A production-based model for the term structure

作者:Jermann Urban J*
来源:Journal of Financial Economics, 2013, 109(2): 293-306.
DOI:10.1016/j.jfineco.2013.03.001

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.

  • 出版日期2013-8

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