NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Heterogeneous Expectations and Bond Markets

Wei Xiong, Hongjun Yan

NBER Working Paper No. 12781
Issued in December 2006

---- Acknowledgements -----

We are grateful to Markus Brunnermeier, Bernard Dumas, Nicolae Garleanu, Jon Ingersoll, Arvind Krishnamurthy, Owen Lamont, Debbie Lucas, Lin Peng, Monika Piazzesi, Chris Sims, Hyun Shin, Stijn Van Nieuwerburgh, Neng Wang, Moto Yogo, and seminar participants at Bank of Italy, Federal Reserve Bank of New York, NBER Summer Institute, New York University, Northwestern University, Princeton University, University of Chicago, University of Illinois-Chicago, Wharton School, and Yale University for their helpful discussions and comments. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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