| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15122 |
| DP15122 Fundamental Disagreement about Monetary Policy and the Term Structure of Interest Rates | |
| Shuo Cao; Richard K. Crump | |
| 发表日期 | 2020-08-02 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | Using a unique dataset of individual professional forecasts we document disagreement about the future path of monetary policy particularly at longer horizons. The stark differences in short rate forecasts imply strong disagreement about the risk-return trade-off of longer-term bonds. Longer-horizon short rate disagreement co-moves with term premiums. We estimate an affine term structure model in which investors hold heterogeneous beliefs about the long-run level of rates. Our model fits Treasury yields and the short rate paths predicted by different groups of investors and thus matches the observed differences in expected return profiles. Investors who correctly anticipated the secular decline in rates became increasingly important for the marginal pricing of risk in the Treasury market. Accounting for heterogeneity in investment performance eliminates the downward trend in the term premium. |
| 主题 | Financial Economics ; Monetary Economics and Fluctuations |
| 关键词 | Disagreement Heterogeneous beliefs Noisy information Speculation Survey forecasts Yield curve Term premium |
| URL | https://cepr.org/publications/dp15122-0 |
| 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/544080 |
| 推荐引用方式 GB/T 7714 | Shuo Cao,Richard K. Crump. DP15122 Fundamental Disagreement about Monetary Policy and the Term Structure of Interest Rates. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
| 个性服务 |
| 推荐该条目 |
| 保存到收藏夹 |
| 导出为Endnote文件 |
| 谷歌学术 |
| 谷歌学术中相似的文章 |
| [Shuo Cao]的文章 |
| [Richard K. Crump]的文章 |
| 百度学术 |
| 百度学术中相似的文章 |
| [Shuo Cao]的文章 |
| [Richard K. Crump]的文章 |
| 必应学术 |
| 必应学术中相似的文章 |
| [Shuo Cao]的文章 |
| [Richard K. Crump]的文章 |
| 相关权益政策 |
| 暂无数据 |
| 收藏/分享 |
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
