Heterogeneous Beliefs, the Term Structure and Time-varying Risk Premia

Abstract

Heterogeneous beliefs, The term structure, Survey forecasts, G12, D84,

Beauty contests under private information and diverse beliefs: How different?

“…This construction and the data it makes available are at the core of the papers by Fan (2005) and Kurz and Motolese (2005 issue is further explored in Section 3.5 and for additional details see .…”

“…In a standard asset pricing equilibrium one can then write down the Euler equations of the agents, aggregate them and use the market data on returns, asset prices and market beliefs for a full identification. Recent examples of work where this has been done include Fan (2005) and Kurz and Motolese (2005). These papers show that with data on asset returns and market belief an asset pricing theory leads to specific testable restrictions.…”

Diverse beliefs and time variability of risk premia

“…i t ] econometric techniques to construct the stationary forecast used to compute (6). Such E m [X t%1 | H t ] construction and the data it generates are used by Fan (2006). An agent who believes the empirical distribution is the truth is described by .…”

Optimal economic institutions under rational overconfidence, with applications to the choice of exchange rate regime

“…Individual beliefs will probably not even be identifiable ex post, although aggregates of beliefs, like market sentiments, can certainly be identified (see e.g. Fan 2005, 2006). Thus, even with the full knowledge about agents' preferences over sure consumption, the individual cannot know exactly how agents will react to a particular institution 9…”