Speculation, Sentiment, and Interest Rates
研究了异质性经济体中投机与对冲渠道对债券市场的影响，发现乐观投机导致国债风险溢价，分歧影响情绪并解释国债市场特征，实证表明分歧降低无风险利率、提高收益率曲线斜率，并在积极情绪下增加债券风险溢价并使其逆周期。
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. This paper was accepted by Karl Diether, finance.