HOW IMPORTANT IS DISAGGREGATION IN STRUCTURAL MODELS OF INTEREST RATE DETERMINATION?
A rapidly developing literature is currently investigating the determination of interest rates through the conceptual approach of the structural model. In brief, a structural model of asset prices is simply the combination of a representation of investors' demand for securities and a representation...
| Publicado en: | Review of Economics & Statistics Vol. 62; no. 2; pp. 271 - 277 |
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| Formato: | Artículo |
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MIT Press
May80
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| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=hlh&AN=4652265&site=ehost-live header: @attributes: shortDbName: hlh uiTerm: 4652265 longDbName: Humanities International Complete uiTag: AN controlInfo: bkinfo: jinfo: jid: 00346535 RMS jtl: Review of Economics & Statistics issn: 00346535 maglogo: N pubinfo: dt: May80 vid: 62 iid: 2 pid: 776 pub: MIT Press artinfo: ui: 4652265 10.2307/1924754 ppf: 271 ppct: 6 formats: tig: atl: HOW IMPORTANT IS DISAGGREGATION IN STRUCTURAL MODELS OF INTEREST RATE DETERMINATION? aug: au: Friedman, Benjamin M. su: Interest rates Economics Investors Economic indicators Friedman, Benjamin M. Financial markets Structural frame models sug: subj: Interest rates Economics Investors Economic indicators Friedman, Benjamin M. Financial markets Structural frame models ab: A rapidly developing literature is currently investigating the determination of interest rates through the conceptual approach of the structural model. In brief, a structural model of asset prices is simply the combination of a representation of investors' demand for securities and a representation of borrowers' supply of securities, together with a market clearing condition. Such a model stands in contrast to the traditional approach of modeling interest rate determination using an unrestricted reduced form of equation with the particular interest rate in question as the dependent variable. The results, presented in the article, demonstrate that the structural modeling approach to interest rate determination not only stands apart from the sectoral disaggregation question conceptually but also performs fairly well without sectoral disaggregation empirically. The article presents estimation and dynamic simulation results for an aggregated equivalent to the disaggregated model of the determination of bond yields developed in Benjamin M. Friedman. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: Y dt: @attributes: year: 1980 holdings: @attributes: islocal: N |
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