Rational Expectations Model of Term Premia with Some Implications for Empirical Asset Demand Equations
利用资本资产定价模型推导不同期限债券的均衡价格时间序列，理性预期要求资产需求行为基于市场出清隐含的收益协方差，这给债券价格解的参数施加了非线性约束，并讨论了不变需求函数假设的适用条件。
ABSTRACT This paper derives the equilibrium time series processes characterizing the prices of bonds which differ by maturity using the CAPM relationship between expected returns. The assumption of rational expectations requires that asset demand behavior, which determines bond prices in equilibrium, be based on the covariances among returns that are implied by the assumption of market clearing. This requirement imposes nonlinear restrictions on the parameters in the solution for bond prices. Some implications for the types of comparative static exercises for which it is legitimate to assume invariant demand functions are discussed, and some numerical solutions for bond prices are derived.