General equilibrium real and nominal interest rates

• 全文链接
• 请求原文

作   者：

Abraham Lioui;  Patrice Poncet; 

作者机构：

Department of Economics;  Israel;  Bar Ilan University;  Ramat-Gan 52900; 

关键词：

real and nominal term structures;  money neutrality;  inflation risk premium;  production economy; 

期刊名称：

Journal of banking & finance

i s s n：

0378-4266

年卷期：

2004 年 28 卷 7 期

页   码：

1569-1595

页   码：

摘   要：

We derive the general equilibrium short-term real and nominal interest rates in a monetary economy affected by technological and monetary shocks and where the price level dynamics is endogenous. Assuming fairly general processes for technology and money supply, we show that an inherent feature of our equilibrium is that any real variable dynamics, in particular that of the short-term real interest rate, is driven by both monetary and real factors. This money non-neutrality is generic, as it does not stem from any friction such as price stickiness, or from a particular utility function. Non-neutrality obtains because the ex ante cost of real money holdings is random due to inflation uncertainty. We then analyze in depth a specialized version of this economy in which the state variables follow square root processes, and the representative investor has a log separable utility function. The short-term nominal rate dynamics we obtain encompasses most of the dynamics present in the literature, from Vasicek and CIR to recent quadratic and, more generally, non-linear interest rate models. Moreover, our results pave the way to several new nominal term structures.