Real and Nominal Interest Rates: A Discrete-Time Model and Its Continuous-Time Limit

Sun, Tong-sheng

doi:10.1093/rfs/5.4.581

Cited by 91 publications

(60 citation statements)

References 16 publications

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“…The model can also be presented in a discrete-time setting and most of the results remain the same. As pointed out by Sun (1992) Applying this approximation to the 1 2 (t, T) when r > 1, we have…”

Section: Further Commentsmentioning

confidence: 84%

“…The aggregate consumption process in this case is quite similar to the case considered in CIR and Sun (1992) Here, for simplicity in exposition we have assumed that wt and w,,t are independent. This assumption can be easily relaxed.…”

Section: More General Endowment Processesmentioning

confidence: 98%

“…Sun (1992) shows that an exchange economy can be constructed which is analogous to the CIR production economy. The endowment process in the exchange economy is taken to be the same as the optimal consumption process in the CIR model.…”

Section: Limiting Casesmentioning

confidence: 99%

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The Term Structure of Interest Rates in a Pure Exchange Economy with Heterogeneous Investors

Wang¹

1995

143

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This paper presents an equilibrium model of the term structure of interest rates when investors have heterogeneous preferences. The basic model considers a pure exchange economy of two classes of investors with different (but constant) relative risk-aversion and gives closed-form solutions to bond prices. We sue the model to examine the effect of preference heterogeneity on the behavior of bond yields. Extensions to cases of more than two investors are also considered.

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Section: Further Commentsmentioning

confidence: 84%

Section: More General Endowment Processesmentioning

confidence: 98%

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The Term Structure of Interest Rates in a Pure Exchange Economy with Heterogeneous Investors

Wang¹

1995

143

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“…Pennacchi (1991) and Sun (1992) allow their exogenous inflation process to be correlated with real variables.…”

Section: And the Volatility Of Endowment Growth Is γ σ X (X)mentioning

confidence: 99%

Affine Term Structure Models

Piazzesi

2010

Handbook of Financial Econometrics: Tools and Techniques

267

154

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“…Yields also have the autoregressive polynomial 4(L), since they are averages of forward rates, but again the MA parameters are more complicated. D Cox-Ingersoll-Ross as an ARMA (1,1) We express Sun's (1992) discrete time version of the Cox-Ingersoll-Ross (1985) model of bond pricing in a form similar to our ARMA(1,1) example. The starting point is a state variable z that obeys the "square root" process 1/2 = (1 -p)S + (pZt_i + )Z_1f, with {} NID(O,ci2).…”

Section: B Multifactor Modelsmentioning

confidence: 99%

Reverse Engineering the Yield Curve

Backus¹,

Zin²

1994

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Prices of riskfree bonds in any arbitrage-free environment are governed by a pricing kernel: given a kernel, we can compute prices of bonds of any maturity we like. We use observed prices of multi-period bonds to estimate, in a log-linear theoretical setting, the pricing kernel that gave rise to them. The high-order dynamics of our estimated kernel help to explain why first-order, one-factor models of the term structure have had difficulty reconciling the shape of the yield curve with the persistence of the short rate. We use the estimated kernel to provide a new perspective on Hansen-Jagannathan bounds, the price of risk, and the pricing of bond options and futures.

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Real and Nominal Interest Rates: A Discrete-Time Model and Its Continuous-Time Limit

Cited by 91 publications

References 16 publications

The Term Structure of Interest Rates in a Pure Exchange Economy with Heterogeneous Investors

The Term Structure of Interest Rates in a Pure Exchange Economy with Heterogeneous Investors

Affine Term Structure Models

Reverse Engineering the Yield Curve

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