Notes on the Yield Curve

Ian Martin and Stephen Ross

No 13176, CEPR Discussion Papers from C.E.P.R. Discussion Papers

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.

Keywords: Term structure; Recovery theorem; Traps; Cheeger inequality; Eigenvalue gap; Yield curve (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2018-09
New Economics Papers: this item is included in nep-fmk
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Citations: View citations in EconPapers (5)

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Journal Article: Notes on the yield curve (2019)
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