Presidential Address: How Much Rationality Is There in Bond-Market Risk Premiums?

• 成果类型: Article
• 署名作者: Singleton, Kenneth J.
• 署名单位: Stanford University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13062
• 发表日期: 2021
• 页码: 1611-1654
• 关键词: term structure models; interest-rates; expectations; prices; forecasts; returns; beliefs; puzzles

摘要

Beliefs of professional forecasters are benchmarked against those of a Bayesian econometrician BE who is learning about the unknown dynamics of the bond risk factors. Consistent with rational Bayesian learning, the forecast errors of individual professionals and BE are comparably predictable over the business cycle. The secular and cyclical patterns of professionals' forecasts relative to those of BE are explored in depth. Inconsistent with many models with belief dispersion, the relationship between professionals' yield disagreement and their matched disagreements about macroeconomic fundamentals is very weak.