Heterogeneous Expectations and Bond Markets
构建了一个动态均衡模型，其中两类投资者对未来经济状况持有不同预期，导致投机和财富波动，进而放大债券价格波动并解释收益率过度波动、预期假说失败等谜题。
This paper presents a dynamic equilibrium model of bond markets in which two groups of agents hold heterogeneous expectations about future economic condi-tions. The heterogeneous expectations cause agents to take speculative positions against each other and therefore generate endogenous relative wealth fluctuation. The relative wealth fluctuation amplifies asset price volatility and contributes to the time variation in bond premia. Our model shows that a modest amount of heterogeneous expectation can help explain several puzzling phenomena, in-cluding the “excessive volatility ” of bond yields, the failure of the expectations hypothesis, and the ability of a tent-shaped linear combination of forward rates to predict bond returns.