haku: @freeterm Volatility / yhteensä: 1
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| Tekijä: | Koedijk, K. Kool, C. Nissen, F. |
| Otsikko: | Real interest rates and shifts in macroeconomic volatility |
| Lehti: | Journal of Empirical Finance
1998 : SEP, VOL. 5:3, p. 241-261 |
| Asiasana: | Interest rates Macroeconomics |
| Vapaa asiasana: | Volatility |
| Kieli: | eng |
| Tiivistelmä: | The research reported until now indicates that the relation btw. nominal interest rates and future inflation is country and period dependent. In the paper, the relation btw. the short-term interest rate and inflation by means of an intertemporal consumption capital asset pricing model is investigated, resulting in a generalized Fisher equation. In the equation, the nominal interest rate is a function of inflation and the conditional variances of money growth and industrial production growth. The conditional variances are calculated using both the multi state Kalman filter model and the multivariate stochastic volatility model. These methods allow for occasional level shifts in our proxies for macroeconomic uncertainty. The results of the study indicate that it is important to incorporate monetary uncertainty represented by a proxy of the conditional variance of money growth to explain shifts in the real interest rate. |
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