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The Term Structure of Interest Rates in a Pure Exchange Economy with Heterogeneous Investors / Jiang Wang.
- Format:
- Book
- Author/Creator:
- Wang, Jiang.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w5172.
- NBER working paper series no. w5172
- Language:
- English
- Subjects (All):
- Bonds--Mathematical models.
- Bonds.
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1995.
- Cambridge, Mass. : National Bureau of Economic Research, 1995.
- Summary:
- 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.
- Notes:
- Print version record
- July 1995.
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