A Modern Look At Asset Pricing and Short-Term Interest Rates

Martin D. Evans, Paul Wachtel

This paper uses modern asset pricing theory to examine the behavior of short-term nominal interest rates over the past 25 years. The analysis investigates whether variation in the stochastic behavior of output and inflation can explain movements in the rate of interest. Our results reveal that much of the month to month movement in nominal interest rates reflects changes in the real rate and the risk premia rather than inflationary expectations

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Year of publication:	January 1990
Authors:	Evans, Martin D.
Other Persons:	Wachtel, Paul (contributor)
Institutions:	National Bureau of Economic Research (contributor)
Publisher:	Cambridge, Mass : National Bureau of Economic Research
Subject:	Zins \| Interest rate \| CAPM \| Zinsstruktur \| Yield curve \| Theorie \| Theory \| Börsenkurs \| Share price

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Extent:	1 Online-Ressource
Series:	NBER working paper series ; no. w3245
Type of publication:	Book / Working Paper
Language:	English
Notes:	Mode of access: World Wide Web System requirements: Adobe [Acrobat] Reader required for PDF files Hardcopy version available to institutional subscribers.
Other identifiers:	10.3386/w3245 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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