Expected Term Structures

Andrea Buraschi, Ilaria Piatti, Paul Whelan

Publikation: KonferencebidragPaperForskningpeer review

Abstrakt

We construct and study the cross-sectional properties of survey-based bond risk premia and compare them to their traditional statistical counterparts. We document large heterogeneity in skill, identify top forecasters, and learn about the importance of subjective risk premia in long-term bonds dynamics. The consensus is not a sufficient statistics of the cross-section of expectations and we propose an alternative real-time aggregate measure of risk premia consistent with Friedmans market selection hypothesis. We then use this measure to evaluate structural models and find support for heterogeneous belief economies generating time-varying risk premia via both a quantity and price of risk channel.
OriginalsprogEngelsk
Publikationsdato2017
Antal sider55
StatusUdgivet - 2017
BegivenhedSFS Cavalcade Asia-Pacific 2017 - PBC School of Finance, Tsinghua University, Beijing, Kina
Varighed: 13 dec. 201715 dec. 2017
http://sfs.org/financecavalcade/2017-sfs-finance-cavalcade-asia-pacific/

Konference

KonferenceSFS Cavalcade Asia-Pacific 2017
LokationPBC School of Finance, Tsinghua University
LandKina
ByBeijing
Periode13/12/201715/12/2017
Internetadresse

Emneord

  • Cross-section of beliefs
  • Bond risk premia
  • Expectation formation
  • Rational expectations

Citationsformater

Buraschi, A., Piatti, I., & Whelan, P. (2017). Expected Term Structures. Afhandling præsenteret på SFS Cavalcade Asia-Pacific 2017, Beijing, Kina.