时变信念下的物理灭绝与长期定价
Physical Extinction and Long-Run Pricing under Time-Varying Beliefs
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中文总结 AI 辅助
该研究探讨时变信念下的债券定价问题，在双投资者Arrow-Debreu经济中分析物理灭绝条件、期限依赖性及长期收益率的信息含量，得出净分歧影响长期债券存在性等结论。
中文摘要 AI 辅助
投资者有时对总禀赋增长持乐观态度，有时持悲观态度，因此其预测在债券估值中的权重会随期限变化。我们研究这种期限依赖性是否会在收益率曲线的长端消失。在双投资者Arrow-Debreu经济中，当总分歧无界增长时会发生物理灭绝。我们发现债券估值取决于净分歧：若净分歧无界，则远期测度和长期债券均不存在；债券收益率可沿同一信念路径收敛，因此仅长期收益率无法揭示估值权重与债券收益是否跨期限收敛。我们还得到了债券价格和远期密度的有限期限误差界。
英文摘要
An investor may be optimistic about aggregate endowment growth at some times and pessimistic at others. The weight placed on her forecast in bond valuation can therefore vary across maturities. We study whether this maturity dependence disappears at the long end of the yield curve. In a two-investor Arrow--Debreu economy, physical extinction follows when \emph{total disagreement} grows without bound. We find that bond valuation depends on net disagreement. If \emph{net disagreement} has no limit, neither the long-forward measure nor the long bond exists. Bond yields can converge along the same belief path. The long yield alone therefore cannot reveal whether valuation weights and bond returns converge across maturities. We also obtain finite-maturity error bounds for bond prices and forward densities.
