000			02080cam a22003257 4500
001			w18774
003			NBER
005			20211020110348.0
006			m o d
007			cr cnu||||||||
008			210910s2013 mau fo 000 0 eng d
100	1		_aJermann, Urban.
245	1	2	_aA Production-Based Model for the Term Structure / _cUrban Jermann.
260			_aCambridge, Mass. _bNational Bureau of Economic Research _c2013.
300			_a1 online resource: _billustrations (black and white);
490	1		_aNBER working paper series _vno. w18774
500			_aFebruary 2013.
520	3		_aThis 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.
530			_aHardcopy version available to institutional subscribers
538			_aSystem requirements: Adobe [Acrobat] Reader required for PDF files.
538			_aMode of access: World Wide Web.
588	0		_aPrint version record
690		7	_aE22 - Investment • Capital • Intangible Capital • Capacity _2Journal of Economic Literature class.
690		7	_aG12 - Asset Pricing • Trading Volume • Bond Interest Rates _2Journal of Economic Literature class.
710	2		_aNational Bureau of Economic Research.
830		0	_aWorking Paper Series (National Bureau of Economic Research) _vno. w18774.
856	4	0	_uhttps://www.nber.org/papers/w18774
856			_yAcceso en línea al DOI _uhttp://dx.doi.org/10.3386/w18774
942			_2ddc _cW-PAPER
999			_c329348 _d287910