Malikane, Christopher and Ojah, Kalu (2014): Fisher's Relation and the Term Structure: Implications for IS Curves.

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Abstract
We derive the new Keynesian IS curve from the Fisher relation and the expectations theory of the term structure, without reference to household preferences. We show that, under certain conditions, parameters of the empirical new Keynesian IS curves need not be estimated but can be calibrated from observed data. We specifically show that the coefficient of relative risk aversion is the steadystate consumptionoutput ratio and that the interest rate effect on output can be reasonably approximated by the inverse of the average term to maturity of debt instruments. We highlight the implications of these findings for macroeconomic modelling and estimation.
Item Type:  MPRA Paper 

Original Title:  Fisher's Relation and the Term Structure: Implications for IS Curves 
English Title:  Fisher's Relation and the Term Structure: Implications for IS Curves 
Language:  English 
Keywords:  IS curve, noarbitrage, Fisher relation, expectations theory of the term structure. 
Subjects:  E  Macroeconomics and Monetary Economics > E4  Money and Interest Rates E  Macroeconomics and Monetary Economics > E4  Money and Interest Rates > E43  Interest Rates: Determination, Term Structure, and Effects E  Macroeconomics and Monetary Economics > E4  Money and Interest Rates > E44  Financial Markets and the Macroeconomy 
Item ID:  55553 
Depositing User:  christopher malikane 
Date Deposited:  01 May 2014 04:32 
Last Modified:  29 Sep 2019 11:54 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/55553 