The Term Structure of Real Interest Rates: Theory and Evidence from UK Index-Linked Bonds.

This paper studies the behavior of the default-risk-free real term structure and term premia intwo general equilibrium endowment economies with complete markets but without money. In the first economy there are no frictions as in Lucas and in the second risk-sharing is limited by the risk of default as in Alvarez and Jermann.

MoreLess

Year of publication:	2000
Authors:	Seppala, J.
Subject:	INTEREST RATE \| RISK \| BONDS

More details

Type of publication:	Book / Working Paper
Notes:	57 pages
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates ; E44 - Financial Markets and the Macroeconomy ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005619089