Financial Intermediaries and the Yield Curve
研究金融中介面临融资约束时的一般均衡模型中的收益率曲线动态，发现约束导致非线性利率动态和正的实际期限溢价，并扩展至名义收益率曲线。
Abstract I study the yield curve dynamics in a general equilibrium model with financial intermediaries facing financing constraints. When constraints bind, intermediaries reallocate their portfolios, causing deadweight losses in aggregate consumption, thus affecting savers’ marginal utility. Because the yield curve is a forecast of marginal utility, intermediaries’ constraints show up, via general equilibrium forces, in long-term yields. I show that the mechanism connecting intermediaries’ constraints and long-term yields produces highly nonlinear interest rate dynamics and a positive real term premium in equilibrium. I extend the analysis to the nominal yield curve using a simple Taylor rule.