A consumption-based-model of the term structure of interest rates

• 成果类型: Article
• 署名作者: Wachter, JA
• 署名单位: University of Pennsylvania
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2005.02.004
• 发表日期: 2006
• 页码: 365-399
• 关键词: habit formation; expectations puzzle; term structure; affine models; Risk premium

摘要

This paper proposes a consumption-based model that accounts for many features of the nominal term structure of interest rates. The driving force behind the model is a time-varying price of risk generated by external habit. Nominal bonds depend on past consumption growth through habit and on expected inflation. When calibrated to data on consumption, inflation, and the aggregate market, the model produces realistic means and volatilities of bond yields and accounts for the expectations puzzle. The model also captures the high equity premium and excess stock market volatility. (c) 2005 Elsevier B.V. All rights reserved.