We develop a segmented markets model which rationalizes the effects of monetary policy on
the term structure of interest rates. When arbitrageurs' portfolio features positive duration, an …

I describe a value-at-risk constraint that induces long-lived investors to choose static
meanvariance portfolios with time-varying risk tolerance. This allows incorporating risk …

Historically, long-term interest rates in the US have displayed significant volatility when
contrasted with the long-term averages of short-term rates. Moreover, there is documented …

This paper shows how the subjective beliefs of large dealer banks help understand the
excess volatility in bond markets, the large volatility of long-term interest rates. I document …