-maturity default-free bonds. The volatility of the long end of the term structure and its relationship with monetary policy are …, specifically stochastic volatility models combined with Epstein-Zin recursive utility, can account for such patterns. We study the … properties of the yield curve when inflation is an exogenous process and compare this to the yield curve when inflation is …

-maturity default-free bonds. The volatility of the long end of the term structure and its relationship with monetary policy are …, specifically stochastic volatility models combined with Epstein-Zin recursive utility, can account for such patterns. We study the … properties of the yield curve when inflation is an exogenous process and compare this to the yield curve when inflation is …

-maturity default-free bonds. The volatility of the long end of the term structure and its relationship with monetary policy are …, specifically stochastic volatility models combined with Epstein-Zin recursive utility, can account for such patterns. We study the … properties of the yield curve when inflation is an exogenous process and compare this to the yield curve when inflation is …

Gaussian affine term structure models attribute time‐varying bond risk premia to changing risk prices driven by the … conditional means of the risk factors, while structural models with recursive preferences credit it to stochastic volatility. We … model with recursive preferences. Our model is affine and has analytical bond prices making it empirically tractable. We use …