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Interest Rate Expectations versus Forward Rates: Evidence from an Expectations Survey

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  1. Georges Prat, 1992. "Anticipations, prime de terme et maturité du titre long : que nous enseignent les données séculaires sur la structure des taux d'intérêt ? États-Unis de 1873 à 1975," Revue Économique, Programme National Persée, vol. 43(6), pages 1037-1070.
  2. Martin D. Evans & Karen K. Lewis, 1990. "Do Stationary Risk Premia Explain It All? Evidence from the Term Struct," NBER Working Papers 3451, National Bureau of Economic Research, Inc.
  3. Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2016. "The term structure of expectations and bond yields," Staff Reports 775, Federal Reserve Bank of New York.
  4. Georges Prat & Remzi Uctum, 2016. "Do markets learn to rationally expect US interest rates? Evidence from survey data," Post-Print hal-01411824, HAL.
  5. Bacchetta, Philippe & Mertens, Elmar & van Wincoop, Eric, 2009. "Predictability in financial markets: What do survey expectations tell us?," Journal of International Money and Finance, Elsevier, vol. 28(3), pages 406-426, April.
  6. Melino, Angelo, 1988. "The Term Structure of Interest Rates: Evidence and Theory," Journal of Economic Surveys, Wiley Blackwell, vol. 2(4), pages 335-366.
  7. Jongen, Ron & Verschoor, Willem F.C. & Wolff, Christian C.P., 2011. "Time-variation in term premia: International survey-based evidence," Journal of International Money and Finance, Elsevier, vol. 30(4), pages 605-622, June.
  8. Adrian W. Throop, 1981. "Interest rate forecasts and market efficiency," Economic Review, Federal Reserve Bank of San Francisco, issue Spr, pages 29-43.
  9. Prat, Georges & Uctum, Remzi, 2021. "Term structure of interest rates: Modelling the risk premium using a two horizons framework," Journal of Economic Behavior & Organization, Elsevier, vol. 182(C), pages 421-436.
  10. Ron Jongen & Willem F.C. Verschoor & Christian C.P. Wolff, 2008. "Foreign Exchange Rate Expectations: Survey And Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 22(1), pages 140-165, February.
  11. Wolff, Christian & Verschoor, Willem F C & Jongen, Ron, 2005. "Time Variation in Term Premia: International Evidence," CEPR Discussion Papers 4959, C.E.P.R. Discussion Papers.
  12. Ornelas, Jose Renato Haas & Silva Jr., Antonio Francisco de Almeida, 2015. "Testing the liquidity preference hypothesis using survey forecasts," Emerging Markets Review, Elsevier, vol. 23(C), pages 173-185.
  13. Kladívko, Kamil & Österholm, Pär, 2021. "Do market participants’ forecasts of financial variables outperform the random-walk benchmark?," Finance Research Letters, Elsevier, vol. 40(C).
  14. Richard Deaves, 1996. "Forecasting Canadian Short-Term Interest Rates," Canadian Journal of Economics, Canadian Economics Association, vol. 29(3), pages 615-634, August.
  15. Mark A. Hooker, 1996. "Maturity structure of term premia with time-varying expected returns," Working Papers 96-4, Federal Reserve Bank of Boston.
  16. Georges Prat & Remzi Uctum, 2016. "Do markets learn to rationally expect US interest rates? Evidence from survey data," Working Papers hal-04141591, HAL.
  17. Anonymous, 1993. "Expectations and the term structure of interest rates," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 56, December.
  18. Nourzad, Farrokh & Scott Grennier, R., 1995. "Cointegration analysis of the expectations theory of the term structure," Journal of Economics and Business, Elsevier, vol. 47(3), pages 281-292, August.
  19. Wolff, Christian & Verschoor, Willem F C & Jongen, Ron & Zwinkels, Remco C.J., 2008. "Dispersion of Beliefs in the Foreign Exchange Market," CEPR Discussion Papers 6738, C.E.P.R. Discussion Papers.
  20. Ronald MacDonald, 2000. "Expectations Formation and Risk in Three Financial Markets: Surveying What the Surveys Say," Journal of Economic Surveys, Wiley Blackwell, vol. 14(1), pages 69-100, February.
  21. Tracy Mott & David Zen, 1989. "Profitability and the Time-Varying Liquidity Premium in the Term Structure of Interest Rates," Economics Working Paper Archive wp_18, Levy Economics Institute.
  22. Mitchell, Karlyn, 1988. "The Debt Maturity Choice: A Multinominal Logit Analysis," Department of Economics and Business - Archive 259441, North Carolina State University, Department of Economics.
  23. Timothy Q. Cook & Thomas A. Lawler, 1983. "The behavior of the spread between Treasury bill rates and private money market rates since 1978," Economic Review, Federal Reserve Bank of Richmond, vol. 69(Nov), pages 3-15.
  24. Dr. Lucas Marc Fuhrer & Dr. Basil Guggenheim & Dr. Matthias Jüttner, 2018. "What do Swiss franc Libor futures really tell us?," Working Papers 2018-06, Swiss National Bank.
  25. Mr. Sohrab Rafiq, 2015. "How Important are Debt and Growth Expectations for Interest Rates?," IMF Working Papers 2015/094, International Monetary Fund.
  26. Warren J. Tease, 1988. "The Expectations Theory of the Term Structure of Interest Rates in Australia," The Economic Record, The Economic Society of Australia, vol. 64(2), pages 120-127, June.
  27. Timothy Q. Cook & Thomas A. Lawler, 1983. "The behavior of the spread between Treasury bill rates and private money market rates since 1978," Working Paper 83-04, Federal Reserve Bank of Richmond.
  28. Leiderman, Leonardo & Blejer, Mario I., 1983. "New Evidence on the Rational Expectations Theory of the Term Structure: The Case of Argentine Interest Rates," Foerder Institute for Economic Research Working Papers 275370, Tel-Aviv University > Foerder Institute for Economic Research.
  29. David S. Jones & V. Vance Roley, 1982. "Rational Expectations, the Expectations Hypothesis, and Treasury Bill Yields: An Econometric Analysis," NBER Working Papers 0869, National Bureau of Economic Research, Inc.
  30. Lucas Marc Fuhrer & Basil Guggenheim & Matthias Jüttner, 2019. "A survey-based estimation of the Swiss franc forward term premium," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 155(1), pages 1-18, December.
  31. Kenneth A. Froot, 1987. "New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates," NBER Working Papers 2363, National Bureau of Economic Research, Inc.
  32. Timothy Q. Cook & Thomas A. Lawler & Timothy D. Rowe, 1986. "Treasury bill versus private money market yield curves," Economic Review, Federal Reserve Bank of Richmond, vol. 72(Jul), pages 3-12.
  33. Batchelor, Roy & Peel, David A., 1998. "Rationality testing under asymmetric loss," Economics Letters, Elsevier, vol. 61(1), pages 49-54, October.
  34. Georges Prat & Remzi Uctum, 2018. "Term structure of interest rates: modelling the risk premium using a two horizons framework," Working Papers hal-04141774, HAL.
  35. Michael Callaghan, 2017. "Is the market always right? Improving federal funds rate forecasts by adjusting for the term premium," Reserve Bank of New Zealand Analytical Notes series AN2017/08, Reserve Bank of New Zealand.
  36. Jongen, Ron & Verschoor, Willem F.C., 2008. "Further evidence on the rationality of interest rate expectations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 438-448, December.
  37. A. Rashad Abdel†Khalik, 1990. "Specification problems with information content of earnings: revisions and rationality of expectations and self†selection bias," Contemporary Accounting Research, John Wiley & Sons, vol. 7(1), pages 142-172, September.
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