کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7408091 | 1481427 | 2018 | 29 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Predictions of short-term rates and the expectations hypothesis
ترجمه فارسی عنوان
پیش بینی نرخ های کوتاه مدت و فرضیه انتظارات
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
فرضیه انتظار، پیاده روی تصادفی، حق بیمه خطر متغیر زمان پیش بینی پذیری،
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
کسب و کار و مدیریت بین المللی
چکیده انگلیسی
This paper emphasizes that traditional tests of the EH are based on two assumptions: the expectations hypothesis (EH) per se and an assumption about the expectations generating process (EGP) for the short-term rate. Arguing that conventional tests of the EH need to assume EGPs that may be significantly at odds with the true EGP, we investigate this possibility by analyzing the out-of-sample predictive performances of several models for predicting interest rates, including a few models which assume that the EH holds in its functional form that relates long- to short-term yields. Using US riskless yield data for a 1970-2016 monthly sample and testing methods that take into account the parameter uncertainty, the null hypothesis of an equal predictive accuracy of each model relative to the random walk alternative is hardly ever rejected at intermediate and long horizons. This confirms that, at least at a practical level, the main difficulty with the EH is represented by the effective prediction of short-term rates. We discuss the relevance of these findings for central banks' use of forward guidance.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Journal of Forecasting - Volume 34, Issue 4, OctoberâDecember 2018, Pages 636-664
Journal: International Journal of Forecasting - Volume 34, Issue 4, OctoberâDecember 2018, Pages 636-664
نویسندگان
Massimo Guidolin, Daniel L. Thornton,