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The interest rate determination when economic variables are partially observable
http://hdl.handle.net/10131/00014149
http://hdl.handle.net/10131/000141498133f03d-e86f-4535-970a-ce53da3641b1
名前 / ファイル | ライセンス | アクション |
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partial_observability_JIFMIM_final.pdf (1.2 MB)
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Item type | 学術雑誌論文 / Journal Article(1) | |||||
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公開日 | 2021-12-21 | |||||
タイトル | ||||||
タイトル | The interest rate determination when economic variables are partially observable | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Term structures, Incomplete information, Dynamic general equilibrium, Exchange economy, Kalman filter | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
資源タイプ | journal article | |||||
著者 |
Morita, Hiroshi
× Morita, Hiroshi× Okimoto Tatsuyoshi |
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著者所属 | ||||||
Faculty of Business and Administration, Yokohama National University | ||||||
著者所属 | ||||||
Crawford School of Public Policy, Australian National University and Visiting Fellow, Research Institute of Economy, Trade and Industry (RIETI) | ||||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | 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. | |||||
書誌情報 |
Journal of International Financial Markets, Institutions and Money 巻 72, p. 101323, 発行日 2021-03-10 |
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ISSN | ||||||
収録物識別子タイプ | ISSN | |||||
収録物識別子 | 10424431 | |||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11532798 | |||||
DOI | ||||||
関連タイプ | isVersionOf | |||||
識別子タイプ | DOI | |||||
関連識別子 | info:doi/10.1016/j.intfin.2021.101323 | |||||
著者版フラグ | ||||||
出版タイプ | AM | |||||
出版タイプResource | http://purl.org/coar/version/c_ab4af688f83e57aa | |||||
出版者 | ||||||
出版者 | Elsevier | |||||
関係URI | ||||||
識別子タイプ | DOI | |||||
関連識別子 | https://doi.org/10.1016/j.intfin.2021.101323 | |||||
関連名称 | https://doi.org/10.1016/j.intfin.2021.101323 |