While recent studies based on factor models with no-arbitrage restrictions provide evidence of a positive correlation between the nominal interest rates and real activity, there are few dynamic general equilibrium models which can successfully explain this positive relationship. This paper provides a dynamic general equilibrium model that naturally generates a positive correlation between the nominal interest rates and excess consumption. To this end, we focus on the partial observability of economic variables in a pure exchange economy and derive a closed form solution for two-factor affine term structure model. Our empirical analysis based on the results indeed indicates the positive correlation between the nominal interest rates and excess consumption. Moreover, the time series of the model-implied nominal yield captures many of the short- and long-run fluctuations in the actual data.

尽管最近基于无套利限制因素模型的研究提供了名义利率与实际活动之间正相关的证据，但很少有动态的一般均衡模型可以成功地解释这种正相关。本文提供了一个动态的一般均衡模型，该模型自然会在名义利率和超额消费之间产生正相关。为此，我们着眼于纯交换经济中经济变量的部分可观察性，并推导了两因素仿射项结构模型的封闭形式解决方案。我们基于结果的经验分析确实表明名义利率与超额消费之间存在正相关关系。而且，