【论文速递】2022-JF-Risk Sharing and the Term Structure of Interest Rates

【论文原文】：Risk-Sharing and the Term Structure of Interest Rates

【作者信息】：ANDRÉS SCHNEIDER. (2022). Risk-Sharing and the Term Structure of Interest
Rates[J].The Journal of Finance

获取地址：
Redirecting
https://doi.org/10.1111/jofi.13139

博主关键词： 风险分担、利率的期限结构

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.