Measuring Expectations

Arbeitspapier

To evaluate measures of expectations I examine and compare some of the most common methods for capturing expectations: the futures method which utilizes financial market prices, the VAR forecast method, and the survey method. I study average expectations on the Federal funds rate target, and the main findings can be summarized as follows: i) the survey measure and the futures measure are highly correlated; the correlation coefficient is 0.81 which indicates that the measures capture the same phenomenon, ii) the survey measure consistently overestimates the realized changes in the interest rate, iii) the VAR forecast method shows little resemblance with the other methods.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 2006:9

Classification and Topics

• Classification: Wirtschaft ; Interest Rates: Determination, Term Structure, and Effects ; Financial Markets and the Macroeconomy ; Money and Interest Rates: Forecasting and Simulation: Models and Applications
• Subject: Interest rates ; expectations ; futures ; VAR forecasts ; survey data ; Erwartungstheorie ; Messung ; Prognoseverfahren ; Zins

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Kjellberg, David
• Event: Veröffentlichung
• (who): Uppsala University, Department of Economics
• (where): Uppsala
• (when): 2006

Further information

• Handle: http://hdl.handle.net/10419/82718
• URN: urn:nbn:se:uu:diva-83076
• Last update: 10.03.2025, 11:43 AM CET