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 InfoPaper provided by Queen's University, Department of Economics in its series Working Papers with number 1250.
Length: 24 pages
Date of creation: Aug 2002
Date of revision:
Publication status: forthcoming in the Journal of International Economics
Euro-interest rates; CCAPM;
Other versions of this item:
- Head, Allen C. & Smith, Gregor W., 2003. "The CCAPM meets Euro-interest rate persistence, 1960-2000," Journal of International Economics, Elsevier, vol. 59(2), pages 349-366, March.
- F30 - International Economics - - International Finance - - - General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
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