Regime-Switching Models and Test of the Expectations Theory of the Term Structure of Interest Rates in France (notice n° 468148)
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| fixed length control field | 01625cam a2200193 4500500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250121053445.0 |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | fre |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | dc |
| 100 10 - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Rautureau, Nicolas |
| Relator term | author |
| 245 00 - TITLE STATEMENT | |
| Title | Regime-Switching Models and Test of the Expectations Theory of the Term Structure of Interest Rates in France |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2004.<br/> |
| 500 ## - GENERAL NOTE | |
| General note | 37 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | 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-deutsch mark exchange rate on the empirical findings. |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Markov switching models |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | expectations theory |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | term structure of interest rates |
| 786 0# - DATA SOURCE ENTRY | |
| Note | Economie & prévision | o 163 | 2 | 2004-06-01 | p. 117-129 | 0249-4744 |
| 856 41 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://shs.cairn.info/journal-economie-et-prevision-1-2004-2-page-117?lang=en&redirect-ssocas=7080">https://shs.cairn.info/journal-economie-et-prevision-1-2004-2-page-117?lang=en&redirect-ssocas=7080</a> |
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