Autori
Canova, Fabio
Marinnan, Jane

Titolo
ICAP model, reconciling the term structure of interest rates with the consumption based
Periodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 1991 - Fascicolo: 59 - Pagina iniziale: 1 - Pagina finale: 41

This 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.



Testo completo: http://hdl.handle.net/1814/398

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