Term structure economics from A to B
The interest rates for bonds of different maturities are related, but the interplay of factors that influence these rates is not easy to tease apart. The author leads the reader through the development of a model of the term structure of interest rates, then works with the model to provide some insights into the interplay of factors, especially the effect of uncertainty on interest rates. His analysis shows how a common simplification known as the expectations hypothesis obscures the significant contribution that uncertainty can make to the determination of interest rates.
Volume (Year): (1999)
Issue (Month): Q III ()
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- John Y. Campbell, 1984.
"Bond and Stock Returns in a Simple Exchange Model,"
NBER Working Papers
1509, National Bureau of Economic Research, Inc.
- Jiang, Wang, 1996. "The term structure of interest rates in a pure exchange economy with heterogeneous investors," Journal of Financial Economics, Elsevier, vol. 41(1), pages 75-110, May.
- Zeldes, Stephen P, 1989.
"Optimal Consumption with Stochastic Income: Deviations from Certainty Equivalence,"
The Quarterly Journal of Economics,
MIT Press, vol. 104(2), pages 275-98, May.
- Stephen Zeldes, . "Optimal Consumption with Stochastic Income: Deviations from Certainty Equivalence," Rodney L. White Center for Financial Research Working Papers 20-86, Wharton School Rodney L. White Center for Financial Research.
- Labadie, Pamela, 1994.
"The term structure of interest rates over the business cycle,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 18(3-4), pages 671-697.
- Pamela Labadie, 1991. "The term structure of interest rates over the business cycle," Finance and Economics Discussion Series 159, Board of Governors of the Federal Reserve System (U.S.).
- Sun, Tong-sheng, 1992. "Real and Nominal Interest Rates: A Discrete-Time Model and Its Continuous-Time Limit," Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 581-611.
- Pennacchi, George G, 1991. "Identifying the Dynamics of Real Interest Rates and Inflation: Evidence Using Survey Data," Review of Financial Studies, Society for Financial Studies, vol. 4(1), pages 53-86.
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