Asset Prices and Interest Rates in Cash-in-Advance Models
开发了一种求解和模拟现金先行模型的方法，并用1890-1987年美国数据校准模型，研究股票回报、名义债券回报、实际利率与通胀的关系，以及名义利率对通胀和股票回报的预测能力。
The authors develop a method to solve and simulate cash-in-advance models of money and asset prices. They 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. Copyright 1991 by University of Chicago Press.