The real interest rate: An empirical investigation

نویسندگان

چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

An Empirical Investigation of the Forward Interest Rate Term Structure

In this paper we study empirically the Forward Rate Curve (frc) of 5 different currencies. We confirm and extend the findings of our previous investigation of the U.S. Forward Rate Curve. In particular, the average frc follows a square-root law, with a prefactor related to the spot volatility, suggesting a Value-at-Risk like pricing. We find a striking correlation between the instantaneous frc ...

متن کامل

Interest rate derivatives at commercial banks: An empirical investigation ¬リニ

I analyze the effects of bank characteristics and macroeconomic shocks on interest rate riskmanagement behavior of commercial banks. My findings are consistent with hedging theories based on cost of financial distress and costly external financing. Banks with higher probability of financial distress manage their interest rate risk more aggressively, both by means of on-balance sheet and offbala...

متن کامل

Is Real Interest Rate Risk Priced? Theory and Empirical Evidence

We propose a model in which real interest rates respond to both expected consumption growth and time preferences. Exposures to future consumption growth and time preference interest rate shocks are both priced relative to the Capital Asset Pricing Model (CAPM) and the Consumption Capital Asset Pricing Model (CCAPM). However, the two types of interest rate risk have different prices, and when el...

متن کامل

- term , real interest rate

The stock versus flow effect of the federal debt/deficit on a real interest rate is examined in a reduced-form equation. The evidence shows a positive and significant linkage between the federal debt and an ex-post, taxadjusted, short-term, real interest rate.

متن کامل

Is Long Memory Necessary? An Empirical Investigation of Nonnegative Interest Rate Processes

This paper analyzes a class of nonnegative processes for the short-term interest rate. The dynamics of interest rates and yields are driven by the dynamics of the conditional volatility of the pricing kernel. We study Markovian interest rate processes as well as more general non-Markovian processes that display “short”and “long”memory. These processes also display heteroskedasticity patterns th...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Carnegie-Rochester Conference Series on Public Policy

سال: 1981

ISSN: 0167-2231

DOI: 10.1016/0167-2231(81)90022-1