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Why Are Real Interest Rates So High? / Zvi Bodie, Alex Kane, Robert L. McDonald.
- Format:
- Book
- Author/Creator:
- Bodie, Zvi.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w1141.
- NBER working paper series no. w1141
- Language:
- English
- Subjects (All):
- Interest.
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1983.
- Cambridge : National Bureau of Economic Research, 1983.
- Summary:
- This paper applies the Capital Asset Pricing Model to help explain the anomalous behavior of real interest rates during the last several years. Specifically,we are able to show that the increased volatility of bond prices since the change in Federal Reserve operating procedure in October 1979 has substantially increased the required real risk premium on long term bonds. We also consider and reject the possibility that increased risk alone accounts for the recent increase in the short-term real rate. Finally, we use the model to simulate the financial effects of a Federal debt maturity management operation.
- Notes:
- Print version record
- June 1983.
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