Testing the expectations theory in a market of short-term financial assets
作者： Maria A. Prats , Arielle Beyaert
关键词: Interbank lending market 、 Finance 、 Monetary economics 、 Economics 、 Cointegration 、 Capital market line 、 Mark to model 、 Order (exchange) 、 Rational expectations 、 Financial economics 、 Yield curve 、 Present value
摘要: The aim of this paper is to test the Rational Expectations Theory for term structure interest rates in a short-term asset market. Campbell and Shiller (1987) apply cointegration theory present value models that case very long run financial assets. In paper, we reformulate their methodology order adapt it short-run We then Spanish interbank market over period 1986–1992, obtaining some evidence favour theory. results ratify institutional measures, were taken Spain second half 1980s, aimed at improving channels monetary transmission.
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