Repr sentation VAR et test de la th orie des anticipations de la structure par terme

Eric Jondeau

Working papers from Banque de France

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.

Keywords: Expectations hypothesis; Restricted VAR representation; formal test. (search for similar items in EconPapers)
Pages: 21 pages
Date: 1997
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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:46

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