Real and Nominal Interest Rates under Uncertainty: The Fisher Theorem and the Term Structure
研究不确定性下名义与实际利率及期限结构的关系，发现两个独立的风险项导致费雪定理失效，货币政策可影响这些风险项，且纯预期理论因风险溢价而失效。
This paper examines the relation between nominal and real interest rates, and the nominal and real term structure under uncertainty. We show that two separate risk terms cause the Fisher theorem to fail. One risk term is related only to the variability of money prices, while the other is related to the purchasing power riskiness of the nominal bond. Monetary policy can affect the value of both these risk terms. We also show that the pure expectations hypothesis of the term structure fails for both real and nominal bonds because of risk premia. Even if the economy is neutral with respect to monetary policy, monetary policy can alter the nominal term structure.