Interpreting the Movements in Short-Term Interest Rates
AbstractThis article uses modern asset pricing theory to examine the behavior of short-term nominal interest rates over the past twenty-five years. The analysis investigates whether variation in the stochastic behavior of consumption growth and inflation can explain movements in the rate of interest. The model estimated allows for taste shocks to utility. The authors' results reveal that much of the month-to-month movement in nominal interest rates reflects changes in the real rate and the risk premia in addition to inflationary expectations. Copyright 1992 by University of Chicago Press.
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Bibliographic InfoArticle provided by University of Chicago Press in its journal Journal of Business.
Volume (Year): 65 (1992)
Issue (Month): 3 (July)
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Web page: http://www.journals.uchicago.edu/JB/
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- Madureira, Leonardo, 2007. "The ex ante real rate and inflation premium under a habit consumption model," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 355-382, June.
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- Ali Kutan & Tansu Aksoy, 2003. "Public Information Arrival and the Fisher Effect in Emerging Markets: Evidence from Stock and Bond Markets in Turkey," Journal of Financial Services Research, Springer, vol. 23(3), pages 225-239, June.
- Ayelet Balsam & Shmuel Kandel & Ori Levy, . "Ex-Ante Real Rates and Inflation Risk Premiums: A Consumption-Based Approach," Rodney L. White Center for Financial Research Working Papers 22-98, Wharton School Rodney L. White Center for Financial Research.
- Pamela Jervis, 2007. "Inflation Compensation and Its Components in Chile," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 10(2), pages 27-56, August.
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