| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w18774 |
| 来源ID | Working Paper 18774 |
| A Production-Based Model for the Term Structure | |
| Urban Jermann | |
| 发表日期 | 2013-02-08 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | This paper considers the term structure of interest rates implied by a production-based asset pricing model where the fundamental drivers are investment in equipment and structures, and 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. |
| 主题 | Macroeconomics ; Consumption and Investment ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w18774 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/576449 |
| 推荐引用方式 GB/T 7714 | Urban Jermann. A Production-Based Model for the Term Structure. 2013. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w18774.pdf（293KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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