General equilibrium with heterogeneous participants and discrete consumption times

The paper investigates the term structure of interest rates imposed by equilibrium in a production economy consisting of participants with heterogeneous preferences. Consumption is restricted to an arbitrary number of discrete times. The paper contains an exact solution to market equilibrium and provides an explicit constructive algorithm for determining the state price density process. The convergence of the algorithm is proven. Interest rates and their behavior are given as a function of economic variables.