The CCAPM meets Euro-interest rate persistence, 1960-2000
AbstractEuro-interest rates are well-known to be persistent, as are their differentials across countries for a given maturity. The international CCAPM implies that the rates are persistent because forecasts of national consumption growth or inflation are persistent too. We examine this prediction for a panel of countries. The standard CCAPM with power utility is augmented to allow for external habit, government consumption, and adaptive learning. In all cases, we find little evidence that the persistence in Euro-rates is consistent with the CCAPM.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of International Economics.
Volume (Year): 59 (2003)
Issue (Month): 2 (March)
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Web page: http://www.elsevier.com/locate/inca/505552
Other versions of this item:
- Allen C. Head & Gregor W. Smith, 2002. "The CCAPM Meets Euro-Interest Rate Persistence, 1960-2000," Working Papers 1250, Queen's University, Department of Economics.
- F30 - International Economics - - International Finance - - - General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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