Macroeconomic risks and the term structure of interest rates

@inproceedings{Hrdahl2004MacroeconomicRA,
  title={Macroeconomic risks and the term structure of interest rates},
  author={Peter H{\"o}rdahl and Oreste Tristani and David Vestin},
  year={2004}
}
  • Peter Hördahl, Oreste Tristani, David Vestin
  • Published 2004
We study a SDGE model of the macroeconomy and examine the implication of shocks for the term structure of interest rates, both in terms of dynamics and risk premium. We solve the model using collocation methods, rathern than relying on linearization, to allow risk to have full impact on the equilibrium.