A Modern Look At Asset Pricing and Short-Term Interest Rates / Martin D. Evans, Paul Wachtel.

Format:

Book

Author/Creator:

Evans, Martin D.

Contributor:

National Bureau of Economic Research.

Wachtel, Paul.

Series:

Working Paper Series (National Bureau of Economic Research) no. w3245.

NBER working paper series no. w3245

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1990.

Summary:

This paper uses modern asset pricing theory to examine the behavior of short-term nominal interest rates over the past 25 years. The analysis investigates whether variation in the stochastic behavior of output and inflation can explain movements in the rate of interest. Our results reveal that much of the month to month movement in nominal interest rates reflects changes in the real rate and the risk premia rather than inflationary expectations.

Notes:

Print version record

January 1990.