A theory of the term structure of interest rates'', Econometrica 53, 385-407

@inproceedings{Cox1985ATO,
  title={A theory of the term structure of interest rates'', Econometrica 53, 385-407},
  author={J. C. Cox and J. Ingersoll and S. A. Ross},
  year={1985}
}
  • J. C. Cox, J. Ingersoll, S. A. Ross
  • Published 1985
  • Economics
  • AbstractThis paper uses an intertemporal general equilibrium asset pricing model to study the term structure of interest rates. In this model, anticipations, risk aversion, investment alternatives, and preferences about the timing of consumption all play a role in determining bond prices. Many of the factors traditionally mentioned as influencing the term structure are thus included in a way which is fully consistent with maximizing behavior and rational expectations. The model leads to… CONTINUE READING
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