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| Author: | Beyaert, A. Pérez-Castejón, J. J. |
| Title: | Switching-regime models in the Spanish inter-bank market |
| Journal: | European Journal of Finance
2000 : JUN, VOL. 6:2, p. 93-112 |
| Index terms: | Spain Term structure of interest rates Rational expectations Banking Markov chains Mathematical models |
| Language: | eng |
| Abstract: | Nonlinear present value models are adjusted to data from the Spanish inter-bank market between 1986 and 1992, with the ultimate objective of testing the rational expectations hypothesis of the terms structure of the interest rates. The nonlinearity stems from using models with two stochastically switching regimes. The models are submitted to various specification tests and are compared with linear present value models. |
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