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Notes on the yield curve
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DOI：10.1016/j.jfineco.2019.04.014.png)
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Abstract
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We study the properties of the yield curve under the assumptions that (i) the fixed income market is complete and (ii) the state vector that drives interest rates follows a finite discrete-time Markov chain. We focus in particular on the relationship between the behavior of the long end of the yield curve and the recovered time discount factor and marginal utilities of a pseudo-representative agent; and on the relationship between the trappedness of an economy and the convergence of yields at the long end. (C) 2019 The Author(s). Published by Elsevier B.V.
Keywords:
Yield curve
Term structure
Recovery theorem
Traps
Cheeger inequality
Eigenvalue gap
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