TY  - JOUR
AU  - Giovannini,Alberto
AU  - Labadie,Pamela
TI  - Asset Prices and Interest Rates in Cash-In-Advance Models
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 3109
PY  - 1989
Y2  - September 1989
UR  - http://www.nber.org/papers/w3109
L1  - http://www.nber.org/papers/w3109.pdf
N1  - Author contact info:
Alberto Giovannini
Unifortune Asset Management
Via Donizetti 53
20122 Milano, Italy
E-Mail: alberto.giovannini@alum.mit.edu

Pamela Labadie
E-Mail: labadie@gwu.edu
AB  - This paper develops a method to solve and simulate cash-in-advance models of money and asset prices. The models are calibrated to US data spanning the period from 1890 to 1987 and are used to study some empirical regularities observed in the US data over this period. The phenomena which are the focus of the paper 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. 
ER  -