Surveys provide direct information on expectations, but only short histories are available at quarterly frequencies or for long-horizon expectations. Longer histories typically contain only semi-annual observations of short-horizon forecasts. The authors fill in the gaps by constructing a...

The sensitivity of bond rates to macro variables appears to vary both over time and over forecast horizons. The latter may be due to differences in forward rate term premiums and in bond trader perceptions of anticipated policy responses at different forecast horizons. Determinacy of policy...

Monetary policy evaluation using structural macro models suggests that historical monetary policy responds less aggressively to inflation and the output gap than would an optimal policy rule. However, these results are obtained using models with constant term premia. This paper shows how term...

The expectations hypothesis is a theory of the term structure of interest rates that describes a conventional view of the transmission mechanism of monetary policy. According to the expectations hypothesis, bond rates are related to current and expected movements in the policy-controlled rate....

Forecasts by rational agents contain embedded initial and terminal boundary conditions. Standard time series models generate two types of long-run quot;endpointsquot;---fixed endpoints and moving average endpoints. Neither can explain the shifting endpoints implied by postwar movements in the...

This paper documents the importance of high-frequency plant shutdowns in auto assembly plants in generating the observed procyclicality of an aggregate labor productivity series for that industry. An important fact about plant shutdowns in this industry is that some workers typically remain at...

Despite a large literature documenting that the efficacy of monetary policy depends on how inflation expectations are anchored, many monetary policy models assume: (1) the inflation target of monetary policy is constant; and, (2) the inflation target is known by all economic agents. This paper...