| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13176 |
| DP13176 Notes on the Yield Curve | |
| Ian Martin | |
| 发表日期 | 2018-09-13 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We study the properties of the yield curve under the assumptions that (i) the fixed-income market is complete and (ii) the state vector that drives interest rates follows a finite discrete-time Markov chain. We focus in particular on the relationship between the behavior of the long end of the yield curve and the recovered time discount factor and marginal utilities of a pseudo-representative agent; and on the relationship between the “trappedness” of an economy and the convergence of yields at the long end. |
| 主题 | Financial Economics |
| 关键词 | Term structure Recovery theorem Traps Cheeger inequality Eigenvalue gap Yield curve |
| URL | https://cepr.org/publications/dp13176 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541980 |
| 推荐引用方式 GB/T 7714 | Ian Martin. DP13176 Notes on the Yield Curve. 2018. |
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