Download or read book The Term Structure of Interest Rates in a Pure Exchange Economy with Heterogeneous Investors written by Jiang Wang and published by . This book was released on 1995 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Term Structure of Interest Rate in an Economy Where Investors Have Heterogeneous Recursive Preferences written by Sergey Isaenko and published by . This book was released on 2010 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents an equilibrium model of the term structure of interest rates when investors have heterogeneous recursive preferences. We consider a pure exchange economy with two classes of investors who have different relative risk aversions and different elasticities of intertemporal substitution. The RRA and the EIS can be varied independently for each investor. We use the model to examine the effects that the heterogeneity in preferences of investors has on their portfolio-consumption choices as well as on the instantaneous interest rate and bond yield. We find that the heterogeneity only in the RRA affects the cross-sectional as well as intertemporal variations of the consumption rate, the portfolio allocations for each investor and the instantaneous interest rate. However, the heterogeneity only in the EIS matters only for the intertemporal variations of these processes.
Download or read book The Term Structure of Interest Rates in a Pure Exchange Economy with Heterogeneous Investors written by and published by . This book was released on 1995 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Term Structure of Interest Rates in a Pure Exchange Economy with Hetrogeneous Investors written by Jiang Wang and published by . This book was released on 1995 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Heterogeneous Beliefs and the Term Structure of Interest Rates written by Lue Wu and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider an exchange economy with two groups of investors with identical CRRA utility function but heterogeneous beliefs. The stochastic central tendency of the dividend drift is not observable. Rational investors learn about it from the dividend drift and a signal, while irrational investors base their inference only on the dividend drift observations. The model shows that heterogeneous beliefs increase the bond yields and have strong impact on yield volatilities and correlations. The effect of the level of difference in beliefs is stronger for short term yields, while the effect of consumption share fluctuations between investor groups is stronger for medium and long term yields.
Download or read book Term Structure Dynamics in a Monetary Economy with Learning written by Sadayuki Ono and published by . This book was released on 2006 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates a general-equilibrium asset pricing model of the term structure of nominal interest rates. In a pure exchange economy with incomplete information, investors are unable to observe the expected growth rates of both exogenous endowment and money supply and, therefore, engage in dynamic Bayesian inference. The dependence of term premia on beliefs allows the model to increase the volatility of excess holding returns and introduce GARCH properties, both of which interact with the volatility of macro variables. A calibration exercise also shows that the model generates standard deviations of term premia, which nearly matches data for zero-coupon US Treasury bonds.
Download or read book Modeling the Term Structure of Interest Rates written by Rajna Gibson and published by Now Publishers Inc. This book was released on 2010 with total page 171 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
Download or read book The Term Structure in an Exchange Economy with Two Trees written by Christine A. Parlour and published by . This book was released on 2011 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the term structure of interest rates in a two-tree exchange economy. Even when one of the trees is very small, interest rates are determined differently than in a single tree economy. Rather than always being flat, the yield curve is usually upward sloping but may be downward sloping. In the latter case, the slope predicts a future increase in consumption growth rates and lower future short-term interest rates. In addition, the short and the long interest rates are driven by different variables. As in the one-tree model, the short rate depends on risk aversion; however the long rate depends on consumption growth and volatility, but not on the representative investor's risk aversion. Therefore, our results provide a resolution of the risk-free rate puzzle, and demonstrate the fragility of the one-tree model.
Download or read book The Term Structure of Interest Rates in an Equilibrium Economy with Short Term and Long Term Investments written by Carles Vergara-Alert and published by . This book was released on 2009 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a general equilibrium model to study the link between real investments and the real term structure of interest rates. In the model, agents' decisions on consumption and investments with short and long term horizons determine the dynamics of the term structure. The model and its calibration to U.S. data show that realistic moments of consumption, investments and the term structure can be explained when we distinguish between short term and long term investments.
Download or read book Imperfect Information and Investor Heterogeneity in the Bond Market written by Frank Riedel and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 119 pages. Available in PDF, EPUB and Kindle. Book excerpt: Real world investors differ in their tastes and attitudes and they do not have, in general, perfect information about the future prospects of the economy. Most theoretical models, however, assume to the contrary that investors are homogeneous and perfectly informed about the market. In this book, an attempt is made to overcome these shortcomings. In three different case studies, the effect of heterogeneous time preferences, heterogeneous beliefs and imperfect information about the economy's growth on the term structure of interest rates are studied. The initial chapter gives an introduction to the theory of financial markets in continuous time under imperfect information and establishes the existence of an equilibrium with complete markets.
Download or read book Expectations Uncertainty and the Term Structure of Interest Rates written by J. Colin Dodds and published by . This book was released on 1992 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Dynamic Asset Pricing Theory written by Darrell Duffie and published by Princeton University Press. This book was released on 2010-01-27 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium. These results are unified with two key concepts, state prices and martingales. Technicalities are given relatively little emphasis, so as to draw connections between these concepts and to make plain the similarities between discrete and continuous-time models. Readers will be particularly intrigued by this latest edition's most significant new feature: a chapter on corporate securities that offers alternative approaches to the valuation of corporate debt. Also, while much of the continuous-time portion of the theory is based on Brownian motion, this third edition introduces jumps--for example, those associated with Poisson arrivals--in order to accommodate surprise events such as bond defaults. Applications include term-structure models, derivative valuation, and hedging methods. Numerical methods covered include Monte Carlo simulation and finite-difference solutions for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. A system of appendixes reviews the necessary mathematical concepts. And references have been updated throughout. With this new edition, Dynamic Asset Pricing Theory remains at the head of the field.
Download or read book Financial Derivatives written by Jamil Baz and published by Cambridge University Press. This book was released on 2004-01-12 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: Publisher Description
Download or read book Handbook of the Economics of Finance written by G. Constantinides and published by Elsevier. This book was released on 2003-11-04 with total page 698 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volume 1B covers the economics of financial markets: the saving and investment decisions; the valuation of equities, derivatives, and fixed income securities; and market microstructure.
Download or read book Fixed Income Modelling written by Claus Munk and published by Oxford University Press. This book was released on 2011-06-30 with total page 573 pages. Available in PDF, EPUB and Kindle. Book excerpt: A large number of securities related to various interest rates are traded in financial markets. Traders and analysts in the financial industry apply models based on economics, mathematics and probability theory to compute reasonable prices and risk measures for these securities. This book offers a unified presentation of such models and securities.
Download or read book Asset Management written by Andrew Ang and published by Oxford University Press. This book was released on 2014-07-07 with total page 717 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Asset Management: A Systematic Approach to Factor Investing, Professor Andrew Ang presents a comprehensive, new approach to the age-old problem of where to put your money. Years of experience as a finance professor and a consultant have led him to see that what matters aren't asset class labels, but instead the bundles of overlapping risks they represent. Factor risks must be the focus of our attention if we are to weather market turmoil and receive the rewards that come with doing so. Clearly written yet full of the latest research and data, Asset Management is indispensable reading for trustees, professional money managers, smart private investors, and business students who want to understand the economics behind factor risk premiums, to harvest them efficiently in their portfolios, and to embark on the search for true alpha.
Download or read book Financial Asset Pricing Theory written by Claus Munk and published by OUP Oxford. This book was released on 2013-04-18 with total page 598 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Asset Pricing Theory offers a comprehensive overview of the classic and the current research in theoretical asset pricing. Asset pricing is developed around the concept of a state-price deflator which relates the price of any asset to its future (risky) dividends and thus incorporates how to adjust for both time and risk in asset valuation. The willingness of any utility-maximizing investor to shift consumption over time defines a state-price deflator which provides a link between optimal consumption and asset prices that leads to the Consumption-based Capital Asset Pricing Model (CCAPM). A simple version of the CCAPM cannot explain various stylized asset pricing facts, but these asset pricing 'puzzles' can be resolved by a number of recent extensions involving habit formation, recursive utility, multiple consumption goods, and long-run consumption risks. Other valuation techniques and modelling approaches (such as factor models, term structure models, risk-neutral valuation, and option pricing models) are explained and related to state-price deflators. The book will serve as a textbook for an advanced course in theoretical financial economics in a PhD or a quantitative Master of Science program. It will also be a useful reference book for researchers and finance professionals. The presentation in the book balances formal mathematical modelling and economic intuition and understanding. Both discrete-time and continuous-time models are covered. The necessary concepts and techniques concerning stochastic processes are carefully explained in a separate chapter so that only limited previous exposure to dynamic finance models is required.
