Interpreting the Movements in Short-Term Interest Rates

Martin Evans and Paul Wachtel

The Journal of Business, 1992, vol. 65, issue 3, 395-429

Abstract: This article uses modern asset pricing theory to examine the behavior of short-term nominal interest rates over the past twenty-five years. The analysis investigates whether variation in the stochastic behavior of consumption growth and inflation can explain movements in the rate of interest. The model estimated allows for taste shocks to utility. The authors' results reveal that much of the month-to-month movement in nominal interest rates reflects changes in the real rate and the risk premia in addition to inflationary expectations. Copyright 1992 by University of Chicago Press.

Date: 1992
References: Add references at CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://dx.doi.org/10.1086/296577 full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ucp:jnlbus:v:65:y:1992:i:3:p:395-429

Access Statistics for this article

More articles in The Journal of Business from University of Chicago Press
Bibliographic data for series maintained by Journals Division ().