| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9755 |
| DP9755 Speculation, Risk Premia and Expectations in the Yield Curve | |
| [unavailable] | |
| 发表日期 | 2013-11-24 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | An affine asset pricing model in which agents have rational but heterogeneous expectations about future asset prices is developed. We estimate the model using data on bond yields and individual survey responses from the Survey of Professional Forecasters and perform a novel three-way decomposition of bond yields into (i) average expectations about short rates (ii) risk premia and (iii) a speculative component due to heterogeneous expectations about the resale value of a bond. We prove that the speculative term must be orthogonal to public information in real time and therefore statistically distinct from risk premia. Empirically, the speculative component is quantitatively important, accounting for up to one percentage point of US yields. Furthermore, estimates of historical risk premia from the heterogeneous information model are less volatile than, and negatively correlated with, risk premia estimated using a standard Affine Gaussian Term Structure model. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Heterogenous information Speculation Survey data Term structure of interest rates |
| URL | https://cepr.org/publications/dp9755 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538591 |
| 推荐引用方式 GB/T 7714 | [unavailable]. DP9755 Speculation, Risk Premia and Expectations in the Yield Curve. 2013. |
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