Money market rates and implied CCAPM rates: some international evidence
نویسندگان
چکیده
منابع مشابه
Money Market Rates And Implied CCAPM Rates: Some International Evidence∗
New Neoclassical Synthesis models equate the instrument of monetary policy to the implied CCAPM rate arising from a standard model with power utility. This paper identifies monetary policy shocks using a multi country dataset and examines the movement of money market and implied CCAPM rates. We find that an increase in the nominal interest rate leads to a fall in the implied CCAPM rate. Incorpo...
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ژورنال
عنوان ژورنال: The Quarterly Review of Economics and Finance
سال: 2005
ISSN: 1062-9769
DOI: 10.1016/j.qref.2004.05.011