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Teoria da estrutura a termo das taxas de juros

This paper uses an intertemporal general equilibrium asset pricing model to study the term structure of interest rates. In this model, anticipations, risk aversion, investment alternatives, and preferences about the timing of consumption all play a role in determining bond prices. Many of the factors tradicionally mentioned as infl uencing the term structure are thus include in a way which is fully consistent with maximizing behavior and rational expectations. The model leads to specifi c formulas of bond prices which are well suited for empirical testing.

Asset pricing model; term structure; bonds; general equilibrium theory; empirical test


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