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来源类型Working Paper
规范类型报告
DOI10.3386/w12781
来源IDWorking Paper 12781
Heterogeneous Expectations and Bond Markets
Wei Xiong; Hongjun Yan
发表日期2006-12-20
出版年2006
语种英语
摘要This paper presents a dynamic equilibrium model of bond markets, in which two groups of agents hold heterogeneous expectations about future economic conditions. Our model shows that heterogeneous expectations can not only lead to speculative trading, but can also help resolve several challenges to standard representative-agent models of the yield curve. First, the relative wealth fluctuation between the two groups of agents caused by their speculative positions amplifies bond yield volatility, thus providing an explanation for the "excessive volatility puzzle" of bond yields. In addition, the fluctuation in the two groups' expectations and relative wealth also generates time-varying risk premia, which in turn can help explain the failure of the expectation hypothesis. These implications, essentially induced by trading between agents, highlight the importance of incorporating heterogeneous expectations into economic analysis of bond markets.
主题Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing
URLhttps://www.nber.org/papers/w12781
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/570441
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GB/T 7714
Wei Xiong,Hongjun Yan. Heterogeneous Expectations and Bond Markets. 2006.
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