Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets

• 成果类型: Article
• 署名作者: Augustin, Patrick; Tedongap, Romeo
• 署名单位: McGill University; McGill University; ESSEC Business School
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2020.3757
• 发表日期: 2021
• 页码: 6266-6293
• 关键词: Asset pricing; macrofinance; numerical methods; term structure of interest rates

摘要

We solve a dynamic equilibrium model with generalized disappointmentaversion preferences and continuous state-endowment dynamics. We apply the framework to the term structure of interest rates and show that the model generates an upwardsloping term structure of nominal interest rates and a downward-sloping term structure of real interest rates and that it accounts for the failure of the expectations hypothesis. The key ingredients are preferences with disappointment aversion, preference for early resolution of uncertainty, and an endowment economy with three state variables: time-varying macroeconomic uncertainty, time-varying expected inflation, and inflation uncertainty.