The Term Structure of Interest Rates in a Simple Stochastic Growth Model: Evidence from Australian Data |
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A₁ asset pricing model assume Bernanke and Blinder bivariate VAR model Breedon C₁ capital consumption Ct+n dynamic equilibrium econometric economic activity empirical equilibrium approach examine the predictive Federal Funds Rate framework future output growth future real activity Granger causality test Granger cause Harvey Ilt 1/n impulse responses interest rate spreads intertemporal log utility long term rate Lütkepohl and Reimers measures of spread monetary policy P.Maitra period and substitute Plosser and Rouwenhorst predictive content predictive power production function rates and real Rational Expectations real economic growth real output growth real term structure relationship returns to scale Rouwenhorst 1994 Salyer short and long short end short rate short term interest short term rate Simple Stochastic Growth slope Statistic P-value stochastic growth model structure of interest Take the logs term interest rates test results theoretical unit root var,(In variance decomposition vector autoregression volatile Y₁ Y₁+1 yield curve yield spread Yt+n