Titlebook: Imperfect Information and Investor Heterogeneity in the Bond Market; Frank Riedel Book 2000 Physica-Verlag Heidelberg 2000 Bond Market.Bon

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Imperfect Information and Complete Asset Markets in Continuous Time,heory of interest rates in the following chapters. Furthermore, I present two extensions of the established theory. The first is of a technical nature, concerned with removing a boundedness assumption made up to now in the pertinent literature, and the second is to demonstrate how imperfect informat

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Heterogeneous Time Preferences - The Preferred Habitat Theory Revisited,h [50]. Modigliani and Sutch were primarily concerned with an empirical investigation of the effects of a particular policy of the US government and Federal Reserve, “Operation Twist”, which aimed at “twisting” the yield curve by raising the yield of bonds with short term to maturity and lowering si

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Imperfect Information: The Term Structure when the Growth Rate is Unknown,homogeneous economy is studied in which all agents have the same type of preferences and beliefs. The output of the economy grows at a constant rate, which is known in the case of perfect information and unknown in the case of imperfect information. In the latter case, agents engage in Bayesian infe

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Bulls and Bears: Heterogeneous Expectations,is chapter. Agents conform that the state of the world is described by a diffusion model as in Chapter 1. They differ, however, in their prior beliefs about some unknown parameters of the model. To give an example, the drift of the growth rate may be unknown, as in the pre-ceding chapter, and some a

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Book 2000omy. 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

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1431-1933 duction to the theory of financial markets in continuous time under imperfect information and establishes the existence of an equilibrium with complete markets.978-3-7908-1247-3978-3-642-57663-8Series ISSN 1431-1933 Series E-ISSN 2197-7178