Autori
Canova, FabioMarinnan, JaneTitolo
ICAP model, reconciling the term structure of interest rates with the consumption basedPeriodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papersAnno:
1991 - Fascicolo:
59 - Pagina iniziale:
1 - Pagina finale:
41This paper attempts to explain some of the time series features of the low end of the term structure of US interest rates using a representative agent cash-in-advance consumption based ICAP model, modified to allow for time variation in the conditional variances of the exogenous
processes. The ability of the model to reproduce features of the actual data is evaluated using
a Monte Carlo simulation technique. The statistical properties of simulated yields and spreads
are shown to replicate important properties of the observed term structure of U.S. T-bills over
the sample 1964-1988.
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