Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 3, 2016 erstellt
Beschreibung:
We develop and estimate a tractable equilibrium term structure model populated with rational but heterogeneously informed traders that take on speculative positions to exploit what they perceive to be inaccurate market expectations about future bond prices. The speculative motive is an important driver of trading volume. Yield dynamics due to speculation are (i) statistically distinct from classical term structure components due to risk premia and expectations about future short rates and are orthogonal to public information available to traders in real time and (ii) quantitatively important, accounting for a substantial fraction of the variation of long maturity US bond yields