Real and Nominal Interest Rates: A Discrete-Time Model and Its Continuous-Time Limit
构建了一个离散时间经济中实际利率期限结构的一般均衡理论，推导了多期债券定价公式并证明其收敛于Cox-Ingersoll-Ross模型，同时考察了名义债券价格行为，实证发现价格水平与消费增长率显著相关，不支持货币中性假设。
I provide a general equilibrium theory of the term structure of real interest rates in a discrete-time economy. I derive the prices for one-period and two-period real bonds and a simple recursive formula for general |$k$|-period bonds, and prove that the price formula with appropriately specified parameters converges to that of the Cox, Ingersoll, and Ross model (1985). In addition, I consider the behavior of nominal bond prices in a partial equilibrium setting in which an exogenous price level process is correlated with the real economy. Finally, I provide an illustrative empirical investigation of the model. The results indicate a significant correlation between the price level and the growth rate of consumption, which does not support the "money neutrality" assumption underlying Cox, Ingersoll, and Ross's nominal bond prices and related empirical studies, such as Gibbons and Ramaswamy (1992), Heston (1991), and Pearson and Sun (1991).