Barillas, Francisco; Nimark, Kristoffer - Department of Economics and Business, Universitat … - 2012
developed. We estimate the model using data on bond yields and individual survey responses from the Survey of Professional … Forecasters and perform a novel three-way decomposition of bond yields into (i) average expectations about short rates (ii) risk … premia and (iii) a speculative component due to heterogeneous expectations about the resale value of a bond. We prove that …