Faculty of Business and Administration, Yokohama National University
Crawford School of Public Policy, Australian National University and Visiting Fellow, Research Institute of Economy, Trade and Industry (RIETI)
抄録
While recent studies based on factor models with no-arbitrage restrictions provide evidence of a positive correlation between the nominal interest rates and real activity, there are few dynamic general equilibrium models which can successfully explain this positive relationship. This paper provides a dynamic general equilibrium model that naturally generates a positive correlation between the nominal interest rates and excess consumption. To this end, we focus on the partial observability of economic variables in a pure exchange economy and derive a closed form solution for two-factor affine term structure model. Our empirical analysis based on the results indeed indicates the positive correlation between the nominal interest rates and excess consumption. Moreover, the time series of the model-implied nominal yield captures many of the short- and long-run fluctuations in the actual data.
雑誌名
Journal of International Financial Markets, Institutions and Money
The interest rate determination when economic variables are partially observable
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partial_observability_JIFMIM_final.pdf
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