Measuring Interest Rates as Determined by Thrift and Productivity

Woon Gyu Choi and Yi Wen

Working Papers from Cornell University, Center for Analytic Economics

Abstract: This paper investigates the behavior of short-term real and nominal rates of interest by combining consumption-based and production-based models into a single general equilibrium framework. Based on the theoretical nonlinear relationships that link interest rates to both the marginal rates of substitution and transformation in a monetary production economy, we develop an estimation and simulation procedure to generate historical time series of interest rates. We find that the predictions of interest rates based on a general equilibrium theory are partially consistent with US data.

JEL-codes: C22 (search for similar items in EconPapers)
Date: 2000-01
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https://cae.economics.cornell.edu/choi_wen.pdf

Related works:
Journal Article: Measuring Interest Rates as Determined by Thrift and Productivity (2007)
Working Paper: Measuring interest rates as determined by thrift and productivity (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:ecl:corcae:00-03

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