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The Real Term Premium in a Stationary Economy with Segmented Asset Markets. (2018). Lee, Junsang ; Chien, YiLi.
In: Working Papers.
RePEc:fip:fedlwp:2018-030.

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  11. Grkaynak, R. S., and J. H. Wright (2012): “Macroeconomics and the Term Structure,” Journal of Economic Literature, 50(2), 331–67.
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  12. Guiso, L., and P. Sodini (2012): “Household Finance. An Emerging Field,” EIEF Working Paper.

  13. Mendoza, E. G., V. Quadrini, and J.-V. Rios-Rull (2009): “Financial Integration, Financial Development, and Global Imbalances,” Journal of Political Economy, 117(3), 371–416.

  14. Piazzesi, M., and M. Schneider (2007): “Equilibrium Yield Curves,” in NBER Macroeconomics Annual 2006, Volume 21, NBER Chapters, pp. 389–472. National Bureau of Economic Research, Inc.

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  18. Wachter, J. (2006): “A Consumption-Based Model of the Term Structure of Interest Rates,” Journal of Financial Economics, 79, 365–399. A Appendix A.1 Time-Zero Trading Household Problem This Appendix describes an equivalent version of this economy in which all households trade at time zero. The time-zero price of a claim that pays one unit of consumption in node zt can be constructed recursively from the one-period-ahead Arrow prices: P(zt )π(zt ) = Q(zt|zt−1 )Q(zt−1|zt−2 )...Q(z1|z0 )Q(z0), The net financial wealth position of any trader in the home country given the history can be stated as −at(zt , ηt ) = X s≥t X (zs,ηs)(zt,ηt) e P(zs , ηs ) [γY (zs )ηs − c(zs , ηs )] , where e P(zt, ηt) = π(zt, ηt)P(zt). From the above equation, we are able to write the household problem in the form of time-zero trading fashion as shown in the next subsection.

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