Andrea Buraschi is a Professor of Finance at Tanaka Business School, Imperial College London, CEPR and IMD. Alexei Jiltsov is at Lehman Brothers, London. We are grateful to Geert Bekaert, Mikhail Chernov, Jefferson Duarte, Francisco Gomes, Dennis Gromb, Andrew Jackson, Charles Jones, Vasant Naik, Randi Rosenblatt, Tano Santos, Raman Uppal, and Pietro Veronesi for their suggestions, and to an anonymous referee whose comments greatly improved the paper. We are also grateful to workshops participants at Columbia Business School, European Central Bank, the Gerzensee Summer Symposium, Lehman Brothers, London Business School, Imperial College London, University of St. Gallen, University of Amsterdam, University of Mannheim, and the University of Frankfurt for their comments. The usual disclaimer applies.
Habit Formation and Macroeconomic Models of the Term Structure of Interest Rates
Version of Record online: 28 NOV 2007
© 2007 the American Finance Association
The Journal of Finance
Volume 62, Issue 6, pages 3009–3063, December 2007
How to Cite
BURASCHI, A. and JILTSOV, A. (2007), Habit Formation and Macroeconomic Models of the Term Structure of Interest Rates. The Journal of Finance, 62: 3009–3063. doi: 10.1111/j.1540-6261.2007.01299.x
- Issue online: 28 NOV 2007
- Version of Record online: 28 NOV 2007
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