The Ccapm Meets Euro-interest Rate Persistence, 1960-2000

Allen Head () and Gregor Smith

No 1250, Working Paper from Economics Department, Queen's University

Abstract: Euro-interest rates are well-known to be persistent, as are their differentials across countriesfor a given maturity. The international CCAPM implies that the rates are persistent because forecasts of national consumption growth or inflation are persistent too. Weexamine 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.

Keywords: Euro-interest rates; CCAPM (search for similar items in EconPapers)
JEL-codes: F30 G12 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2002-08
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https://www.econ.queensu.ca/sites/econ.queensu.ca/files/qed_wp_1250.pdf First version 2002 (application/pdf)

Related works:
Journal Article: The CCAPM meets Euro-interest rate persistence, 1960-2000 (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:1250

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