Money market rates and implied CCAPM rates: some international evidence
Abstract
New Neoclassical Synthesis models equate the instrument of monetary policy to the implied CCAPM rate arising from an Euler equation. This paper identifies monetary policy shocks within six of the G7 countries and examines the movement of money market and implied CCAPM rates. The key result is that an increase in the nominal interest rate leads to a fall in the implied CCAPM rate. Incorporating habit still yields the same result. The findings suggest that the movement of these two rates implied by the transmission mechanism of monetary policy in NNS models cannot be reconciled through the consumption Euler equation.(This abstract was borrowed from another version of this item.)
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Paper provided by Money Macro and Finance Research Group in its series Money Macro and Finance (MMF) Research Group Conference 2003 with number 1.Length:
Date of creation: 27 Sep 2004
Date of revision:
Handle: RePEc:mmf:mmfc03:1
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Web page: http://www.essex.ac.uk/afm/mmf/index.html
Related research
Keywords:Other versions of this item:
- Ahmad, Yamin, 2005. "Money market rates and implied CCAPM rates: some international evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 699-729, September.
- Yamin Ahmad, 2002. "Money Market Rates and Implied CCAPM Rates: Some International Evidence," Working Papers gueconwpa~02-02-06, Georgetown University, Department of Economics.
- E00 - Macroeconomics and Monetary Economics - - General - - - General
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E - Macroeconomics and Monetary Economics
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
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Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
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