answers at these two problems and proposes a general two-steps procedure. The …rst step relies on …tting the discount bond …

This paper presents a dynamic equilibrium model of bond markets in which two groups of agents hold heterogeneous … price volatility and contributes to the time variation in bond premia. Our model shows that a modest amount of heterogeneous … expectation can help explain several puzzling phenomena, including the "excessive volatility" of bond yields, the failure of the …

We analyse the emerging Serbian bond market to compare its behaviour to developed markets and to indicate what is … behind bond market emergence. As an analytical tool we model the term structure of the bond market. We find that a modified …

.e., perfectly correlated with) model-implied bond yields. However, this theoretical implication appears inconsistent with … regressions showing that much macroeconomic variation is unspanned and that the unspanned variation helps forecast excess bond …

constraint, and positive net supply of government bonds. Uninsured idiosyncratic shocks generate bond trades, while aggregate … unfavourable terms implies that a greater bond supply raises the level of the yield curve, while an increase in the relative supply …