Measuring interest rates as determined by thrift and productivity

Woon Gyu Choi and Yi Wen

No 2005-037, Working Papers from Federal Reserve Bank of St. Louis

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.

Keywords: Interest; rates (search for similar items in EconPapers)
Date: 2005
New Economics Papers: this item is included in nep-mac
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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 (2000)
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