt en France

Nicolas Rautureau

Economie & Prévision, 2004, vol. 163, issue 2, 117-129

Abstract: Empirical studies of long-term interest rate behavior using the Campbell-Shiller (1987) methodology generally observe spread overreaction compared with the movements implied by the expectations theory of the term structure of interest rates, especially for the United States. However, this finding is based on a particular specification of short-term interest rate behavior. This paper addresses two questions. First of all, we look at whether the use of a Markov switching VAR model improves the acceptance of the theory for France by taking into account any regime shifts in the stochastic process followed by the vector autoregression. We then study the effect of macroeconomic factors on the division of the period between the two states. We find that Markov chain models improve the statistical acceptance of the expectations theory and identify the effect of the French franc-deutschmark exchange rate on the empirical findings.

Keywords: term structure of interest rates; expectations theory; Markov switching models (search for similar items in EconPapers)
Date: 2004
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.cairn.info/load_pdf.php?ID_ARTICLE=ECOP_163_0117 (application/pdf)
http://www.cairn.info/revue-economie-et-prevision-1-2004-2-page-117.htm (text/html)
free

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cai:ecoldc:ecop_163_0117

Access Statistics for this article

More articles in Economie & Prévision from La Documentation Française
Bibliographic data for series maintained by Jean-Baptiste de Vathaire ().