The term structure of interest rates with housing

被引：1

作者：

Vergara-Alert, Carles ^{[1
]}

机构：

[1] IESE Business Sch, 21 Pearson Ave, Barcelona 08034, Spain

来源：

JOURNAL OF BANKING & FINANCE | 2018年 / 94卷

关键词：

Term structure; Interest rates; Housing; Real investments; Consumption; EQUILIBRIUM-MODEL; MONETARY-POLICY; ASSET PRICES; STRUCTURE DYNAMICS; BUSINESS-CYCLE; AFFINE MODELS; STOCK; INSURANCE; RETURNS; MARKETS;

D O I：

10.1016/j.jbankfin.2018.08.005

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper develops a general equilibrium model to study the link between the amount of capital invested in housing assets and the term structure of interest rates. In the model, the production of housing assets is irreversible and housing assets can be used as collateral for borrowing funds. Agents' decisions about consumption and investments in housing and non-housing assets generate a time-varying market price of risk that drives the dynamics of the term structure. The calibration to U.S. data using the simulated method of moments technique captures the dynamics of consumption, and the short- and long-term interest rates. (C) 2018 Elsevier B.V. All rights reserved.

引用

页码：221 / 234

页数：14

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