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Measuring Interest Rates as Determined by Thrift and Productivity

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Author Info
Choi, Woon Gyu (Hong Kong U of Science and Technology)
Wen, Yi (Cornell U)
Abstract

This paper investigates the behavior of short-term real and nominal rates of interest by combining consumption-based and production-based models into a single general equilibrium framework. Based on the theoretical nonlinear relationships that link interest rates to both the marginal rates of substitution and transformation in a monetary production economy, we develop an estimation and simulation procedure to generate historical time series of interest rates. We find that the predictions of interest rates based on a general equilibrium theory are partially consistent with US data.

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File URL: http://www.arts.cornell.edu/econ/CAE/choi_wen.pdf
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Paper provided by Cornell University, Center for Analytic Economics in its series Working Papers with number 00-03.

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Date of creation: Jan 2008
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Handle: RePEc:ecl:corcae:00-03

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Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates

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