Arbeitspapier
The term structure of real interest rates: Theory and evidence form UK index-linked bonds
This paper studies the behavior of the default-risk-free real term structure and term premia in two general equilibrium endowment economies with complete markets but without money.In the first economy there are no frictions as in Lucas (1978) and in the second risk-sharing is limited by the risk of default as in Alvarez and Jermann (2000ab).Both models are solved numerically, calibrated to UK aggregate and household data, and the predictions are compared to data on real interest rates constructed from the UK index-linked data.While both models produce time-varying risk or term premia, only the model with limited risk-sharing can generate enough variation in the term premia to account for the rejections of expectations hypothesis.
- ISBN
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951-686-693-X
- Language
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Englisch
- Bibliographic citation
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Series: Bank of Finland Discussion Papers ; No. 22/2000
- Classification
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Wirtschaft
- Event
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Geistige Schöpfung
- (who)
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Seppälä, Juha
- Event
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Veröffentlichung
- (who)
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Bank of Finland
- (where)
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Helsinki
- (when)
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2000
- Handle
- Last update
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10.03.2025, 11:45 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Seppälä, Juha
- Bank of Finland
Time of origin
- 2000
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Taxation of personal interest income in 18 OECD countries
Inflation targeting in the UK monetary policy framework
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Two tales of the natural rate of interest
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Taxation of personal interest income in 18 OECD countries
Inflation targeting in the UK monetary policy framework
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A case for interest rate smoothing
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Efficiency and dependency in a network of linked permit markets
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Two tales of the natural rate of interest
The interest rate sensitivity of output in Finland
How are the key Finnish market interest rates determined?
Taxation of personal interest income in 18 OECD countries
Inflation targeting in the UK monetary policy framework
Implicit interest as price discrimination in the bank deposit market