A choice-theoretic and information-oriented approach to the short-run characteristics of real and nominal interest rates
The paper adopts a choice-theoretic, information-oriented approach to the issue of stationarity of real interest rates. It is shown that a constant real rate of interest, even for short run and within the context of a simple two-market framework, requires overly demanding assumptions which are unlikely to be satisfied if efficient market hypothesis is explicitly considered. Such a model which indirectly supports the short-run variability of real interest rates in response to random information signals is tested empirically by utilizing multiple time series models for the 1959-87 observation period. The empirical results suggest a favourable interpretation of the model.
Year of publication: |
1995
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Authors: | Erol, Umit ; Balkan, Erol |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 2.1995, 6, p. 191-195
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Publisher: |
Taylor & Francis Journals |
Saved in:
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