Fiscal, monetary policy and the conditional risk premium in short-term interest rate differentials: an application of Tobin's portfolio theory

This paper proposes a Multivariate-Arch in Mean model to analyze the potential channels through which domestic fiscal and monetary policy as well as changes in the international economic environment may affect interest rate differentials across countries. This technique is illustrated by analyzing t...

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Veröffentlicht in:	International review of economics & finance 2007, Vol.16 (1), p.101-112
Hauptverfasser:	Flavin, Thomas J., Limosani, Michele G.
Format:	Artikel
Sprache:	eng
Schlagworte:	Interest rate differentials Interest rates M-GARCH Macroeconomic effects Monetary policy Multivariate analysis Risk premiums Studies
Online-Zugang:	Volltext
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