Equilibrium implications of interest rate smoothing

DOI10.1080/14697688.2019.1645346zbMath1466.91356OpenAlexW2982466613MaRDI QIDQ4991031

Rodolfo Prieto, Diogo Duarte

Publication date: 2 June 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2019.1645346

zbMATH Keywords

quantitative easinglong-term growthdynamic monetary equilibriumMcCallum rulenominal spread

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Shock elasticities and impulse responses
• Production technologies in stochastic continuous time models
• Risk premia in general equilibrium
• Money and asset prices in a continuous-time Lucas and Stokey cash-in-advance economy
• Solving, estimating, and testing a nonlinear stochastic equilibrium model, with an example of the asset returns and inflation relationship
• Inflation and Asset Prices in an Exchange Economy
• Asset Prices in an Exchange Economy with Habit Formation
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Optimal Interest-Rate Smoothing
• Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
• Money and Interest in a Cash-in-Advance Economy
• An equilibrium characterization of the term structure

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