TY  - JOUR
AU  - Wang,Jiang
TI  - The Term Structure of Interest Rates in a Pure Exchange Economy with    Heterogeneous Investors
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 5172
PY  - 1995
Y2  - July 1995
UR  - http://www.nber.org/papers/w5172
L1  - http://www.nber.org/papers/w5172.pdf
N1  - Author contact info:
Jiang Wang
MIT Sloan School of Management
100 Main Street, E62-614
Cambridge, MA 02142
Tel: 617/253-2632
Fax: 617/258-6855
E-Mail: wangj@mit.edu
AB  - 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.
ER  -