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In- and out-of-sample specification analysis of spot rate models : further evidence for the period 1982 - 2008
Cai, Lili; Swanson, Norman R. - In: Journal of empirical finance 18 (2011) 4, pp. 743-764
Persistent link: https://www.econbiz.de/10009306528
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Are outcomes driving expectations or the other way around? : an I(2) CVAR analysis of interest rate expectations in the dollar/pound market
Jusélius, Katarina; Stillwagon, Josh R. - In: Journal of international money and finance 83 (2018), pp. 93-105
Persistent link: https://www.econbiz.de/10012000315
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Do markets learn to rationally expect US interest rates? : an anchoring approach
Prat, Georges; Uctum, Remzi - In: Applied economics 50 (2018) 59, pp. 6458-6480
Persistent link: https://www.econbiz.de/10012063437
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Predictions of short-term rates and the expectations hypothesis
Guidolin, Massimo; Thornton, Daniel L. - In: International journal of forecasting 34 (2018) 4, pp. 636-664
Persistent link: https://www.econbiz.de/10012031076
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Explaining disagreement on interest rates in a taylor‐rule setting
Dräger, Lena; Lamla, Michael - In: The Scandinavian journal of economics 119 (2017) 4, pp. 987-1009
Persistent link: https://www.econbiz.de/10011805617
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Predictions of short-term rates and the expectations hypothesis
Guidolin, Massimo; Thornton, Daniel L. - 2010
Persistent link: https://www.econbiz.de/10008651137
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Predictions of Short-Term Rates and the Expectations Hypothesis
Guidolin, Massimo - 2011
Despite its role in monetary policy and finance, the expectations hypothesis (EH) of the term structure of interest rates has received virtually no empirical support. The empirical failure of the EH has been attributed to a variety of econometric biases associated with the single-equation models...
Persistent link: https://www.econbiz.de/10013133526
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Empirical DSGE model evaluation with interest rate expectations measures and preferences over safe assets
De Walque, Gregory; Lejeune, Thomas; Rannenberg, Ansgar - 2023
We estimate a DSGE model with Preferences Over Safe Assets (POSA) on Euro Area macroeconomic data and interest rate expectations measures. The model with POSA has much better empirical fit than the otherwise identical model without, especially once interest rate expectations are added to the...
Persistent link: https://www.econbiz.de/10013549721
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Bubble-like housing boom-bust cycles : evidence from the predictive power of households’ expectations
Huang, MeiChi - In: The quarterly review of economics and finance : journal … 54 (2014) 1, pp. 2-16
Persistent link: https://www.econbiz.de/10010468805
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Do household expectations help predict inflation?
Brandao Marques, Luis; Gelos, Gaston; Hofman, David; … - 2024
We examine whether changes in the distribution of household inflation expectations contain information on future … distribution of household expectations does indeed help predict one-year-ahead CPI inflation. Variance and skewness of household …
Persistent link: https://www.econbiz.de/10014460769