Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/238641 
Autor:innen: 
Erscheinungsjahr: 
2020
Schriftenreihe/Nr.: 
Working Paper No. 951
Verlag: 
Levy Economics Institute of Bard College, Annandale-on-Hudson, NY
Zusammenfassung: 
This paper presents a simple model of the long-term interest rate. The model represents John Maynard Keynes's conjecture that the central bank's actions influence the long-term interest rate primarily through the short-term interest rate, while allowing for other important factors. It relies on the geometric Brownian motion to formally model Keynes's conjecture. Geometric Brownian motion has been widely used in modeling interest rate dynamics in quantitative finance. However, it has not been used to represent Keynes's conjecture. Empirical studies in support of the Keynesian perspective and the stylized facts on the dynamics of the long-term interest rate on government bonds suggest that interest rate models based on Keynes's conjecture can be advantageous.
Schlagwörter: 
Long-Term Interest Rate
Bond Yields
Monetary Policy
Short-Term Interest Rate
John Maynard Keynes
JEL: 
E12
E43
E50
E58
E60
G10
G12
G41
Dokumentart: 
Working Paper

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