Heterogeneous Expectations And Bond Markets
Download Heterogeneous Expectations And Bond Markets full books in PDF, epub, and Kindle. Read online free Heterogeneous Expectations And Bond Markets ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Heterogeneous Expectations and Bond Markets
Author | : Hongjun Yan |
Publisher | : |
Total Pages | : 40 |
Release | : 2010 |
Genre | : |
ISBN | : |
Download Heterogeneous Expectations and Bond Markets Book in PDF, Epub and Kindle
This paper presents a dynamic equilibrium model of bond markets in which two groups of agents hold heterogeneous expectations about future economic conditions. The heterogeneous expectations cause agents to take speculative positions against each other and therefore generate endogenous relative wealth fluctuation. The relative wealth fluctuation amplifies asset price volatility and contributes to the time variation in bond premia. Our model shows that a modest amount of heterogeneous expectation can help explain several puzzling phenomena, including the quot;excessive volatilityquot; of bond yields, the failure of the expectations hypothesis, and the ability of a tent-shaped linear combination of forward rates to predict bond returns.
Heterogeneous Expectations and Bond Markets Related Books
Pages: 40
Pages: 119
Pages: 55
Pages: 26
Pages: 148