The CCAPM meets Euro-interest rate persistence, 1960-2000

• 成果类型: Article
• 署名作者: Head, AC; Smith, GW
• 署名单位: Queens University - Canada
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(02)00024-7
• 发表日期: 2003
• 页码: 349-366
• 关键词: Euro-interest rates; CCAPM

摘要

Euro-interest rates are well-known to be persistent, as are their differentials across countries for a given maturity. The international CCAPM implies that the rates are persistent because forecasts of national consumption growth or inflation are persistent too. We examine this prediction for a panel of countries. The standard CCAPM with power utility is augmented to allow for external habit, government consumption, and adaptive learning. In all cases, we find little evidence that the persistence in Euro-rates is consistent with the CCAPM. (C) 2002 Elsevier Science B.V. All rights reserved.