Expectations and the behaviour of Spanish treasury bill rates
Expectations and the behaviour of Spanish treasury bill rates
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 spread of 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 VECM are coherent with the EH. We conclude that, by providing stability and strengthening the 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.
University of Southampton
Montoro, V.F.
e79f1da4-d97d-48a9-9205-88311e21b86e
2001
Montoro, V.F.
e79f1da4-d97d-48a9-9205-88311e21b86e
Montoro, V.F.
(2001)
Expectations and the behaviour of Spanish treasury bill rates
(Discussion Papers in Economics and Econometrics, 112)
University of Southampton
Record type:
Monograph
(Discussion Paper)
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 spread of 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 VECM are coherent with the EH. We conclude that, by providing stability and strengthening the 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.
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Published date: 2001
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Local EPrints ID: 33105
URI: http://eprints.soton.ac.uk/id/eprint/33105
PURE UUID: 099bee48-634e-4730-8582-a31225f09a8f
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Date deposited: 18 May 2006
Last modified: 15 Mar 2024 07:42
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Author:
V.F. Montoro
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