NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

The Term Structure of Interest Rates in a Pure Exchange Economy with Heterogeneous Investors

Jiang Wang

NBER Working Paper No. 5172
Issued in July 1995
NBER Program(s):   AP

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.

download in pdf format
   (535 K)

email paper

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w5172

Published: Journal of Financial Economics, Vol. 41, no. 1 (May 1996): 75-110.

Users who downloaded this paper also downloaded* these:
Nestoriak and Ruser Emerging Labor Market Trends and Workplace Safety and Health
Chan, Karceski, and Lakonishok w6098 The Risk and Return from Factors
Glaeser and Scheinkman w4954 Neither a Borrower nor a Lender Be: An Economic Analysis of Interest Restrictions and Usury Laws
Brown and Greenstein w5138 How Much Better is Bigger, Faster & Cheaper? Buyer Benefits from Innovation in Mainframe Computers in the 1980s
Malmendier and Tate w10813 Who Makes Acquisitions? CEO Overconfidence and the Market's Reaction
 
Publications
Activities
Meetings
NBER Videos
Themes
Data
People
About

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us