Speculation and the Term Structure of Interest Rates

• 成果类型: Article
• 署名作者: Barillas, Francisco; Nimark, Kristoffer P.
• 署名单位: Emory University; Cornell University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx059
• 发表日期: 2017
• 页码: 4003
• 关键词: information; expectations; aggregation; equilibrium; forecasts

摘要

We develop and estimate a tractable equilibrium term structure model populated with rational but heterogeneously informed traders that take on speculative positions to exploit what they perceive to be inaccurate market expectations about future bond prices. The speculative motive is an important driver of trading volume. Yield dynamics due to speculation are (1) statistically distinct from classical term structure components due to risk premiums and expectations about future short rates and are orthogonal to public information available to traders in real time and (2) quantitatively important, accounting for a substantial fraction of the variation of long maturity U.S. bond yields.