Notes on the yield curve

• 成果类型: Article
• 署名作者: Martin, Ian W. R.; Ross, Stephen A.
• 署名单位: University of London; London School Economics & Political Science; Massachusetts Institute of Technology (MIT)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.04.014
• 发表日期: 2019
• 页码: 689-702
• 关键词: Yield curve; term structure; Recovery theorem; traps; Cheeger inequality; Eigenvalue gap

摘要

We study the properties of the yield curve under the assumptions that (i) the fixed income market is complete and (ii) the state vector that drives interest rates follows a finite discrete-time Markov chain. We focus in particular on the relationship between the behavior of the long end of the yield curve and the recovered time discount factor and marginal utilities of a pseudo-representative agent; and on the relationship between the trappedness of an economy and the convergence of yields at the long end. (C) 2019 The Author(s). Published by Elsevier B.V.