This paper examines an equilibrium asset pricing model with Epstein-Zin preferences in which the beliefs about the fundamentals in the Macroeconomy are time varying. A vector autoregression with time varying parameters and stochastic volatilities of consumption growth and inflation is estimated...

An affine no-arbitrage asset pricing framework is developed that allows for agents to have rational but heterogeneous expectations. The framework can match both bond yields and the observed dispersion of yield expectations in survey data. heterogeneous information introduces a speculative...