Creator: Aiyagari, S. Rao., Wallace, Neil., and Wright, Randall. Series: Lucas expectations anniversary conference Abstract:
A pairwise random meeting model with money is used to study the nominal yield on pure-discount, default-free securities that are issued by the government. There is one steady state with matured securities at par and, for some parameters, another with them at a discount. In the former, exogenous rejection of unmatured securities by the government is necessary and sufficient for such a steady state to display a positive nominal yield on unmatured securities. In the latter, the post-maturity discount on securities induces a deeper pre-maturity discount even if there is no exogenous rejection of unmatured securities.
关键词: Maturity, Government securities, and Interest rates 学科: E43 - Money and interest rates - Determination of interest rates ; Term structure of interest rates and E02 - Macroeconomics and monetary economics - General - Institutions and the macroeconomy