SHERP

A Theory of the Term Structure of Interest Rates Under Non-expected Intertemporal Preferences

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Authors
Cho, Jaeho
Issue Date
1998
Publisher
College of Business Administration (경영대학)
Citation
Seoul Journal of Business Volume 4(2):55~70(1998)
Keywords
Term Premiaa risk averse production economy
Abstract
This paper presents general equilibrium term structure models under
a non-expected intertemporal utdity funchon, in which two disparate
preference elements - intertemporal substitution and risk aversion -
are disentangled. One major finding is that in a risk averse production
economy, bond prices are independent of intertemporal substitution
and thus separating the two preference components becomes totally
irrelevant. The models produce several other results that are contrasted
with those found in the exlstmg literature.
ISSN
1226-9816
Language
English
URI
http://hdl.handle.net/10371/1841
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College of Business Administration/Business School (경영대학/대학원)Dept. of Business Administration (경영학과)Seoul Journal of BusinessSeoul Journal of Business Volume 04, Number 2 (1998)
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