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A production-based model for the term structure

机译：基于生产的期限结构模型

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This paper considers the term structure of interest rates implied by a production-based asset pricing model in which the fundamental drivers are investment in equipment and structures as well as inflation. The model matches the average yield curve up to five-year maturity almost perfectly. Longer term yields are roughly as volatile as in the data. The model also generates time-varying bond risk premiums. In particular, when running Fama-Bliss regressions of excess returns on forward premiums, the model produces slope coefficients of roughly half the size of the empirical counterparts. Closed-form expressions highlight the importance of the capital depreciation rates for interest rate dynamics.
机译：本文考虑了基于生产的资产定价模型所隐含的利率期限结构，该模型的基本驱动力是对设备和结构的投资以及通货膨胀。该模型几乎完美地匹配了五年到期的平均收益率曲线。长期收益率大致与数据一样波动。该模型还生成随时间变化的债券风险溢价。特别地，当对远期保费进行超额收益的Fama-Bliss回归时，该模型产生的斜率系数大约是经验值的一半。封闭形式的表达式突出了资本折旧率对利率动态的重要性。

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