The Term Structure of Interest Rates in a Partially Observable Economy
研究不完全信息下多期生产与交换经济中的利率期限结构，投资者通过动态贝叶斯推断识别更复杂的生产函数，从而产生更丰富的期限结构，并发现预期假说仅在利率非随机时成立。
ABSTRACT This paper investigates the term structure of interest rates in a multiperiod production and exchange economy with incomplete information. Unable to observe their stochastic investment opportunities, investors engage in dynamic Bayesian inference. This results in the endogenous identification of a more complex production function which generates a richer term structure, resembling the one that actual market prices imply. In addition, this paper introduces a characteristic function of the term structure and demonstrates that, in contrast with a fully observable economy, the widely investigated expectations hypothesis holds true only if interest rates are nonstochastic.