Imperfect Information and Investor Heterogeneity in the Bond Market

Softcover Nachdruck of the original 1. Auflage 2000
ISBN: 978-3-7908-1247-3
Verlag: Physica-Verlag HD

Buch, Englisch, 118 Seiten, Paperback, Format (B × H): 155 mm x 235 mm, Gewicht: 207 g

Reihe: Contributions to Economics

Real world investors differ in their tastes and attitudes and they do not have, in general, perfect information about the future prospects of the economy. Most theoretical models, however, assume to the contrary that investors are homogeneous and perfectly informed about the market. In this book, an attempt is made to overcome these shortcomings. In three different case studies, the effect of heterogeneous time preferences, heterogeneous beliefs and imperfect information about the economy's growth on the term structure of interest rates are studied. The initial chapter gives an introduction to the theory of financial markets in continuous time under imperfect information and establishes the existence of an equilibrium with complete markets.

Zielgruppe

Research

Autoren/Hrsg.

Riedel, Frank

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere
• Mathematik | Informatik EDV | Informatik Angewandte Informatik Wirtschaftsinformatik
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Numerische Mathematik
• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik

Inhaltsverzeichnis

1.Imperfect Information and Complete Asset Markets in Continuous Time.- 1.1 Introduction.- 1.2 A Competitive Financial Market with Imperfect.- 1.3 Martingale Representation Theorem for the Innovation Process.- 1.4 The Existence of an Arrow-Debreu Equilibrium, Pareto Efficiency and the Representative Agent.- 1.5 Completeness of the Market and Existence of a Financial Equilibrium.- 1.6 Pricing Redundant Securities and the Term Structure of Interest Rates.- 2. Heterogeneous Time Preferences - The Preferred Habitat Theory Revisited.- 2.1 Modeling Preferred Habitat Time Preferences.- 2.2 A Model with Heterogeneous Time Preferences.- 2.3 Equilibrium.- 2.4 Analysis of the Term Structure.- 2.4.1 Illustration: Logistic Time Preferences.- 2.5 The Demand for Long-Term Bonds.- 3. Imperfect Information: The Term Structure when the Growth Rate is Unknown.- 3.1 The Model.- 3.2 Estimating the Drift.- 3.3 Equilibrium with Perfect and Imperfect Information.- 3.4 The Yield Curve with Normal and Bernoulli Prior Beliefs.- 3.5 General Prior Beliefs.- 4. Bulls and Bears: Heterogeneous Expectations.- 4.1 Setup.- 4.2 Equilibrium.- 4.3 Two Examples.- 4.3.1 Unobservable Constant Drift.- 4.3.2 Stationary Unobservable Drift.- References.- List of Figures.