Consumption and Equilibrium Interest Rates in Stochastic Production Economies
分析同质消费者经济中均衡实际利率的行为，偏好为时间可加对数效用，生产技术为柯布-道格拉斯随机常数规模报酬。研究发现无相对价格不确定性时利率均值回复，多商品经济中利率依赖于相对价格，与线性技术情形不同。
In this paper, we analyze the behavior of equilibrium real interest rates in an identical consumer economy in which the preferences are represented by time additive logarithmic utility functions and production technologies are Cobb-Douglas with stochastic constant returns to scale. The following main results are established. (i) When there is no relative price uncertainty, it is shown that the equilibrium interest rate exhibits a mean reverting tendency. A nontrivial steady state distribution is found to exist for the equilibrium interest rate. The properties of the equilibrium interest rate are also derived and discussed. (ii) In a multigood economy, even with additive preferences across goods, the equilibrium interest rates depend explicitly on relative prices. The substitution possibilities in production technologies induce this result. This is in contrast to the findings of Richard and Sundaresan 11 who show that the analytical general equilibrium term structure of interest rates formula of Cox, Ingersoll, and Ross 5 is unaffected by the introduction of relative price uncertainty when the technologies are linear and hence involve no substitution. Furthermore, we relate our results to those of Cox, Ingersoll, and Ross 5, Breeden 3, and Richard and Sundaresan 11 with special emphasis on stochastic production and realtive price uncertainty.