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Risk-Sharing and the Term Structure of Interest Rates
I propose a general equilibrium model with heterogeneous investors to explain the key properties of the U.S. real and nominal term structure of interest rates. I find that differences in investors' elasticities of intertemporal substitution are critical in accounting for the dynamics of nominal and real yields. The nominal term structure is driven primarily by real shocks so that it can be upward sloping regardless of the correlation between nominal and real shocks.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.dasar - Pascasarjana (Koleksi Majalah) | 1 |
| Penerbit | USA: The American Finance Association 2022 |
|---|---|
| Edisi | Volume 77, Issue 4, August 2022, Pages 2331-2374 |
| Subjek | Interest rates Term Structure Risk-Sharing |
| ISBN/ISSN | 1540-6261 |
| Klasifikasi | NONE |
| Deskripsi Fisik | First published : 11 May 2022 |
| Info Detail Spesifik | The Journal of Finance |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |