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Notes on the yield curve

Martin, Ian and Ross, Steve (2018) Notes on the yield curve. Journal of Financial Economics. ISSN 0304-405X (In Press)

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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

Item Type: Article
Official URL:
Additional Information: © 2018 Elsevier B.V
Divisions: Finance
Subjects: H Social Sciences > HG Finance
JEL classification: G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates
Sets: Departments > Finance
Date Deposited: 12 Sep 2018 11:56
Last Modified: 13 Apr 2019 23:06

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