کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
960112 | 929411 | 2006 | 35 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A consumption-based model of the term structure of interest rates
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موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
حسابداری
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
This paper proposes a consumption-based model that accounts for many features of the nominal term structure of interest rates. The driving force behind the model is a time-varying price of risk generated by external habit. Nominal bonds depend on past consumption growth through habit and on expected inflation. When calibrated to data on consumption, inflation, and the aggregate market, the model produces realistic means and volatilities of bond yields and accounts for the expectations puzzle. The model also captures the high equity premium and excess stock market volatility.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 79, Issue 2, February 2006, Pages 365–399
Journal: Journal of Financial Economics - Volume 79, Issue 2, February 2006, Pages 365–399
نویسندگان
Jessica A. Wachter,