Risk-Sharing and the Term Structure of Interest Rates

• 成果类型: Article
• 署名作者: Schneider, Andres
• 署名单位: Federal Reserve System - USA
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13139
• 发表日期: 2022
• 页码: 2331-2374
• 关键词: Yield curve; long-run; consumption; bond; inflation; expectations; explanation; MODEL; time

摘要

I propose a general equilibrium model with heterogeneous investors to explain the key properties of the U.S. real and nominal term structure of interest rates. I find that differences in investors' elasticities of intertemporal substitution are critical in accounting for the dynamics of nominal and real yields. The nominal term structure is driven primarily by real shocks so that it can be upward sloping regardless of the correlation between nominal and real shocks.