| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4288 |
| DP4288 Calvo Contracts: A Critique | |
| Patrick Minford; David Peel | |
| 发表日期 | 2004-03-23 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | In this Paper we concentrate on the hypothesis that the empirical rejections of the Expectations Theory (ET) of the term structure of interest rates can be caused by improper modeling of expectations. Our starting point is an interesting anomaly found by Campbell-Shiller (1987), when by taking a VAR approach they abandon limited information approach to test the ET, in which realized returns are taken as a proxy for expected returns. We use financial factors and macroeconomic information to construct a test of the theory based on simulating investors? effort to use the model in ?real time? to forecast future monetary policy rates. Our findings suggest that the importance of fluctuations of risk premia in explaining the deviation from the ET is reduced when some forecasting model for short-term rates is adopted and a proper evaluation of uncertainty associated to policy rates forecast is considered. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | E47 Expectations theory Macroeconomic information in finance |
| URL | https://cepr.org/publications/dp4288 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533250 |
| 推荐引用方式 GB/T 7714 | Patrick Minford,David Peel. DP4288 Calvo Contracts: A Critique. 2004. |
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