Abstract
It is generally accepted that people’s economic-choice behavior is motivated by the utility they derive from actual or expected consumption of real goods. The ratio of marginal utility from any such consumption today as opposed to the marginal utility of future consumption leads to real interest rates, and to relative prices denominated in units of consumption goods (or, utils per consumption). But, trading is done with prices given in terms of money. This intertemporal preference for consumption denominated in monetary terms is the basis for interest rate behavior. Thus, while consumption unit prices reflect people’s choices regarding intertemporal consumption behavior, in order to study the true consumption choices one needs to know how the prices denominated in consumption units are related to the money prices.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Bellhouse, D. R., and H. H. Panjer (1981), “Stochastic modeling of interest rates with applications to life contingencies-Part II.”. The Journal of Risk and Insurance 48, 628–637.
Box, G., and G. Jenkins (1966), Time Series Analysis, Forecasting and Control. San Francisco: Holden-Day.
Boyle, P. (1978), “Immunization under stochastic models of the term structure.”. Journal of the Institute of Actuaries 105, 177–187.
Brillinger, D. (1975), Time Series, Data Analysis and Theory. New York: Holt, Rinehart and Winston.
Cox, J. C., J. Ingersoll, and S. Ross (1977), “A theory of term structure of interest rates and the valuation of interest dependent claims”.,working paper.
Fama, E. F. (1975), “Short-term interest rates as predictors of inflation.”. American Economic Review 65, 269–282.
Granger, C., and O. Morgenstern (1963), “Spectral analysis of New York stock market prices.”. Kyklos 16, 1–27.
Hinich, M. (1982), “Testing for Gaussianity and linearity of a stationary time series.”. Journal of Time Series Analysis 3, 169–176.
Hinich, M., and D. Patterson (1985), “Evidence of nonlinearity in daily stock returns.”. Journal of Business and Economic Statistics 3, 69–77.
Panjer, H. H., and D. R. Bellhouse (1980), “Stochastic modeling of interest rates with applications to life contingencies.”. The Journal of Risk and Insurance 47, 91–110.
Patterson, D. (1983), “BISPEC: a program to estimate the bispectrum of a stationary time series.”. American Statistician 37, 323–324.
Priestley, M. (1981), Spectral Analysis and Time Series, Volume 2. New York: Academic Press.
Rosenblatt, M. (1983), “Cumulants and cumulant spectra.”. In Handbook of Statistics, Vol. 3, ed. D. Brillinger and P. Krishnaiah, pp. 369–382. Amsterdam: North-Holland.
Subba Rao, T. (1983), “The bispectral analysis of nonlinear stationary time series with reference to bilinear and time series models.”. In Handbook of Statistics, Vol. 3, ed. D. Brillinger and P. Krishnaiah, pp. 293–319. Amsterdam: North-Holland.
Subba Rao, T., and M. Gabr (1980), “A test for linearity of stationary time series.”. Journal of Time Series Analysis 1, 145–158.
Subba Rao, T., and M. Gabr (1984), Introduction to Bispectral Analysis and Bilinear Time Series. Berlin: Springer-Verlag.
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 1987 D. Reidel Publishing Company, Dordrecht, Holland
About this chapter
Cite this chapter
Brockett, P.L., Sipra, N. (1987). Linearity and Gaussianity of Interest Rate Data: An Empirical Time Series Test. In: MacNeill, I.B., Umphrey, G.J., Chan, B.S.C., Provost, S.B. (eds) Actuarial Science. The University of Western Ontario Series in Philosophy of Science, vol 39. Springer, Dordrecht. https://doi.org/10.1007/978-94-009-4796-2_13
Download citation
DOI: https://doi.org/10.1007/978-94-009-4796-2_13
Publisher Name: Springer, Dordrecht
Print ISBN: 978-94-010-8627-1
Online ISBN: 978-94-009-4796-2
eBook Packages: Springer Book Archive