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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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.).
- 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.
- Campbell, John, 1986.
"Bond and Stock Returns in a Simple Exchange Model,"
3122544, Harvard University Department of Economics.
- 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.
- Stephen P. Zeldes, 1989. "Optimal Consumption with Stochastic Income: Deviations from Certainty Equivalence," The Quarterly Journal of Economics, Oxford University Press, vol. 104(2), pages 275-298.
- 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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