发帖
雷达卡
A dynamic equilibrium model with two groups of investors holding heterogeneous expectations about future economic conditions. The heterogeneous expectations cause investors to take on 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 equilibrium risk premia. A modest amount of heterogeneous expectations can help resolve several challenges encountered by standard representative-agent models, including 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.
京公网安备 11010802022788号
