A THEORY OF THE TERM STRUCTURE OF INTEREST RATES
John C. Cox,
Jonathan E. Ingersoll and
Chapter 5 in Theory of Valuation, 2005, pp 129-164 from World Scientific Publishing Co. Pte. Ltd.
AbstractThis paper uses an intertemporal general equilibrium asset pricing model to study the term structure of interest rates. In this model, anticipations, risk aversion, investment alternatives, and preferences about the timing of consumption all play a role in determining bond prices. Many of the factors traditionally mentioned as influencing the term structure are thus included in a way which is fully consistent with maximizing behavior and rational expectations. The model leads to specific formulas for bond prices which are well suited for empirical testing.
Keywords: Asset Pricing; Financial Theory; Valuation; Term Structure; Interest Rates; Options; Portfolios; Taxes; Transaction Costs (search for similar items in EconPapers)
JEL-codes: G00 (search for similar items in EconPapers)
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Journal Article: A Theory of the Term Structure of Interest Rates (1985)
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Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789812701022_0005
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