全球智库信息集成服务系统(G2TT): Heterogeneous Expectations and Bond Markets

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w12781
来源ID	Working 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
URL	https://www.nber.org/papers/w12781
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/570441
推荐引用方式 GB/T 7714	Wei Xiong,Hongjun Yan. Heterogeneous Expectations and Bond Markets. 2006.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w12781.pdf（322KB）	智库出版物		限制开放	CC BY-NC-SA	浏览