Electronic Resource
Springer
De economist
141 (1993), S. 515-542
ISSN:
1572-9982
Source:
Springer Online Journal Archives 1860-2000
Topics:
Economics
Notes:
Summary Dynamic portfolio models have obtained a prominent place in the economic literature. As a rule, the problem of implausible long-term coefficients is ignored. In particular the long-term interest rate parameters are not in accordance with the theory of gross substitution. This shortcoming is especially serious when such a portfolio model is used as part of a larger macroeconomic model. A standard estimation-under-restriction procedure cannot be applied as these long-term coefficients are nonlinear functions of short-term interest rate coefficients and of the coefficients of the adjustment process. This paper introduces a new estimation procedure, which is used to estimate portfolio models for households and banks in The Netherlands.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF02375170
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