INFLATION FORECAST ERRORS AND TIME-VARIATION IN TERM PREMIA

被引：1
|
作者：
DEBONDT, WFM [1 ]
BANGE, MM [1 ]
机构：
[1] MICHIGAN STATE UNIV,ELI BROAD COLL BUSINESS,E LANSING,MI 48824
来源：
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 1992年 / 27卷 / 04期
关键词：
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The expectations theory of the term structure is well known to give wrong signals as to the future course of long-term interest rates. One explanation involves rational time-varying term premia. However, the "anomaly" may also be due to inflation forecast errors We study survey forecasts of inflation. It seems that the respondents' forecasts are insufficiently adaptive. Interest rates reflect expectations similar to the inflation forecasts. As a result, past survey forecast errors reliably predict premia on U.S. Government Bonds
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页码：479 / 496
页数：18
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