Rational bias in yield curve forecasts

• 成果类型: Article
• 署名作者: Peterson, SP
• 署名单位: Virginia Commonwealth University
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/00346530152480108
• 发表日期: 2001-08
• 页码: 457-464
• 关键词: price forecasts; expectations

摘要

Empirical studies of forecasts often fail to reconcile the rational expectations hypothesis with a minimum mean square error objective function. Recent studies, however, have argued that observed bias may be rational in certain advising games, or for objective functions that include publicity or forecasting reputation as additional arguments. This paper analyzes multistep forecasting behavior for individuals forecasting bond yields in the Blue Chip Financial Survey over the 1987-1996 period and uncovers statistically significant evidence supportive of Ehrbeck and Waldmann's rational stubbornness. I find that forecasters rationally place too much weight on their previous forecasts in an attempt to mimic the behavior of more able forecasters (perhaps attempting to fool their clients). Jointly, I also find that this pattern of under-revision is positively correlated with mean square forecasting errors. Rational stubbornness is sensitive to the forecasting horizon as well as bond maturity.