  This paper constructs and studies the long-term factorization of affine
pricing kernels into discounting at the rate of return on the long bond and the
martingale component that accomplishes the change of probability measure to the
long forward measure. The principal eigenfunction of the affine pricing kernel
germane to the long-term factorization is an exponential-affine function of the
state vector with the coefficient vector identified with the fixed point of the
Riccati ODE. The long bond volatility and the volatility of the martingale
component are explicitly identified in terms of this fixed point. A range of
examples from the asset pricing literature is provided to illustrate the
theory.
