Arbeitspapier
The term structure of expectations
Economic theory predicts that intertemporal decisions depend critically on expectations about future outcomes. Using the universe of professional survey forecasts for the United States, we document the behavior of the entire term structure of expectations for output growth, inflation, and the policy rate. We show that a simple unobserved components model of the trend and cycle explains the joint behavior of both consensus measures of expectations and the observed disagreement among individual forecasters. Importantly, univariate models of each variable are outperformed by a multivariate model of the joint dynamics of these three variables, particularly for nominal interest rates. Consistent with the data, the model predicts a link between revisions in long-run expectations to short-term forecast errors. In structural models, learning about the long run has important empirical and theoretical implications for monetary and fiscal policy.
- Sprache
-
Englisch
- Erschienen in
-
Series: Staff Report ; No. 992
- Klassifikation
-
Wirtschaft
Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
Expectations; Speculations
Business Fluctuations; Cycles
Interest Rates: Determination, Term Structure, and Effects
Financial Markets and the Macroeconomy
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
expectation formation
imperfect information
survey forecasts
shifting endpoint models
monetary policy
term premiums
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Crump, Richard K.
Eusepi, Stefano
Mönch, Emanuel
Preston, Bruce
- Ereignis
-
Veröffentlichung
- (wer)
-
Federal Reserve Bank of New York
- (wo)
-
New York, NY
- (wann)
-
2021
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Crump, Richard K.
- Eusepi, Stefano
- Mönch, Emanuel
- Preston, Bruce
- Federal Reserve Bank of New York
Entstanden
- 2021
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