-coupon bond options and dynamics of the forward rate curve, under both the actual and risk-neutral measure, in terms of a finite …

important lenders' portfolio behavior can be in bringing about the adjustment of interest rates which Fisher's theory associates … with expected inflation. Given the importance of this adjustment for questions of both monetary theory and monetary policy …

This paper proposes a dynamic risk-based model capable of jointly explaining the term structure of interest rates …, returns on the aggregate market and the risk and return characteristics of value and growth stocks. Both the term structure of … are priced, but shocks to the price of risk are not. Given reasonable assumptions for dividends and inflation, we show …

This paper develops two models, one involving risk neutrality and the other risk aversion, which suggest that inflation … evidence supports the hypothesis that inflation uncertainty affects interest rates. Interpreted in terms of the risk neutral … positive impact on the expected real rate. If the results are interpreted in terms of the risk averse model, inflation …

monetary base and the price level at these times differed from the post-World War I1 experience in ways predicted by the theory …

future interest rates differentials, expectations of future exchange rates, and risk premia. While much previous empirical … depreciation at a horizon of a year and longer and an increase in the risk premium, consistent with the argument that it also …