Do markets learn to rationally expect US interest rates? An anchoring approach

Prat Georges; Uctum Remzi

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Do markets learn to rationally expect US interest rates? An anchoring approach

机译：市场会学会理性地预期美国的利率吗？锚定方法

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We propose an augmented and dynamic forecast anchoring model to examine whether a group of rational forecasters coexists with or emerges besides a group of forecasters employing heuristic rules. This model is consistent with the economically rational expectations theory. Using experts' 3-month and 10-year Treasury bill rate survey expectations at short and long horizons, we find that aggregate expectations fail to exhibit a learning process towards rationality. While forecasters essentially anchor their judgements to heuristics, a small proportion of agents rationally forecast the short-term interest rate, possibly due to Federal Reserve's transparency practice in the conduct of monetary policy and forward guidance at the zero lower bound.

机译：我们提出了一种增强的动态预测锚定模型，以检查除一组采用启发式规则的预测器之外，是否有一组合理的预测器并存或出现。该模型与经济理性预期理论相一致。使用专家在短期和长期内对3个月和10年期美国国库券利率调查的预期，我们发现总的预期无法体现对理性的学习过程。尽管预测员基本上将其判断锚定在启发式方法上，但一小部分代理商会合理地预测短期利率，这可能是由于美联储在实施货币政策时采用了透明性做法，并在零下限处制定了前瞻性指导。

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来源
《Applied Economics》 |2018年第60期|6458-6480|共23页
作者
Prat Georges; Uctum Remzi;
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作者单位

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收录信息美国《科学引文索引》(SCI);
原文格式 PDF
正文语种 eng
中图分类
关键词
Expectation formation; interest rates; forecast anchoring; dynamic heterogeneity; learning rationality;

机译：期望形成;利率;预测锚;动态异质性;学习理性;

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Do markets learn to rationally expect US interest rates? An anchoring approach

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