Notes on the yield curve
在固定收益市场完备且利率驱动状态向量服从有限离散时间马尔可夫链的假设下，研究收益率曲线长端行为与伪代表性代理人的时间贴现因子和边际效用之间的关系，以及经济“陷阱”与长端收益率收敛的关系。
We study the properties of the yield curve under the assumptions that (i) the fixed-income market is complete and (ii) the state vector that drives interest rates follows a finite discrete-time Markov chain. We focus in particular on the relationship between the behavior of the long end of the yield curve and the recovered time discount factor and marginal utilities of a pseudo-representative agent; and on the relationship between the “trappedness” of an economy and the convergence of yields at the long end.