TY  - BOOK
AU  - Jermann,Urban
ED  - National Bureau of Economic Research.
TI  - A Production-Based Model for the Term Structure
T2  - NBER working paper series
PY  - 2013///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - February 2013; Hardcopy version available to institutional subscribers
N2  - This paper considers the term structure of interest rates implied by a production-based asset pricing model where the fundamental drivers are investment in equipment and structures, and inflation. The model matches the average yield curve up to five year maturity almost perfectly. Longer term yields are roughly as volatile as in the data. The model also generates time-varying bond risk premiums. In particular, when running Fama-Bliss regressions of excess returns on forward premiums, the model produces slope coefficients of roughly half the size of the empirical counterparts. Closed-form expressions highlight the importance of the capital depreciation rates for interest rate dynamics
UR  - https://www.nber.org/papers/w18774
UR  - http://dx.doi.org/10.3386/w18774
ER  -