Habit Formation and Macroeconomic Models of the Term Structure of Interest Rates
提出一类新的非仿射利率期限结构模型，基于习惯形成的经济环境，能解释利率的非线性动态、预期假说偏离、条件波动持续性及利率与货币总量的领先滞后关系。
ABSTRACT This paper introduces a new class of nonaffine models of the term structure of interest rates that is supported by an economy with habit formation. Distinguishing features of the model are that the interest rate dynamics are nonlinear, interest rates depend on lagged monetary and consumption shocks, and the price of risk is not a constant multiple of interest rate volatility. We find that habit persistence can help reproduce the nonlinearity of the spot rate process, the documented deviations from the expectations hypothesis, the persistence of the conditional volatility of interest rates, and the lead‐lag relationship between interest rates and monetary aggregates.