Registro completo de metadatos
Campo DC | Valor |
---|---|
dc.contributor.author | Restoy, Fernando |
dc.date.accessioned | 2019-08-10T17:16:15Z |
dc.date.available | 2019-08-10T17:16:15Z |
dc.date.issued | 1992-03-03 |
dc.identifier.isbn | ISBN: 8477931453 |
dc.identifier.uri | https://repositorio.bde.es/handle/123456789/6463 |
dc.description.abstract | This paper analyzes the implications of a general representative agent intertemporal asset pricing model on the determination of the short term interest rates. The model includes an extension of the Non-expected Utility Isoelastic Preferences that incorporates non-separability between private consumption and government expenditure. The model yields a generalized Fisher equation where the nominal interest rates are explained by the expected depreciation of the purchasing power of money, an endogenously determined required risk free rate and an inflation risk premium. The econometric estimations suggest that the common rejection of the Fisher hypothesis can be, at least, partially explained by the traditional use of ad|hoc misspecified models. On the other hand, while the inflation risk premium is estimated to be small relative to the ex-ante real interest rate, its magnitude is substantially higher than the one obtained under the standard single-good expected utility models |
dc.format.extent | 48 p. |
dc.language.iso | en |
dc.publisher | Banco de España. Servicio de Estudios |
dc.relation.ispartof | Documentos de Trabajo / Banco de España, 9206 |
dc.rights | Reconocimiento-NoComercial-CompartirIgual 4.0 Internacional (CC BY-NC-SA 4.0) |
dc.rights | In Copyright - Non Commercial Use Permitted |
dc.rights.uri | https://creativecommons.org/licenses/by-nc-sa/4.0/deed.es_ES |
dc.rights.uri | http://rightsstatements.org/vocab/InC-NC/1.0/ |
dc.title | Intertemporal substitution, risk aversion and short term interest rates |
dc.type | Documento de trabajo |
dc.identifier.bdebib | 000065409 |
dc.identifier.bdepub | DTRA-199206-eng |
dc.subject.bde | Producción y mercado |
dc.subject.bde | Consumo |
dc.subject.bde | Mercados de dinero |
dc.publisher.bde | Madrid : Banco de España. Servicio de Estudios, 1992 |