000			01625cam a2200193 4500500
005			20250121053445.0
041			_afre
042			_adc
100	1	0	_aRautureau, Nicolas _eauthor
245	0	0	_aRegime-Switching Models and Test of the Expectations Theory of the Term Structure of Interest Rates in France
260			_c2004.
500			_a37
520			_aEmpirical 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			_aMarkov switching models
690			_aexpectations theory
690			_aterm structure of interest rates
786	0		_nEconomie & prévision | o 163 | 2 | 2004-06-01 | p. 117-129 | 0249-4744
856	4	1	_uhttps://shs.cairn.info/journal-economie-et-prevision-1-2004-2-page-117?lang=en&redirect-ssocas=7080
999			_c468148 _d468148