Cox, John C.; Ingersoll, Jonathan E. jun.; Ross, Stephen A. A theory of the term structure of interest rates. (English) Zbl 1274.91447 Econometrica 53, 385-407 (1985). Summary: This paper uses an intertemporal general equilibrium asset pricing model to study the term structure of interest rates. In this model, anticipations, risk aversion, investment alternatives, and preferences about the timing of consumption all play a role in determining bond prices. Many of the factors traditionally mentioned as influencing the term structure are thus included in a way which is fully consistent with maximizing behavior and rational expectations. The model leads to specific formulas for bond prices which are well suited for empirical testing.See also the authors’ paper [ibid. 53, 363–384 (1985; Zbl 0576.90006)]. Cited in 27 ReviewsCited in 1533 Documents MSC: 91G30 Interest rates, asset pricing, etc. (stochastic models) 91B50 General equilibrium theory Keywords:interest rates; asset pricing model; CIR model Citations:Zbl 0576.90006 × Cite Format Result Cite Review PDF Full Text: DOI Link Link