We construct and study the cross-sectional properties of survey-based bond risk premia and compare them to 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. Next, we propose a new real-time aggregate measure of bond risk premia consistent with Friedman’s market selection hypothesis. Finally, we use this measure to evaluate behavioural versus rational explanations of subjective risk premia and find support for models that include both sentiment and time-varying quantity of risk channels.
|Status||Udgivet - 2018|
|Begivenhed||SFS Cavalcade North America 2018 - Yale University, New Haven, USA|
Varighed: 21 maj 2018 → 24 maj 2018
|Konference||SFS Cavalcade North America 2018|
|Periode||21/05/2018 → 24/05/2018|
- Rational expectations
- Bond risk premia