English, Article, Journal or magazine article edition: Asset Prices and Interest Rates in Cash-In-Advance Models Alberto Giovannini; Pamela Labadie

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Bookmark: http://trove.nla.gov.au/version/141413
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Asset Prices and Interest Rates in Cash-In-Advance Models
Author
  • Alberto Giovannini
  • Pamela Labadie
Physical Description
  • preprint
Notes
  • This paper develops a method to solve and simulate cash-in-advance models of money and asset prices. The models are calibrated to US data spanning the period from 1890 to 1987 and are used to study some empirical regularities observed in the US data over this period. The phenomena which are the focus of the paper include the average level of stock returns and returns on nominal bonds, the covariation of realized real interest rates and real asset returns with inflation, and the ability of nominal interest rates to predict inflation and nominal stock returns.
  • RePEc:nbr:nberwo:3109
Language
  • English
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