The quality of public information and the term structure of interest rates

被引：2
作者：
Lundtofte F. [1 ]
机构：
[1] Department of Economics, Lund University, 220 07 Lund
来源：
Review of Quantitative Finance and Accounting | 2013年 / 40卷 / 4期
关键词：
Incomplete information; Information quality; Learning; Term structure of interest rates;
D O I：
10.1007/s11156-012-0295-y
中图分类号：
学科分类号：
摘要：
This paper analyzes the term structure of interest rates in an exchange-only Lucas (Econometrica 46:1429-1445, 1978) economy where consumers learn about a stochastic growth rate through observations of the endowment process and an external public signal. We allow for deluded consumers, who exaggerate the degree of covariation between the external public signal and the growth rate. With such consumers, there can be a premium for noisy external public information in long-term bonds and the social value of more precise public information can be negative. Moreover, our model can create excessive yield volatility and deviations from the expectations hypothesis. © 2012 Springer Science+Business Media, LLC.
引用
收藏
页码：715 / 740
页数：25
相关论文
共 48 条
[1]  
Brennan M.J., The role of learning in dynamic portfolio decisions, Eur Finan Rev, 1, pp. 295-306, (1998)
[2]  
Brennan M.J., Xia Y., Assessing asset pricing anomalies, Rev Financ Stud, 14, pp. 905-945, (2001)
[3]  
Brennan M.J., Xia Y., Stock return volatility and equity premium, J Monet Econ, 47, pp. 249-283, (2001)
[4]  
Buraschi A., Jiltsov A., Habit formation and macroeconomic models of the term structure of interest rates, J Finan, 62, pp. 3009-3063, (2007)
[5]  
Campbell J., Shiller R., A simple account of the behavior of long term interest rates, Am Econ Rev, 74, pp. 44-48, (1984)
[6]  
Campbell J., Shiller R., Yield spreads and interest rate movements: a bird's eye view, Rev Econ Stud, 58, pp. 495-514, (1991)
[7]  
Cochrane J.H., Asset Pricing, (2001)
[8]  
Cox J.C., Ingersoll J.E., Ross S.A., A re-examination of traditional hypotheses about the term structure of interest rates, J Finan, 36, pp. 769-799, (1981)
[9]  
Cox J.C., Ingersoll J.E., Ross S.A., An intertemporal general equilibrium model of asset prices, Econometrica, 53, pp. 363-384, (1985)
[10]  
Cox J.C., Ingersoll J.E., Ross S.A., A theory of the term structure of interest rates, Econometrica, 53, pp. 385-407, (1985)
12345