Access the full text.
Sign up today, get DeepDyve free for 14 days.
Ren‐Raw Chen, Louis Scott (1992)
Pricing Interest Rate Options in a Two-Factor Cox–Ingersoll–Ross model of the Term StructureReview of Financial Studies, 5
D. Heath, R. Jarrow, A. Morton (1992)
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims ValuationEconometrica, 60
T. Sun (1992)
Real and Nominal Interest Rates: A Discrete-Time Model and Its Continuous-Time LimitReview of Financial Studies, 5
Kenneth Rogoff (1985)
The Optimal Degree of Commitment to an Intermediate Monetary Target''Quarterly Journal of Economics
J. Cox, J. Ingersoll, S. Ross (1985)
AN INTERTEMPORAL GENERAL EQUILIBRIUM MODEL OF ASSET PRICESEconometrica, 53
G. Bakshi, Zhiwu Chen (1996)
Inflation, Asset Prices, and the Term Structure of Interest Rates in Monetary EconomiesReview of Financial Studies, 9
J. Tobin (1972)
Inflation and unemploymentThe American Economic Review, 62
Joan Robinson (1972)
The Second Crisis of Economic TheoryThe American Economic Review, 62
F. Black (1995)
Interest Rates as OptionsJournal of Finance, 50
Oldrich Vasicek (1977)
An equilibrium characterization of the term structureJournal of Financial Economics, 5
R. Merton (1971)
Optimum consumption and portfolio rules in a continuous - time model Journal of Economic Theory 3
S. Richard (1978)
An arbitrage model of the term structure of interest ratesJournal of Financial Economics, 6
D. Heath, R. Jarrow, A. Morton (1990)
Contingent Claims Valuation with a Random Evolution of Interest RatesThe Review of Futures Markets, 9
G. Constantinides (1992)
A Theory of the Nominal Term Structure of Interest RatesReview of Financial Studies, 5
J. Cox, J. Ingersoll, S. A. Ross (1985)
A Theory of the Term Structure of Interest RatesEconometrica, 53
Douglas Breeden (1986)
Consumption, Production, Inflation and Interest Rates: A SynthesisMacroeconomics: Production & Investment eJournal
D. Heath, R. Jarrow, A. Morton (1990)
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time ApproximationJournal of Financial and Quantitative Analysis, 25
J. Harrison, S. Pliska (1981)
Martingales and stochastic integrals in the theory of continuous tradingStochastic Processes and their Applications, 11
J. Cox, J. Ingersoll, S. Ross (1985)
A theory of the term structure of interest rates'', Econometrica 53, 385-407
F. Jamshidian (1989)
An Exact Bond Option FormulaJournal of Finance, 44
Finn Kydland, E. Prescott (1977)
Rules Rather than Discretion: The Inconsistency of Optimal PlansJournal of Political Economy, 85
R. Merton (1971)
Optimum Consumption and Portfolio Rules in a Continuous-Time ModelJournal of Economic Theory, 3
J. Harrison, David Kreps (1979)
Martingales and arbitrage in multiperiod securities marketsJournal of Economic Theory, 20
Roger Brown, S. Schaefer (1994)
The term structure of real interest rates and the Cox, Ingersoll, and Ross modelJournal of Financial Economics, 35
George Pennacchi (1991)
Identifying the Dynamics of Real Interest Rates and Inflation: Evidence Using Survey DataReview of Financial Studies, 4
K Rogoff (1985)
The Optimal Degree of Commitment to an Intermediate Monetary TargetQuarterly Journal of Economics, 100
This paper studies the general behavior of the nominal and real term structures of interest rates in a general equilibrium framework. A central bank is introduced in the model as an agent facing a tradeoff between inflation and output and choosing a monetary policy variable. Prices and output are jointly determined in our model endogenously. Two multi-factor nominal and real term structure models are given as examples to illustrate the general model. In our economies, inflation indexed bonds are not completely inflation proof, but are still subject to the influence of inflation uncertainties. The models offer us an empirical framework that can be studied with indexed bond data and nominal bond data together in a single estimation.
Review of Quantitative Finance and Accounting – Springer Journals
Published: Oct 4, 2004
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.