Cookies?
Library Header Image
LSE Research Online LSE Library Services

Notes on the yield curve

Martin, Ian and Ross, Steve (2019) Notes on the yield curve. Journal of Financial Economics, 134 (3). pp. 689-702. ISSN 0304-405X

[img] Text - Accepted Version
Repository staff only until 22 November 2020.
Available under License Creative Commons Attribution Non-commercial No Derivatives.

Download (746kB) | Request a copy
Identification Number: 10.1016/j.jfineco.2019.04.014

Abstract

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: https://www.journals.elsevier.com/journal-of-finan...
Additional Information: © 2019 The Authors
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: 24 Jan 2020 00:01
URI: http://eprints.lse.ac.uk/id/eprint/90208

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics