scholarly journals Risk aversion, intertemporal substitution, and the term structure of interest rates

2011 ◽  
Vol 27 (6) ◽  
pp. 1013-1036 ◽  
Author(s):  
René Garcia ◽  
Richard Luger
Keyword(s):  
Risk Aversion ◽  
Interest Rates ◽  
Term Structure ◽  
Intertemporal Substitution

Risk-aversion and the term structure of real interest rates

1982 ◽  
Vol 10 (3-4) ◽  
pp. 355-361 ◽  
Author(s):  
Stephen F. LeRoy
Keyword(s):  
Risk Aversion ◽  
Interest Rates ◽  
Term Structure ◽  
Real Interest Rates

Risk Premiums versus Waiting-Options Premiums: A Simple Numerical Example

2009 ◽  
Vol 9 (1) ◽  
Author(s):  
Kenji Miyazaki ◽  
Makoto Saito
Keyword(s):  
Risk Aversion ◽  
Interest Rates ◽  
Excess Returns ◽  
Intertemporal Substitution ◽  
Informative Signal ◽  
Risky Assets ◽  
Risk Premiums ◽  
Numerical Examples ◽  
Numerical Example ◽  
New Information

This paper investigates how interest rates on liquid assets and excess returns on risky assets are determined when only safe assets can be used as liquid assets when waiting for an informative signal of future payoffs. In particular, we carefully differentiate between a demand for liquid assets while waiting for new information and a demand for safe assets for precautionary reasons. Employing Kreps--Porteus preferences, numerical examples demonstrate that larger waiting-options premiums (lower interest rates) emerge with higher risk aversion in combination with more elastic intertemporal substitution.

RISK AVERSION, FINANCIAL INTERMEDIATION, AND THE TERM STRUCTURE OF INTEREST RATES

1967 ◽  
Vol 22 (4) ◽  
pp. 611-622 ◽  
Author(s):  
Herschel I. Grossman
Keyword(s):  
Risk Aversion ◽  
Interest Rates ◽  
Term Structure ◽  
Financial Intermediation

Risk-aversion and the term structure of real interest rates correction

1983 ◽  
Vol 12 (3-4) ◽  
pp. 339-340 ◽  
Author(s):  
Stephen F. LeRoy
Keyword(s):  
Risk Aversion ◽  
Interest Rates ◽  
Term Structure ◽  
Real Interest Rates

scholarly journals Time-varying risk aversion and forecastability of the US term structure of interest rates

2021 ◽  
pp. 101924
Author(s):  
Elie Bouri ◽  
Rangan Gupta ◽  
Anandamayee Majumdar ◽  
Sowmya Subramaniam
Keyword(s):  
Risk Aversion ◽  
Interest Rates ◽  
Term Structure ◽  
Time Varying ◽  
The Us

Wartime finance and the term structure of interest rates

1969 ◽  
Author(s):  
Julian Howard Taylor
Keyword(s):  
Interest Rates ◽  
Term Structure
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