utility with non-unitary elasticity of intertemporal substitution (EIS, henceforth) in a
representative-agent endowment economy with mean-reverting expectations on real output
growth and inflation. Using this model, we make clear structural relationships among a term
structure of real and nominal interest rates, utility form and underlying economic factors (in
particular, inflation expectation). Notably, we show that, if (1) the EIS is less than one,(2) the …