Title: Measuring interest rates as determined by thrift and productivity
Description: "This paper investigates the behavior of short-term real and nominal rates of interest by combining consumption-based and production-based models into a single general equilibrium framework.  Based on the theoretical nonlinear relationships that link interest rates to both the marginal rates of substitution and transformation in a monetary production economy, we develop an estimation and simulation procedure to generate historical time series of interest rates.  We find that the predictions of interest rates based on a general equilibrium theory are partially consistent with US data"--Federal Reserve Bank of St. Louis web site.
Subjects: Interest rates