This paper proposes a continuous-time term-structure model under stochastic differential
utility with non-unitary elasticity of intertemporal substitution (EIS, henceforth) in a …

This paper proposes a testable continuous-time term-structure model with recursive utility to
investigate structural relationships between the real economy and the term structure of real …

This paper extends the Benhabib et al. flexible-price, money-in-the-utility-function model by
considering endogenous time preference and re-examines equilibrium indeterminacy in …

In this paper we present a model of the term structure of interest rates with imperfect
information and stochastic differential utility, a form of non-additive recursive utility. A …

We build and estimate an equilibrium model of the term structure of interest rates based on a
recursive utility specification. We contrast it with an arbitrage‐free model, where prices of risk …

A dynamic stochastic general equilibrium (DSGE) model in which households have Epstein
and Zin recursive preferences is solved with perturbation. The parameters governing …

THE EMPIRICAL EVIDENCE addressed in this study of the term stmcture of interest rates
focuses on the link between interest rates and the role of the time series properties of …

The aim of the present study is to use an alternative approach to derive the term structure of
interest rates in DSGE models, which is based on the theory of preferred habitat. We show …

Abstract The LIBOR (London InterBank Offered Rate) market model of interest rates
introduced in 1997 can be an interest version of the well known Black-Scholes model, and is …

A downward-sloping term structure of equity and upward-sloping term structures of interest
rates arise endogenously in a general-equilibrium model with nominal rigidities and …