This paper studies the impact of time to build on the term structure of interest rates in an otherwise standard (Cox et al., 1985a; 1985b, CIR) production economy. Due to time to build, production depends not only on the current business condition as in the original CIR, but also on past conditions over the production period. This causes equilibrium quantities, including the short rate, forward rates, and bond returns, to depend on the historical path of the production opportunities. Production delay that accumulates uncertainty over the time to build generates significant time variations in bond risk premia. Bond returns can be predicted by current forward rates, as well as their lagged values, since current market states not only affect the current short rate but also the short rate in a distant future. Due to the path dependence, risk premia cannot be fully spanned by current yields. We show that time to build improves the ability of the CIR in generating empirical facts.

本文研究了在其他标准（Cox等人，1985a； 1985b，CIR）生产经济中，时间构建对利率期限结构的影响。由于需要时间，因此生产不仅取决于原始CIR中的当前业务状况，还取决于生产期间的过去状况。这导致包括短期利率，远期利率和债券收益率在内的均衡数量取决于生产机会的历史轨迹。生产延迟会随着时间的推移积累不确定性，从而在债券风险溢价中产生明显的时间变化。债券回报率可以通过当前远期利率及其滞后值来预测，因为当前市场状态不仅会影响当前的短期利率，而且还会影响遥远的未来的短期利率。由于路径依赖，当前的产量无法完全涵盖风险溢价。我们表明，建立时间可以提高CIR生成经验事实的能力。