The Behavior of the Term Structure of Interest Rates in a Real Business Cycle Model (Classic Reprint)

Angebote / Angebote:

Excerpt from The Behavior of the Term Structure of Interest Rates in a Real Business Cycle Model This paper follows the tradition of real business cycle (rbc) theory as initiated by Kydland and Prescott A basic premise of this line of research is the view that aggregate macroeconomic models should be evaluated primarily with regard to their ability to replicate observed empirical regularities. Thus far, attention has focused principally on the ability of this class of models to approximate, satisfactorily, the matrix of variances and covariances of macroeconomic aggregates. Our work is an attempt to extend this modelling perspective to explain observed regularities in the financial markets. In particular we seek to determine the extent to which a very simple, reduced form rbc model is able to account for properties of the term structure of interest rates. Our specific context for this exercise is the simple one-good neoclassical stochastic growth model.1 This choice can be justified in a number of ways. (1) While it is by no means the most sophisticated construct available (see, e.g., Kydland and Prescott and, indeed. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully, any imperfections that remain are intentionally left to preserve the state of such historical works.