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A simple long-memory equilibrium interest rate model

Authors :
Duan, JC
Jacobs, K.
Duan, JC
Jacobs, K.
Publication Year :
1996

Abstract

In this article, we assume a fractionally integrated GARCH dynamic for the aggregate consumption growth rate and use the Euler equation to derive a long-memory equilibrium interest rate process. This simple model links together two strains of seemingly unrelated empirical findings: the long-memory property exhibited by interest rates on the one hand and the fractionally integrated volatility dynamic of market portfolio returns on the other.

Details

Database :
OAIster
Notes :
English
Publication Type :
Electronic Resource
Accession number :
edsoai.ocn895576441
Document Type :
Electronic Resource