A production-based model for the term structure

• 成果类型: Article
• 署名作者: Jermann, Urban J.
• 署名单位: University of Pennsylvania; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2013.03.001
• 发表日期: 2013
• 页码: 293-306
• 关键词: Production-based asset pricing; term structure

摘要

This paper considers the term structure of interest rates implied by a production-based asset pricing model in which the fundamental drivers are investment in equipment and structures as well as inflation. The model matches the average yield curve up to five-year maturity almost perfectly. Longer term yields are roughly as volatile as in the data. The model also generates time-varying bond risk premiums. In particular, when running Fama-Bliss regressions of excess returns on forward premiums, the model produces slope coefficients of roughly half the size of the empirical counterparts. Closed-form expressions highlight the importance of the capital depreciation rates for interest rate dynamics. (C) 2013 Elsevier B.V. All rights reserved.