Asset Prices and Interest Rates in Cash-in-Advance Models
1989 (English)Report (Other academic)
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.
Place, publisher, year, edition, pages
Stockholm: IIES , 1989. , 57 p.
Seminar Paper / Institute for International Economic Studies, Stockholm University, ISSN 0347-8769 ; 456
IdentifiersURN: urn:nbn:se:su:diva-41759OAI: oai:DiVA.org:su-41759DiVA: diva2:337674
Published in connection with a visit at the IIES.2010-08-092010-08-092010-08-09