Heterogeneous Expectations and Bond Markets

• 成果类型: Article
• 署名作者: Xiong, Wei; Yan, Hongjun
• 署名单位: Yale University; Princeton University; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhp091
• 发表日期: 2010
• 页码: 1433
• 关键词: PURE EXCHANGE ECONOMY; term interest-rates; asset prices; macroeconomic models; risk premia; beliefs; consumption; volatility; portfolio; investor

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. The heterogeneous expectations cause agents to take on 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 expectations can help explain several puzzling phenomena, including the excessive volatility 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. (JEL D50, D90, G12)