The Term Structure and Time Series Properties of Nominal Interest Rates: Implications from Theory
从代表性代理人的现金先行模型中推导并检验了名义利率的时间序列约束，发现模型对远期利率与即期利率关系及波动率的预测与数据吻合，但期限溢价的正负号与模型预测相反。
Restrictions on the time-series properties of one- and two-period nominal interest rates implied by a representative agent cash-in-advance model are derived and tested. Among these are the correlation of the difference between the forward rate and the one-period spot rate with the subsequent change in the one-period spot rate, the relative volatility of long and short rates, and the magnitude and sign of the term premium While the first two implications are corroborated by the data, the observed behavior of the term premium is dramatically at odds with the predictions of the model: For the data analyzed, the average term premium was positive while the model predicts that it should be negative. Copyright 1990 by Ohio State University Press.