Expected Term Structures

Andrea Buraschi, Ilaria Piatti, Paul Whelan

Research output: Contribution to conferencePaperResearchpeer-review

Abstract

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.
Original languageEnglish
Publication date2017
Number of pages55
Publication statusPublished - 2017
EventSFS Cavalcade Asia-Pacific 2017 - PBC School of Finance, Tsinghua University, Beijing, China
Duration: 13 Dec 201715 Dec 2017
http://sfs.org/financecavalcade/2017-sfs-finance-cavalcade-asia-pacific/

Conference

ConferenceSFS Cavalcade Asia-Pacific 2017
LocationPBC School of Finance, Tsinghua University
CountryChina
CityBeijing
Period13/12/201715/12/2017
Internet address

Keywords

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

Cite this

Buraschi, A., Piatti, I., & Whelan, P. (2017). Expected Term Structures. Paper presented at SFS Cavalcade Asia-Pacific 2017, Beijing, China.
Buraschi, Andrea ; Piatti, Ilaria ; Whelan, Paul. / Expected Term Structures. Paper presented at SFS Cavalcade Asia-Pacific 2017, Beijing, China.55 p.
@conference{4e3ef236d171472281f61053364de44f,
title = "Expected Term Structures",
abstract = "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.",
keywords = "Cross-section of beliefs, Bond risk premia, Expectation formation, Rational expectations, Cross-section of beliefs, Bond risk premia, Expectation formation, Rational expectations",
author = "Andrea Buraschi and Ilaria Piatti and Paul Whelan",
year = "2017",
language = "English",
note = "null ; Conference date: 13-12-2017 Through 15-12-2017",
url = "http://sfs.org/financecavalcade/2017-sfs-finance-cavalcade-asia-pacific/",

}

Buraschi, A, Piatti, I & Whelan, P 2017, 'Expected Term Structures' Paper presented at, Beijing, China, 13/12/2017 - 15/12/2017, .

Expected Term Structures. / Buraschi, Andrea; Piatti, Ilaria; Whelan, Paul.

2017. Paper presented at SFS Cavalcade Asia-Pacific 2017, Beijing, China.

Research output: Contribution to conferencePaperResearchpeer-review

TY - CONF

T1 - Expected Term Structures

AU - Buraschi, Andrea

AU - Piatti, Ilaria

AU - Whelan, Paul

PY - 2017

Y1 - 2017

N2 - 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.

AB - 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.

KW - Cross-section of beliefs

KW - Bond risk premia

KW - Expectation formation

KW - Rational expectations

KW - Cross-section of beliefs

KW - Bond risk premia

KW - Expectation formation

KW - Rational expectations

M3 - Paper

ER -

Buraschi A, Piatti I, Whelan P. Expected Term Structures. 2017. Paper presented at SFS Cavalcade Asia-Pacific 2017, Beijing, China.