Expectations and Behaviour of the Spanish Treasury Bill Rates Patterns in Neighboring Areas

Vidal Fernadez Montoro
Additional contact information
Vidal Fernadez Montoro: Department d’ Economia. Universitat Jaume I. Campus del Riu Sec. E-12080 Castell?n (Spain)

Ekonomia, 2001, vol. 5, issue 1, 61-83

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.

JEL-codes: E43 (search for similar items in EconPapers)
Date: 2001
References: View references in EconPapers View complete reference list from CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:ekn:ekonom:v:5:y:2001:i:1:p:61-83

Access Statistics for this article

More articles in Ekonomia from Cyprus Economic Society and University of Cyprus Contact information at EDIRC.
Bibliographic data for series maintained by Managing Editor ( this e-mail address is bad, please contact ).