Greenwood, Robin; Hanson, Samuel G.; Vayanos, Dimitri - National Bureau of Economic Research - 2023
of interest rates. Our starting point is the Vayanos and Vila (2009, 2021) model of the term structure of default …-free bond yields, which we present in both discrete and continuous time. The key friction in the model is that the bond market … discuss extensions of this model in the context of default-free bonds and other asset classes …