The Term Structure of Interest Rates: Departures from Time-Separable Expected Utility
نویسندگان
چکیده
منابع مشابه
Term Structure of Interest Rates
I nterest rates and their dynamics provide probably the most computationally difficult part of the modern financial theory. The modern fixed income market includes not only bonds but all kinds of derivative securities sensitive to interest rates. Moreover interest rates are important in pricing all other market securities since they are used in time discounting. Interest rates are also importan...
متن کاملTerm Structure of Interest Rates
In this survey, firstly I describe the fundamentals of interest rates and yield curves. After required background information for the term structure is established, I move on the main subject of this survey: Term Structure of Interest Rates. We can define the term structure of interest rates as calculation of the relation between the yields on default-free securities which only differ in their ...
متن کاملInterest Rates Term Structure under Ambiguity
After financial crisis, the role of uncertainty in decision making processes has largely been recognized as the new variable that contributes to shaping interest rates and bond prices. Our aim is to discuss the impact of ambiguity on bonds interest rates (yields). Starting from the realistic assumption that investors ask for an ambiguity premium depending on the efficacy of government intervent...
متن کاملThe Changing Behavior of the Term Structure of Interest Rates*
We reexamine the expectations theory of the term structure using data a t the short end of the maturity spectrum. We find that prior to the founding of the Federal Reserve System in 1915, the spread between long rates and short rates has substantial predictive power for the path of interest rates; after 1915, however, the spread contains much less predictive power. We then show that the short r...
متن کاملOn the Geometry of the Term Structure of Interest Rates
We present recently developed geometric methods for the analysis of finite dimensional term structure models of the interest rates. This includes an extension of the Frobenius theorem for Fréchet spaces in particular. This approach puts new light on many of the classical models, such as the Hull-White extended Vasicek and Cox-Ingersoll-Ross short rate models. The notion of a finite dimensional ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Canadian Journal of Economics
سال: 1991
ISSN: 0008-4085
DOI: 10.2307/135701