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A Theory of the Term Structure of Interest Rates Under Non-expected Intertemporal Preferences
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Cho, Jaeho | - |
dc.date.accessioned | 2009-03-05T03:58:44Z | - |
dc.date.available | 2009-03-05T03:58:44Z | - |
dc.date.issued | 1998-12 | - |
dc.identifier.citation | Seoul Journal of Business, Vol.4 No.2, pp. 55-70 | - |
dc.identifier.issn | 1226-9816 | - |
dc.identifier.uri | https://hdl.handle.net/10371/1841 | - |
dc.description.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. | - |
dc.language.iso | en | - |
dc.publisher | College of Business Administration (경영대학) | - |
dc.subject | Term Premia | - |
dc.subject | a risk averse production economy | - |
dc.title | A Theory of the Term Structure of Interest Rates Under Non-expected Intertemporal Preferences | - |
dc.type | SNU Journal | - |
dc.contributor.AlternativeAuthor | 조재호 | - |
dc.citation.journaltitle | Seoul Journal of Business | - |
dc.citation.endpage | 70 | - |
dc.citation.number | 2 | - |
dc.citation.pages | 55-70 | - |
dc.citation.startpage | 55 | - |
dc.citation.volume | 4 | - |
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