Accounting for the relationship between money and interest rates
Accounting for the relationship between money and interest rates
In time-series from the United States, the relationship between the money to income ratio and the nominal interest rate is a negative and stable one. In Swedish data, there is no such stable relationship. In this paper, we argue that this difference can be explained by the differences in the shock processes that have hit the two countries. Using a dynamic general equilibrium model driven by shock processes estimated to fit the two countries, we find that we can account for the main properties of the data remarkably well
money, nominal interest rates, simulated Method of moments
545-571
Klein, Paul
feea4bea-ca95-41ce-b72c-92b7d05247b1
Magnus, Jonsson
d4762490-f31d-423b-b88e-3b0ed2341b5f
2006
Klein, Paul
feea4bea-ca95-41ce-b72c-92b7d05247b1
Magnus, Jonsson
d4762490-f31d-423b-b88e-3b0ed2341b5f
Klein, Paul and Magnus, Jonsson
(2006)
Accounting for the relationship between money and interest rates.
Macroeconomic Dynamics, 10 (4), .
(doi:10.1017/S1365100506050279).
Abstract
In time-series from the United States, the relationship between the money to income ratio and the nominal interest rate is a negative and stable one. In Swedish data, there is no such stable relationship. In this paper, we argue that this difference can be explained by the differences in the shock processes that have hit the two countries. Using a dynamic general equilibrium model driven by shock processes estimated to fit the two countries, we find that we can account for the main properties of the data remarkably well
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Published date: 2006
Keywords:
money, nominal interest rates, simulated Method of moments
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Local EPrints ID: 188409
URI: http://eprints.soton.ac.uk/id/eprint/188409
ISSN: 1365-1005
PURE UUID: e32477b7-4acd-4ccd-b2a6-b6172d9f3f08
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Date deposited: 01 Jun 2011 08:47
Last modified: 14 Mar 2024 03:31
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Author:
Paul Klein
Author:
Jonsson Magnus
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