Esset Prices And Interest Rates In Cash-In-Advance Models
The authors develop a method to solve and simulate cash-in-advance models of money and asset prices. They calibrate the models to U.S. data spanning the period 1890-1987 and study some empirical regularities observed over this period. The phenomena of interest include the average level of stock returns and returns on nominal bonds, the covariation of realized real interest rates and real asset returns with inflation, and the ability of nominal interest rates to predict inflation and nominal stock returns. Copyright 1991 by University of Chicago Press.
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|Date of creation:||1989|
|Contact details of provider:|| Postal: UNIVERSITY OF STOCKHOLM, INSTITUTE FOR INTERNATIONAL ECONOMIC STUDIES, S- 106 91 STOCKHOLM SWEDEN.|
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