Information In (And Not In) Interest Rates Surveys

We show that standard term structure models for observed interest rates fail to capture interest rate survey expectations. We therefore propose a joint term structure model for observed interest rates and interest rate surveys that allows for separate objective and subjective probability measures. Our results contradict the previous term structure literature and provide evidence that interest rate surveys do not help identify observed interest rate dynamics. Yet, despite this evidence against the rational expectation hypothesis, we find that surveys provide valuable information as a priced risk factor that is not spanned by observed interest rates