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Capital, Interest, and Aggregate Intertemporal Substitution

Mulligan, Casey B. - 2021

substitution over time --namely that 'the' interest rate in aggregate theory is not the promised yield on a Treasury Bill or Bond …

Persistent link: https://www.econbiz.de/10013247638

Persistent Liquidity Effects and Long Run Money Demand

Alvarez, Fernando - 2011

impact, and its persistence, depend on the ratio of two parameters: the long-run interest rate elasticity of money demand and … the intertemporal substitution elasticity. At the same time, the model has completely classical long-run predictions …

Persistent link: https://www.econbiz.de/10013118840

Bond Risk Premia in Consumption-Based Models

Creal, Drew - 2016

Workhorse Gaussian affine term structure models (ATSMs) attribute time-varying bond risk premia entirely to changing … preferences. The new model has an ATSM representation with analytical bond prices making it empirically tractable. We find that … time variation in bond term premia is predominantly driven by the price of risk, especially, the price of expected …

Persistent link: https://www.econbiz.de/10012993847

Stock Prices and Bond Yields : Can Their Comovements Be Explained in Terms of Present Value Models?

Shiller, Robert J. - 2009

Real stock prices seem to overreact to changes in long-term interest rates. That is, real stock prices drop when long-term interest rates rise (and rise when they fall) more than would be implied by a rational expectations present value model where expectations are based on a vector...

Persistent link: https://www.econbiz.de/10012767717

On the Determinants of the Value of Call Options on Default-Free Bonds

Buser, Stephen Aubrey - 2008

produce similar estimates of bond option values. This result is established for simple option forms with known closed …

Persistent link: https://www.econbiz.de/10012774565

Monetary Policy According to Hank

Kaplan, Greg - 2016

We revisit the transmission mechanism of monetary policy for household consumption in a Heterogeneous Agent New Keynesian (HANK) model. The model yields empirically realistic distributions of household wealth and marginal propensities to consume because of two key features: multiple assets with...

Persistent link: https://www.econbiz.de/10013001195

Consumer Sentiment : Its Rationality and Usefulness in Forecasting Expenditure - Evidence from the Michigan Micro Data

Souleles, Nicholas S. - 2021

This paper provides one of the first comprehensive analyses of the household data underlying the Michigan Index of Consumer Sentiment. This data is used to test the rationality of consumer expectations and to assess their usefulness in forecasting expenditure. The results can also be interpreted...

Persistent link: https://www.econbiz.de/10013222050

Interpretable Asset Markets?

Bansal, Ravi - 2010

In this paper we show that measures of economic uncertainty (conditional volatility of consumption) predict and are predicted by valuation ratios at long horizons. Further we document that asset valuations drop as economic uncertainty rises that is, financial markets dislike economic...

Persistent link: https://www.econbiz.de/10012762886

On the Predictive Power of Interest Rates and Interest Rate Spreads

Bernanke, Ben - 2021

A number of interest rates and interest rate spreads have been found to be useful in prediction the course of the economy. We compare the predictive power of some of these suggested interest rate variables for nine indicators of real activity and the inflation rate. Our results are consistent...

Persistent link: https://www.econbiz.de/10013219989

An Indicator of Future Inflation Extracted from the Steepness of the Interest Rate Yield Curve Along its Entire Length

Frankel, Jeffrey A.; Lown, Cara Sue - 2021

It is often suggested that the slope of the term structure of interest rates contains information about the expected future path of inflation. Mishkin (1990) has recently shown that the spread between the 12-month and 3-month interest rates helps to predict the difference between the 12-month...

Persistent link: https://www.econbiz.de/10013235610