The economics of interest rates

• 成果类型: Article
• 署名作者: Vasicek, OA
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2004.06.002
• 发表日期: 2005
• 页码: 293-307
• 关键词: General equilibrium; term structure of interest rates

摘要

The paper looks at the behavior of investors in an economy consisting of a production process controlled by a state variable representing the state of technology. The participants in the economy maximize their individual utilities of consumption. Each participant has a constant relative risk aversion. The degrees of risk aversion, as well as the time preference functions, differ across participants. The participants may lend and borrow among themselves, either at a floating short rate, or by issuing or buying term bonds. We derive conditions under which such an economy is in equilibrium, and obtain equations determining interest rates. © 2004 Elsevier B.V. All rights reserved.