Testing the expectations hypothesis with survey forecasts : the impacts of consumer sentiment and the zero lower bound in an I(2) CVAR
Year of publication: |
March 2015
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Authors: | Stillwagon, Josh R. |
Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 35.2015, p. 85-101
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Subject: | Expectations hypothesis | Survey dataTime-varying risk premium | Consumer sentiment | Cointegrated VAR | Zero lower bound | VAR-Modell | VAR model | Niedrigzinspolitik | Low-interest-rate policy | Zinsstruktur | Yield curve | Erwartungsbildung | Expectation formation | Prognoseverfahren | Forecasting model | Risikoprämie | Risk premium | Schätzung | Estimation | Verbrauchervertrauensindex | Consumer confidence index | Kointegration | Cointegration | Konsumentenverhalten | Consumer behaviour | Rationale Erwartung | Rational expectations |
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