메뉴 건너뛰기




Volumn 54, Issue 7, 2007, Pages 1863-1881

Euler equations and money market interest rates: A challenge for monetary policy models

Author keywords

Interest rate spreads; Monetary policy

Indexed keywords


EID: 34548832772     PISSN: 03043932     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jmoneco.2006.09.001     Document Type: Article
Times cited : (66)

References (33)
  • 1
    • 0003007882 scopus 로고
    • Asset prices under habit formation and catching up with the Joneses
    • Abel A. Asset prices under habit formation and catching up with the Joneses. American Economic Review 80 2 (1990) 38-42
    • (1990) American Economic Review , vol.80 , Issue.2 , pp. 38-42
    • Abel, A.1
  • 2
    • 0001918323 scopus 로고    scopus 로고
    • Risk premia and term premia in general equilibrium
    • Abel A. Risk premia and term premia in general equilibrium. Journal of Monetary Economics 43 1 (1999) 3-33
    • (1999) Journal of Monetary Economics , vol.43 , Issue.1 , pp. 3-33
    • Abel, A.1
  • 3
    • 0000734989 scopus 로고    scopus 로고
    • A monetary explanation of the equity premium, term premium, and risk-free rate puzzles
    • Bensal R., and Coleman W.J. A monetary explanation of the equity premium, term premium, and risk-free rate puzzles. Journal of Political Economy 104 6 (1996) 1135-1171
    • (1996) Journal of Political Economy , vol.104 , Issue.6 , pp. 1135-1171
    • Bensal, R.1    Coleman, W.J.2
  • 4
    • 0001097029 scopus 로고    scopus 로고
    • Habit persistence, asset returns, and the business cycle
    • Boldrin M., Christiano L., and Fisher J. Habit persistence, asset returns, and the business cycle. American Economic Review 91 1 (2001) 149-166
    • (2001) American Economic Review , vol.91 , Issue.1 , pp. 149-166
    • Boldrin, M.1    Christiano, L.2    Fisher, J.3
  • 5
    • 0032771542 scopus 로고    scopus 로고
    • By force of habit: a consumption-based explanation of aggregate stock market behavior
    • Campbell J., and Cochrane J. By force of habit: a consumption-based explanation of aggregate stock market behavior. Journal of Political Economy 107 2 (1999) 205-251
    • (1999) Journal of Political Economy , vol.107 , Issue.2 , pp. 205-251
    • Campbell, J.1    Cochrane, J.2
  • 6
    • 0001274822 scopus 로고
    • Consumption income, and interest rates: reinterpreting the time series evidence
    • Olivier J.B., and Fischer S. (Eds), MIT Press, Cambridge, MA
    • Campbell J., and Mankiw N.G. Consumption income, and interest rates: reinterpreting the time series evidence. In: Olivier J.B., and Fischer S. (Eds). NBER Macroeconomics Annual 1989 (1989), MIT Press, Cambridge, MA 185-216
    • (1989) NBER Macroeconomics Annual 1989 , pp. 185-216
    • Campbell, J.1    Mankiw, N.G.2
  • 7
    • 15844370118 scopus 로고    scopus 로고
    • Interest rate rules and price determinacy: the role of transactions services of bonds
    • Canzoneri M., and Diba B. Interest rate rules and price determinacy: the role of transactions services of bonds. Journal of Monetary Economics 52 2 (2005) 329-343
    • (2005) Journal of Monetary Economics , vol.52 , Issue.2 , pp. 329-343
    • Canzoneri, M.1    Diba, B.2
  • 8
    • 34548825259 scopus 로고    scopus 로고
    • Canzoneri, M., Diba, B., Cumby, R., López-Salido, D., 2006. Monetary and fiscal policy coordination when bonds provide transactions services. Georgetown University Working Paper.
  • 9
    • 0000428728 scopus 로고
    • Liquidity effects and the monetary transmissions mechanism
    • Christiano L., and Eichenbaum M. Liquidity effects and the monetary transmissions mechanism. American Economic Review 82 2 (1992) 346-353
    • (1992) American Economic Review , vol.82 , Issue.2 , pp. 346-353
    • Christiano, L.1    Eichenbaum, M.2
  • 10
    • 21844517791 scopus 로고
    • Liquidity effects, monetary policy, and the business cycle
    • Christiano L., and Eichenbaum M. Liquidity effects, monetary policy, and the business cycle. Journal of Money Credit and Banking 27 4 (1995) 1113-1136
    • (1995) Journal of Money Credit and Banking , vol.27 , Issue.4 , pp. 1113-1136
    • Christiano, L.1    Eichenbaum, M.2
  • 11
    • 0001433460 scopus 로고    scopus 로고
    • Sticky price and limited participation models of money: a comparison
    • Christiano L., Eichenbaum M., and Evans C. Sticky price and limited participation models of money: a comparison. European Economic Review 41 6 (1997) 1201-1249
    • (1997) European Economic Review , vol.41 , Issue.6 , pp. 1201-1249
    • Christiano, L.1    Eichenbaum, M.2    Evans, C.3
  • 12
    • 70449089152 scopus 로고    scopus 로고
    • Monetary policy shocks: what have we learned and to what end?
    • Taylor J., and Woodford M. (Eds), North-Holland, New York
    • Christiano L., Eichenbaum M., and Evans C. Monetary policy shocks: what have we learned and to what end?. In: Taylor J., and Woodford M. (Eds). Handbook of Macroeconomics (1999), North-Holland, New York 65-148
    • (1999) Handbook of Macroeconomics , pp. 65-148
    • Christiano, L.1    Eichenbaum, M.2    Evans, C.3
  • 13
    • 15844392342 scopus 로고    scopus 로고
    • Nominal rigidities and the dynamic effects of a shock to monetary policy
    • Christiano L., Eichenbaum M., and Evans C. Nominal rigidities and the dynamic effects of a shock to monetary policy. Journal of Political Economy 13 1 (2005) 1-45
    • (2005) Journal of Political Economy , vol.13 , Issue.1 , pp. 1-45
    • Christiano, L.1    Eichenbaum, M.2    Evans, C.3
  • 14
    • 0031372198 scopus 로고    scopus 로고
    • Equity premium and risk-free-rate puzzles at long horizons
    • Daniel K., and Marshall D. Equity premium and risk-free-rate puzzles at long horizons. Macroeconomic Dynamics 1 4 (1997) 452-484
    • (1997) Macroeconomic Dynamics , vol.1 , Issue.4 , pp. 452-484
    • Daniel, K.1    Marshall, D.2
  • 15
    • 34548820841 scopus 로고    scopus 로고
    • Daniel, K., Marshall, D., 1998. Consumption-based modeling of long-horizon returns. Federal Reserve Bank of Chicago Working Paper (WP-98-18).
  • 16
    • 0036046649 scopus 로고    scopus 로고
    • The equivalence of wage and price staggering in monetary business cycle models
    • Edge R. The equivalence of wage and price staggering in monetary business cycle models. Review of Economic Dynamics 5 (2002) 559-585
    • (2002) Review of Economic Dynamics , vol.5 , pp. 559-585
    • Edge, R.1
  • 17
    • 0000842941 scopus 로고
    • Substitution, risk aversion, and the temporal behavior of consumption growth and asset returns I: a theoretical framework
    • Epstein L., and Zin S. Substitution, risk aversion, and the temporal behavior of consumption growth and asset returns I: a theoretical framework. Econometrica 54 2 (1989) 937-969
    • (1989) Econometrica , vol.54 , Issue.2 , pp. 937-969
    • Epstein, L.1    Zin, S.2
  • 18
    • 84935429666 scopus 로고
    • Substitution, risk aversion, and the temporal behavior of consumption growth and asset returns II: an empirical analysis
    • Epstein L., and Zin S. Substitution, risk aversion, and the temporal behavior of consumption growth and asset returns II: an empirical analysis. Journal of Political Economy 99 2 (1991) 263-286
    • (1991) Journal of Political Economy , vol.99 , Issue.2 , pp. 263-286
    • Epstein, L.1    Zin, S.2
  • 19
    • 0001532134 scopus 로고    scopus 로고
    • Optimal monetary policy with staggered wage and price contracts
    • Erceg C., Henderson D., and Levin D. Optimal monetary policy with staggered wage and price contracts. Journal of Monetary Economics 46 2 (2000) 281-313
    • (2000) Journal of Monetary Economics , vol.46 , Issue.2 , pp. 281-313
    • Erceg, C.1    Henderson, D.2    Levin, D.3
  • 20
    • 0002563938 scopus 로고
    • Liquidity loanable funds, and real activity
    • Fuerst T. Liquidity loanable funds, and real activity. Journal of Monetary Economics 29 1 (1992) 3-24
    • (1992) Journal of Monetary Economics , vol.29 , Issue.1 , pp. 3-24
    • Fuerst, T.1
  • 21
    • 0001332822 scopus 로고    scopus 로고
    • Habit formation in consumption and its implications for monetary-policy models
    • Fuhrer J. Habit formation in consumption and its implications for monetary-policy models. American Economic Review 90 3 (2000) 367-390
    • (2000) American Economic Review , vol.90 , Issue.3 , pp. 367-390
    • Fuhrer, J.1
  • 22
    • 84928440780 scopus 로고
    • Asset prices and interest rates in cash-in-advance models
    • Giovannini A., and Labadie P. Asset prices and interest rates in cash-in-advance models. Journal of Political Economy 99 6 (1991) 1215-1251
    • (1991) Journal of Political Economy , vol.99 , Issue.6 , pp. 1215-1251
    • Giovannini, A.1    Labadie, P.2
  • 23
    • 0037615624 scopus 로고    scopus 로고
    • Aggregate precautionary savings: when is the third derivative irrelevant
    • Huggett M., and Ospina S. Aggregate precautionary savings: when is the third derivative irrelevant. Journal of Monetary Economics 48 2 (2001) 373-396
    • (2001) Journal of Monetary Economics , vol.48 , Issue.2 , pp. 373-396
    • Huggett, M.1    Ospina, S.2
  • 24
    • 0000278184 scopus 로고    scopus 로고
    • Asset pricing in production economies
    • Jermann U. Asset pricing in production economies. Journal of Monetary Economics 41 2 (1998) 257-275
    • (1998) Journal of Monetary Economics , vol.41 , Issue.2 , pp. 257-275
    • Jermann, U.1
  • 25
    • 0032275731 scopus 로고    scopus 로고
    • Small-sample confidence intervals for impulse response functions
    • Kilian L. Small-sample confidence intervals for impulse response functions. Review of Economics and Statistics 80 2 (1998) 652-660
    • (1998) Review of Economics and Statistics , vol.80 , Issue.2 , pp. 652-660
    • Kilian, L.1
  • 26
    • 0000135389 scopus 로고    scopus 로고
    • What should the monetary authority do when prices are sticky?
    • John B.T. (Ed), University of Chicago Press for the NBER, Chicago
    • King R., and Wolman A. What should the monetary authority do when prices are sticky?. In: John B.T. (Ed). Monetary Policy Rules (1999), University of Chicago Press for the NBER, Chicago 349-398
    • (1999) Monetary Policy Rules , pp. 349-398
    • King, R.1    Wolman, A.2
  • 27
    • 0001551170 scopus 로고
    • Liquidity and interest rates
    • Lucas R. Liquidity and interest rates. Journal of Economic Theory 50 2 (1990) 237-264
    • (1990) Journal of Economic Theory , vol.50 , Issue.2 , pp. 237-264
    • Lucas, R.1
  • 28
    • 84977730667 scopus 로고
    • Is the real interest rate stable?
    • Rose A. Is the real interest rate stable?. Journal of Finance 63 5 (1988) 1095-1112
    • (1988) Journal of Finance , vol.63 , Issue.5 , pp. 1095-1112
    • Rose, A.1
  • 29
    • 0001763917 scopus 로고
    • The identification of monetary policy disturbances: explaining the liquidity puzzle
    • Strongin S. The identification of monetary policy disturbances: explaining the liquidity puzzle. Journal of Monetary Economics 35 3 (1995) 463-497
    • (1995) Journal of Monetary Economics , vol.35 , Issue.3 , pp. 463-497
    • Strongin, S.1
  • 30
    • 0042493164 scopus 로고    scopus 로고
    • Risk-sensitive real business cycles
    • Tallarini T. Risk-sensitive real business cycles. Journal of Monetary Economics 45 3 (2000) 507-532
    • (2000) Journal of Monetary Economics , vol.45 , Issue.3 , pp. 507-532
    • Tallarini, T.1
  • 31
    • 38249004563 scopus 로고
    • The equity premium puzzle and the risk-free rate puzzle
    • Weil P. The equity premium puzzle and the risk-free rate puzzle. Journal of Monetary Economics 24 3 (1989) 401-421
    • (1989) Journal of Monetary Economics , vol.24 , Issue.3 , pp. 401-421
    • Weil, P.1
  • 32
    • 0001926061 scopus 로고
    • Nonexpected utility in macroeconomics
    • Weil P. Nonexpected utility in macroeconomics. Quarterly Journal of Economics 105 1 (1990) 29-42
    • (1990) Quarterly Journal of Economics , vol.105 , Issue.1 , pp. 29-42
    • Weil, P.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.