Switching Regimes in the Term Structure of Interest Rates during U.S. Post-War: A Case for the Lucas Proof Equilibrium?
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| 024 | 7 | 0 | |a 10.2202/1558-3708.1122 |2 doi |
| 035 | |a (NATIONALLICENCE)gruyter-10.2202/1558-3708.1122 | ||
| 100 | 1 | |a Vázquez |D Jesús |u 1Universidad del País Vasco, jepvapej@bs.ehu.es | |
| 245 | 1 | 0 | |a Switching Regimes in the Term Structure of Interest Rates during U.S. Post-War: A Case for the Lucas Proof Equilibrium? |h [Elektronische Daten] |c [Jesús Vázquez] |
| 520 | 3 | |a Farmer (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. | |
| 540 | |a ©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston | ||
| 773 | 0 | |t Studies in Nonlinear Dynamics & Econometrics |d De Gruyter |g 8/1(2004-03-01) |q 8:1 |1 2004 |2 8 |o snde | |
| 856 | 4 | 0 | |u https://doi.org/10.2202/1558-3708.1122 |q text/html |z Onlinezugriff via DOI |
| 908 | |D 1 |a research article |2 jats | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.2202/1558-3708.1122 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 100 |E 1- |a Vázquez |D Jesús |u 1Universidad del País Vasco, jepvapej@bs.ehu.es | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Studies in Nonlinear Dynamics & Econometrics |d De Gruyter |g 8/1(2004-03-01) |q 8:1 |1 2004 |2 8 |o snde | ||
| 900 | 7 | |b CC0 |u http://creativecommons.org/publicdomain/zero/1.0 |2 nationallicence | |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-gruyter | ||