Speculation, Sentiment, and Interest Rates

• 成果类型: Article
• 署名作者: Buraschi, Andrea; Whelan, Paul
• 署名单位: Imperial College London; Copenhagen Business School
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2021.3956
• 发表日期: 2022
• 页码: 2308-2329
• 关键词: fixed income; Bond risk premia; heterogeneous agents; speculation

摘要

We compare the implications of speculation versus hedging channels for bond markets in heterogeneous agents' economies. Treasuries command a significant risk premium when optimistic agents speculate by leveraging their positions using bonds. Disagreement drives a wedge between marginal agent versus econometrician beliefs (sentiment). When speculative demands dominate, the interaction between belief heterogeneity and sentiment helps rationalize several puzzling characteristics of Treasury markets. Empirically, we test model predictions and find that larger disagreement (i) lowers the risk-free rate, (ii) raises the slope of the yield curve, and (iii) with positive sentiment increases bond risk premia and makes its dynamics countercyclical.