. An increase in equity premia will therefore be accompanied by a cut in policy interest rates, even if the policy rule …

endowment dynamics. We apply the framework to the term structure of interest rates and show that the model generates an upward … sloping term structure of nominal interest rates, a downward sloping term structure of real interest rates, and that it …

We build and estimate an equilibrium model of the term structure of interest rates based on a recursive utility …

We propose a regime-switching approach to deal with the lower bound on nominal interest rates in dynamic term structure …

. This forecast distortion generates a delayed overreaction of exchange rates to interest rate differential shocks that leads … to a negative unconditional correlation between exchange rate changes and interest rate differentials, i.e., a negative … Fama coefficient. Using change-of-measure techniques, we derive the familiar uncovered interest rate parity condition …