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• W2010808557 abstract "In order to evaluate the efficiency of the monetary transmission mechanism, we develop the formulas for testing rational expectations theory in the term structure of interest rates with VAR models of stochastically switching regimes in which all the parameters are regime dependent. These formulas are obtained for the strict version of rational expectations as well as for the case where measurement errors are assumed in the expectations relationship. They are extensible to other contexts that involve variables linked by rational-expectations behaviours. The testing procedure is implemented on interest rates of the Spanish inter-bank money market. Measurement errors must be assumed to find signs favourable to the theory." @default.
• W2010808557 created "2016-06-24" @default.
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• W2010808557 creator A5077140653 @default.
• W2010808557 date "2009-02-01" @default.
• W2010808557 modified "2023-10-04" @default.
• W2010808557 title "Markov-switching models, rational expectations and the term structure of interest rates" @default.
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• W2010808557 doi "https://doi.org/10.1080/00036840601007195" @default.
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