Cox, John C., Jonathan E. Ingersoll, Jr., and Stephen A. Ross, "A Theory of the Term Structure of Interest Rates", Econometrica, Vol. 53, No. 2, (March 1985), pp. 385-407.

Abstract: 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 traditionally mentioned as influencing the term structure are thus included in a way which is fully consistent with maximizing behavior an rational expectations. The model leads to specific formulas for bond prices which are well suited for empirical testing.

Books Referenced in this paper:  (what is this?)

Download paper (2,148K PDF) 25 pages

[