caa a22 4500 378913859 CHVBK 20180305123548.0 cr unu---uuuuu 161128e20040301xx s 000 0 eng 10.2202/1558-3708.1122 doi (NATIONALLICENCE)gruyter-10.2202/1558-3708.1122 Vázquez Jesús 1Universidad del País Vasco, jepvapej@bs.ehu.es Switching Regimes in the Term Structure of Interest Rates during U.S. Post-War: A Case for the Lucas Proof Equilibrium? [Elektronische Daten] [Jesús Vázquez] 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. ©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston Studies in Nonlinear Dynamics & Econometrics De Gruyter 8/1(2004-03-01) 8:1 2004 8 snde https://doi.org/10.2202/1558-3708.1122 text/html Onlinezugriff via DOI 1 research article jats NATIONALLICENCE 856 40 https://doi.org/10.2202/1558-3708.1122 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Vázquez Jesús 1Universidad del País Vasco, jepvapej@bs.ehu.es NATIONALLICENCE 773 0- Studies in Nonlinear Dynamics & Econometrics De Gruyter 8/1(2004-03-01) 8:1 2004 8 snde CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-gruyter