Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/67857 
Erscheinungsjahr: 
2002
Schriftenreihe/Nr.: 
Queen's Economics Department Working Paper No. 1250
Verlag: 
Queen's University, Department of Economics, Kingston (Ontario)
Zusammenfassung: 
Euro-interest rates are well-known to be persistent, as are their differentials across countries for a given maturity. The international CCAPM implies that the rates are persistent because forecasts of national consumption growth or inflation are persistent too. We examine this prediction for a panel of countries. The standard CCAPM with power utility is augmented to allow for external habit, government consumption, and adaptive learning. In all cases, we find little evidence that the persistence in Euro-rates is consistent with the CCAPM.
Schlagwörter: 
Euro-interest rates
CCAPM
JEL: 
F30
G12
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
283.9 kB





Publikationen in EconStor sind urheberrechtlich geschützt.