ISSN:
1573-692X
Keywords:
incomplete information
;
term structure of interest rates
Source:
Springer Online Journal Archives 1860-2000
Topics:
Economics
Notes:
Abstract The effect of incomplete information on the term structure ofinterest rates is examined in the framework of a pure exchangeeconomy under uncertainty where aggregate output grows at aconstant rate. If the growth rate is known, the term structure isflat. In contrast, the term structure is a decreasing curve whenagents do not know the growth rate. Long term yields are less thanthe short rate and the yield of long term bonds is determined bythe worst possible realizations of future short rates.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1023/A:1009833908681
Permalink