TY  - JOUR
AU  - Evans,Martin D.
AU  - Wachtel,Paul
TI  - A Modern Look At Asset Pricing and Short-Term Interest Rates
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 3245
PY  - 1990
Y2  - January 1990
UR  - http://www.nber.org/papers/w3245
L1  - http://www.nber.org/papers/w3245.pdf
N1  - Author contact info:
Martin Evans
Department of Economics
Georgetown University
Washington, DC  20057
Tel: 202-687-1570
E-Mail: evansm1@georgetown.edu

Paul Wachtel
Stern School of Business
New York University
44 West 4th Street (769)
New York, NY 10012
Tel: 212-998-4030
E-Mail: pwachtel@stern.nyu.edu
AB  - This paper uses modern asset pricing theory to examine the behavior of short-term nominal interest rates over the past 25 years. The analysis investigates whether variation in the stochastic behavior of output and inflation can explain movements in the rate of interest. Our results reveal that much of the month to month movement in nominal interest rates reflects changes in the real rate and the risk premia rather than inflationary expectations. 
ER  -