College of Business, The Ohio State University, and The Anderson Graduate School of Management, UCLA, respectively. We are grateful for the suggestions and comments of Avi Bick, Fischer Black, Riccardo Cesari, K. C. Chan, Michael Hemler, Andrew Karolyi, Chester Spatt; workshop participants at the University of British Columbia, the University of Colorado at Boulder, Columbia University, the University of Geneva, Harvard University, the University of Iowa, the Kansallis Foundation for Financial Research, New York University, the University of St. Gallen, UCLA, Washington University; and participants at the Research Institute of the Finnish Economy, the 1991 European Finance Association meetings, the Second Summer Symposium of the European Science Foundation Network in Financial Markets, the Second International Conference of the Centre for Research in Finance—IMI Group, the 1991 Western Finance Association meetings, and the 1991 Western Economic Association meetings. The first author acknowledges financial support from the Charles A. Dice Center for Research in Banking and Financial Economics. We are particularly grateful for the comments of two anonymous referees and the editor, René Stulz. All errors are our responsibility.
Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model
Version of Record online: 30 APR 2012
© 1992 the American Finance Association
The Journal of Finance
Volume 47, Issue 4, pages 1259–1282, September 1992
How to Cite
LONGSTAFF, F. A. and SCHWARTZ, E. S. (1992), Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model. The Journal of Finance, 47: 1259–1282. doi: 10.1111/j.1540-6261.1992.tb04657.x
- Issue online: 30 APR 2012
- Version of Record online: 30 APR 2012
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