The Term Structure of Interest Rates: Departures from Time-Separable Expected Utility

Allan Gregory and Graham Voss

No 794, Working Paper from Economics Department, Queen's University

Abstract: This paper assesses the ability of general equilibrium models of asset pricing using two recently developed sets of preferences to quantitatively account for the observed variability in the Canadian term structure of interest rates. the preference structures are non-expected utility and habit persistence associated with Epstein and Zin (1989a) and Constantinides (1990) respectively. The framework adopted follows Backus, Gregory and Zin (1989) where a numerical version of the theory is specified and empirical features of the artificial economy are compared against actually data. Neither preference structure is able to satisfactorily mimic the magnitude or the variability of the risk premiums.

Date: 1990-09
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://qed.econ.queensu.ca/working_papers/papers/qed_wp_794.pdf First version 1990 (application/pdf)

Related works:
Journal Article: The Term Structure of Interest Rates: Departures from Time-Separable Expected Utility (1991)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:794

Access Statistics for this paper

More papers in Working Paper from Economics Department, Queen's University Contact information at EDIRC.
Bibliographic data for series maintained by Mark Babcock ().