Accéder directement au contenu Accéder directement à la navigation
Article dans une revue

A Reconsideration of the Role of Forward-Market Arbitrage in Keynes’s and Hicks’s Theories of the Term Structure of Interest Rates

Abstract : This paper develops the relationship between Hicks’s and Keynes’s writings on the theory of the term structure of interest rates, and shows in detail how Hicks built on and extended Keynes’s account. According to this theory, the level of the long-term interest rate is determined by expectations of future short-term rates. Keynes’s thinking contained several notions – such as the preferred habitat of lenders, the theory of forward markets, and risk-premiums – which Hicks used to give a more complete theory of the term structure of interest rates. Besides implementing these notions in his own theory, Hicks introduced the concepts of the preferred habitat of borrowers, the liquidity risk premium, and arbitrageurs who can take advantage of spreads between spot and forward rates and eliminate risk premiums.
Type de document :
Article dans une revue
Liste complète des métadonnées

https://hal-univ-bourgogne.archives-ouvertes.fr/hal-01696168
Contributeur : Lucy Brillant <>
Soumis le : mardi 3 septembre 2019 - 16:13:44
Dernière modification le : dimanche 19 janvier 2020 - 18:38:38
Archivage à long terme le : : mercredi 5 février 2020 - 23:05:03

Fichier

A Reconsideration of the role ...
Fichiers produits par l'(les) auteur(s)

Identifiants

  • HAL Id : hal-01696168, version 1

Collections

Citation

Lucy Brillant. A Reconsideration of the Role of Forward-Market Arbitrage in Keynes’s and Hicks’s Theories of the Term Structure of Interest Rates. European Journal of the History of Economic Thought, Taylor & Francis (Routledge), 2014, 21 (6), pp.1085-1101. ⟨hal-01696168⟩

Partager

Métriques

Consultations de la notice

141

Téléchargements de fichiers

32