Money Market Rates and Implied CCAPM Rates: Some International Evidence
Working Papers from Georgetown University, Department of Economics
New Neoclassical Synthesis models equate the instrument of monetary policy to the implied CCAPM rate arising from an Euler equation. This paper identifies monetary policy shocks within six of the G7 countries and examines the movement of money market and implied CCAPM rates. The key result is that an increase in the nominal interest rate leads to a fall in the implied CCAPM rate. Incorporating habit still yields the same result. The findings suggest that the movement of these two rates implied by the transmission mechanism of monetary policy in NNS models cannot be reconciled through the consumption Euler equation.
Keywords: Consumption Euler equation; Monetary Policy Shocks; Transmission Mechanism. (search for similar items in EconPapers)
JEL-codes: E00 E43 E52 E58 (search for similar items in EconPapers)
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Journal Article: Money market rates and implied CCAPM rates: some international evidence (2005)
Working Paper: Money market rates and implied CCAPM rates: some international evidence (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:geo:guwopa:gueconwpa~02-02-06
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Roger Lagunoff Professor of Economics Georgetown University Department of Economics Washington, DC 20057-1036
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