Speculation and the Term Structure of Interest Rates
构建了一个包含理性但信息异质交易者的均衡期限结构模型，发现投机动机是交易量的重要驱动因素，且投机导致的收益率动态在统计上区别于经典期限结构成分，对长期美国国债收益率变动有显著解释力。
We develop and estimate a tractable equilibrium term structure model populated with rational but heterogeneously informed traders that take on speculative positions to exploit what they perceive to be inaccurate market expectations about future bond prices. The speculative motive is an important driver of trading volume. Yield dynamics due to speculation are (1) statistically distinct from classical term structure components due to risk premiums and expectations about future short rates and are orthogonal to public information available to traders in real time and (2) quantitatively important, accounting for a substantial fraction of the variation of long maturity U.S. bond yields. Received May 12, 2014; editorial decision May 10, 2016 by Editor Pietro Veronesi.