Asset Prices and Interest Rates in Cash-in-Advance Models

Alberto Giovannini; Pamela Labadie

doi:10.1086/261798

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Asset Prices and Interest Rates in Cash-in-Advance Models

Alberto Giovannini¹; Pamela Labadie²

¹ Columbia University · ² George Washington University

Journal of Political Economy 1991 open access

We develop a method to solve and simulate cash-in-advance models of money and asset prices. We calibrate the models to U.S. data spanning the period 1890-1987 and study some empirical regularities observed over this period. The phenomena of interest include the average level of stock returns and returns on nominal bonds, the covariation of realized real interest rates and real asset returns with inflation, and the ability of nominal interest rates to predict inflation and nominal stock returns.

DOI: 10.1086/261798
Volume: 99 (6)
Pages: 1215-1251
Language: en
Export: BibTeX
Sources: openalex crossref