Speculation, Sentiment, and Interest Rates
| Autor: | Andrea Buraschi, Paul Whelan |
|---|---|
| Rok vydání: | 2022 |
| Předmět: |
Technology
Operations Research Strategy and Management media_common.quotation_subject Social Sciences Monetary economics ASSET PRICES PREFERENCES Management Science and Operations Research Bond risk premia LONG-RUN Heterogeneous agents Business & Economics TERM STRUCTURE 0502 economics and business Economics Significant risk 050207 economics Speculation media_common RISK Science & Technology 15 Commerce Management Tourism and Services 050208 finance HETEROGENEOUS BELIEFS Operations Research & Management Science 05 social sciences Management Interest rate MODEL COMPENSATION Fixed income Bond market INVESTOR SENTIMENT 08 Information and Computing Sciences FORECASTS |
| Zdroj: | Management Science. 68:2308-2329 |
| ISSN: | 1526-5501 0025-1909 |
| Popis: | We compare the implications of speculation versus hedging channels for bond markets in heterogeneous agents’ economies. Treasuries command a significant risk premium when optimistic agents speculate by leveraging their positions using bonds. Disagreement drives a wedge between marginal agent versus econometrician beliefs (sentiment). When speculative demands dominate, the interaction between belief heterogeneity and sentiment helps rationalize several puzzling characteristics of Treasury markets. Empirically, we test model predictions and find that larger disagreement (i) lowers the risk-free rate, (ii) raises the slope of the yield curve, and (iii) with positive sentiment increases bond risk premia and makes its dynamics countercyclical. This paper was accepted by Karl Diether, finance. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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