Format:
1 Online-Ressource (42 p)
Series Statement:
NBER Working Paper No. w5172
Content:
This paper presents an equilibrium model of the term structure of interest rates when investors have heterogeneous preferences. The basic model considers a pure exchange economy of two classes of investors with different (but constant) relative risk-aversion and gives closed-form solutions to bond prices. We use the model to examine the effect of preference heterogeneity on the behavior of bond yields. Extensions to cases of more than two investors are also considered
Note:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 1995 erstellt
Language:
English
