Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates
نویسندگان
چکیده
منابع مشابه
Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates
We build and estimate a recursive utility equilibrium model of the term structure of interest rates that prices consistently all risk factors that affect bonds. We contrast it with an arbitrage-free model, where prices of risk are estimated freely without preference constraints. In both models, nominal bond yields are affine functions of macroeconomic state variables. The equilibrium model acco...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2009
ISSN: 1556-5068
DOI: 10.2139/ssrn.1504072