Risk‐Sharing and the Term Structure of Interest Rates
提出了一个包含异质性投资者的一般均衡模型，用于解释美国实际和名义利率期限结构的关键特征，发现投资者跨期替代弹性差异对名义和实际收益率的动态至关重要。
ABSTRACT I propose a general equilibrium model with heterogeneous investors to explain the key properties of the U.S. real and nominal term structure of interest rates. I find that differences in investors' elasticities of intertemporal substitution are critical in accounting for the dynamics of nominal and real yields. The nominal term structure is driven primarily by real shocks so that it can be upward sloping regardless of the correlation between nominal and real shocks.