The Term Structure of Interest Rates in an Equilibrium Economy with Short Term and Long Term Investments

52 Pages Posted: 17 Mar 2009 Last revised: 10 Jan 2010

See all articles by Carles Vergara-Alert

Carles Vergara-Alert

University of Navarra - IESE Business School

Multiple version iconThere are 3 versions of this paper

Date Written: December 1, 2009

Abstract

This paper develops a general equilibrium model to study the link between real investments and the real term structure of interest rates. In the model, agents' decisions on consumption and investments with short and long term horizons determine the dynamics of the term structure. The model and its calibration to U.S. data show that realistic moments of consumption, investments and the term structure can be explained when we distinguish between short term and long term investments.

Keywords: Term Structure, Yield Curve, Interest Rates, General Equilibrium, Consumption, Investments, Time-to-build, Simulated Method of Moments

JEL Classification: G00, C61, G12, C68, G10

Suggested Citation

Vergara-Alert, Carles, The Term Structure of Interest Rates in an Equilibrium Economy with Short Term and Long Term Investments (December 1, 2009). Available at SSRN: https://ssrn.com/abstract=1361591 or http://dx.doi.org/10.2139/ssrn.1361591

Carles Vergara-Alert (Contact Author)

University of Navarra - IESE Business School ( email )

Av. Pearson 21
Barcelona, 08034
Spain
+34 932544200 (Phone)
+34 932534343 (Fax)

HOME PAGE: http://web.iese.edu/cvergara/

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
83
Abstract Views
714
rank
145,625
PlumX Metrics