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- W1489364536 abstract "When relative risk aversion is constant, the yield curve should be completely flat if the growth rate of the economy follows an i.i.d. process, i.e., if shocks to GNP are permanent. We examine how the yield curve is affected by the existence of non-persistent shocks to the economy. When consumption exhibits mean reversion, the long-term macroeconomic risk is proportionally smaller than the short-term one. Because less risk entails a reduction in the equilibrium interest rate if the representative agent is prudent, it is intuitive that the presence of mean reversion should make the yield curve increasing, at least for long horizons where mean reversion seems to play a role. We provide a theoretical foundation for an upward-sloping curve when growth reverts to its trend." @default.
- W1489364536 created "2016-06-24" @default.
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- W1489364536 date "2003-01-01" @default.
- W1489364536 modified "2023-09-27" @default.
- W1489364536 title "Transitory Shocks to GNP and the Consumption-Based Term Structure of Interest Rates" @default.
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