The term structure of interest rates in a pure exchange economy with heterogeneous investors

• 成果类型: Article
• 署名作者: Wang, J
• 署名单位: National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/0304-405X(95)00854-8
• 发表日期: 1996
• 页码: 75-110
• 关键词: Asset pricing; Interest rates; term structure; preferences heterogeneity

摘要

This paper presents an equilibrium model of the term structure of interest rates when investors have heterogeneous preferences. The basic model considers a pure exchange economy of two classes of investors with different (but constant) relative risk aversion and gives closed-form solutions to bond prices. I use the model to examine the effect of preference heterogeneity on the behavior of bond yields. The model is also extended to cases of more than two classes of investors.