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Switching Regimes in the Term Structure of Interest Rates During U.S. Post-War: A case for the Lucas proof equilibrium?

dc.contributor.authorVázquez Pérez, Jesús ORCID
dc.date.accessioned2012-02-08T20:08:53Z
dc.date.available2012-02-08T20:08:53Z
dc.date.issued2002-08
dc.identifier.issn1988-088X
dc.identifier.urihttp://hdl.handle.net/10810/6809
dc.descriptionPublished as an article in: Studies in Nonlinear Dynamics & Econometrics, 2004, vol. 8, issue 1, pages 5.es
dc.description.abstractFarmer (1991) suggests that in a model in which there are multiple rational expectations (RE) equilibria agents may find it useful to coordinate their expectations in a unique RE equilibrium which is immune to the Lucas Critique. In this paper, we evaluate Lucas proof (LP) equilibrium performance in the context of the term structure of interest rates model by using post-war US data. Estimation results show that LP equilibrium exhibits some important features of the data that are not reproduced by the fundamental equilibrium. For instance, the short rate behaves as a random walk in a regime characterized by low conditional volatility, whereas the term spread Granger-causes changes in the short-rate in periods characterized by high conditional volatility.es
dc.description.sponsorshipFinancial support from Ministerio de Ciencia y Tecnología, Gobierno Vasco and Universidad del País Vasco (Spain) through projects BEC2000-1393, PI-1999-131 and 9/UPV00035.321-13511/2001, respectively, is gratefully acknowledged.es
dc.language.isoenges
dc.publisherUniversity of the Basque Country, Department of Foundations of Economic Analysis IIes
dc.relationinfo:eu-repo/grantAgreement/MCYT/BEC2000-1393
dc.relationinfo:eu-repo/grantAgreement/MCYT/PI-1999-131
dc.relation.ispartofseriesDFAEII 2002.33
dc.rightsinfo:eu-repo/semantics/openAccesses
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/3.0/*
dc.subjectLucas proofes
dc.subjectterm structurees
dc.subjectswitching-regimeses
dc.titleSwitching Regimes in the Term Structure of Interest Rates During U.S. Post-War: A case for the Lucas proof equilibrium?es
dc.typeinfo:eu-repo/semantics/workingPaperes
dc.rights.holderAttribution-NonCommercial-ShareAlike 3.0 Unported*
dc.subject.jelC32
dc.subject.jelE43
dc.identifier.repecRePEc:ehu:dfaeii:200233es
dc.departamentoesFundamentos del análisis económico IIes_ES
dc.departamentoeuEkonomia analisiaren oinarriak IIes_ES
dc.subject.categoriaECONOMICS, ECONOMETRICS AND FINANCE
dc.subject.categoriaMACROECONOMICS AND MONETARY ECONOMICS
dc.subject.categoriaMATHEMATICAL AND QUANTITATIVE METHODS


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