MULTIPLE EQUILIBRIA AND TERM STRUCTURE MODELS
成果类型：
Article
署名作者：
LONGSTAFF, FA
署名单位：
University System of Ohio; Ohio State University
刊物名称：
JOURNAL OF FINANCIAL ECONOMICS
ISSN/ISSBN：
0304-405X
DOI：
10.1016/0304-405X(92)90031-R
发表日期：
1992
页码：
333-344
关键词：
摘要：
We show the Cox, Ingersoll, and Ross term structure framework can allow a variety of alternative equilibrium solutions for discount bond prices. This is important since it allows us additional flexibility in developing models that capture the properties of the term structure. As an example, we solve for the value of a discount bond when the short-term rate is absorbed at zero. We compare the yields implied by this model to those implied by the original Cox, Ingersoll, and Ross model. We also show that alternative equilibria can occur in other term structure models.