Short-Rate Expectations and Unexpected Returns in Treasury Bonds

• 成果类型: Article
• 署名作者: Cieslak, Anna
• 署名单位: Duke University; Center for Economic & Policy Research (CEPR)
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhy051
• 发表日期: 2018
• 页码: 3265
• 关键词: monetary-policy; term structure; RISK PREMIUMS; INFORMATION; inflation; sensitivity; models; US

摘要

I document large and persistent errors in investors' expectations about the short-term interest rate over the business cycle. The largest errors arise in economic downturns and during Fed easings when investors overestimate future short rates and, thus, underestimate future bond returns. At a one-year horizon, errors about the path of the real rate (as opposed to inflation) account for 80% of short-rate forecast error variance, with more than half of that number attributed to the Fed easing more aggressively than the public expected. Short-rate forecast errors induce ex post predictability of excess returns on Treasury bonds that is not due to time-varying risk premium.