Speculation, risk premia and expectations in the yield curve

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• dc.contributor.author Barillas, Franciscoca
• dc.contributor.author Nimark, Kristofferca
• dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
• dc.date.accessioned 2017-07-26T12:07:55Z
• dc.date.available 2017-07-26T12:07:55Z
• dc.date.issued 2012-08-01
• dc.date.modified 2017-07-23T02:14:49Z
• dc.description.abstract 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.
• dc.format.mimetype application/pdfca
• dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=1337
• dc.identifier.uri http://hdl.handle.net/10230/19872
• dc.language.iso eng
• dc.relation.ispartofseries Economics and Business Working Papers Series; 1337
• dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
• dc.rights.accessRights info:eu-repo/semantics/openAccess
• dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
• dc.subject.keyword speculation
• dc.subject.keyword risk premia
• dc.subject.keyword yield curve
• dc.subject.keyword Macroeconomics and International Economics
• dc.title Speculation, risk premia and expectations in the yield curveca
• dc.type info:eu-repo/semantics/workingPaper