Macroeconomic implications of term structures of interest rates under stochastic differential utility with non-unitary EIS

DOI10.1007/S10690-009-9094-4zbMath1187.91220OpenAlexW2094739311MaRDI QIDQ836969

Hisashi Nakamura, Akihiko Takahashi, Wataru Nozawa

Publication date: 9 September 2009

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-009-9094-4

zbMATH Keywords

term structure of interest ratesstochastic differential utilityinflation expectationnon-unitary EIS

Mathematics Subject Classification ID

Utility theory (91B16) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Term structure of interest rates under recursive preferences in continuous time
• An analysis of a least squares regression method for American option pricing
• Optimal consumption and portfolio selection with stochastic differential utility
• A term structure model with preferences for the timing of resolution of uncertainty
• A regression-based Monte Carlo method to solve backward stochastic differential equations
• A Theory of the Term Structure of Interest Rates
• An estimation of economic models with recursive preferences

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