| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP7563
|
| DP7563 Communication, Renegotiation, and the Scope for Collusion |
| Kai-Uwe Kühn; David J. Cooper
|
| 发表日期 | 2009-11-15
|
| 出版年 | 2009
|
| 语种 | 英语
|
| 摘要 | We model the term structure of interest rates as resulting from the interaction between investor clienteles with preferences for specific maturities and risk-averse arbitrageurs. Because arbitrageurs are risk averse, shocks to clienteles' demand for bonds affect the term structure---and constitute an additional determinant of bond prices to current and expected future short rates. At the same time, because arbitrageurs render the term structure arbitrage-free, demand effects satisfy no-arbitrage restrictions and can be quite different from the underlying shocks. We show that the preferred-habitat view of the term structure generates a rich set of implications for bond risk premia, the effects of demand shocks and of shocks to short-rate expectations, the economic role of carry trades, and the transmission of monetary policy. |
| 主题 | Financial Economics
|
| 关键词 | Bond risk premia
Carry trades
Limited arbitrage
Preferred habitat
Term structure of interest rates
|
| URL | https://cepr.org/publications/dp7563
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536399
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推荐引用方式
GB/T 7714 |
Kai-Uwe Kühn,David J. Cooper. DP7563 Communication, Renegotiation, and the Scope for Collusion. 2009.
|
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