Modelling the german yield curve and testing the lucas critique, 1975-2001

• Carlos Santos ^[1] ; Maria-Alberta Oliveira ^[2]
  1. [1] Universidade Católica Portuguesa

     Universidade Católica Portuguesa

     Socorro, Portugal

     
  2. [2] Instituto Superior da Maia

     Instituto Superior da Maia

     Vermoim, Portugal

     
• Localización: Applied econometrics and international development, ISSN 1578-4487, Vol. 7, Nº. 1, 2007, págs. 53-64
• Idioma: inglés
• Enlaces
  • Texto completo (pdf)
• Resumen

  • In this paper, we build a model for the yield curve in Germany, from 1975 to 2001, and use it to test the Lucas Critique. We provide a first application of the new general-to-specific automatic model selection algorithm embodied in PcGets to term structure modelling, and use new super exogeneity tests.. Super exogeneity is rejected, so the model is vulnerable to the Lucas Critique. Inflation was not retained in the model selected for the spread, suggesting that inflation expectations are not relevant (for the short maturities considered) to forward interest rate movements.