English, Article, Journal or magazine article edition: Money market rates and implied CCAPM rates: some international evidence Yamin Ahmad

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Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Money market rates and implied CCAPM rates: some international evidence
Author
  • Yamin Ahmad
Physical Description
  • preprint
Notes
  • 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.
  • Consumption Euler equation, Monetary Policy Shocks, Transmission Mechanism.
  • RePEc:geo:guwopa:gueconwpa~02-02-06
  • RePEc:mmf:mmfc03:1
Language
  • English
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