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

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#金融 #数学建模

该文提出一个包含异质性投资者的一般均衡模型，揭示了美国真实和名义利率期限结构的关键特性。作者发现，投资者的跨期替代弹性的差异对于解释名义和实际收益率的动态至关重要。名义利率期限结构主要由真实冲击驱动，因此即使名义和真实冲击的相关性不高，也可能呈现上升趋势。

【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：
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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.