Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/67857
Authors: 
Head, Allen C.
Smith, Gregor W.
Year of Publication: 
2002
Series/Report no.: 
Queen's Economics Department Working Paper 1250
Abstract: 
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.
Subjects: 
Euro-interest rates
CCAPM
JEL: 
F30
G12
Document Type: 
Working Paper

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