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Survey Evidence on The Rationality of Interest Rate Expectations

Citations

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Cited by:

  1. Stillwagon, Josh R., 2015. "Testing the expectations hypothesis with survey forecasts: The impacts of consumer sentiment and the zero lower bound in an I(2) CVAR," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 85-101.
  2. Pearce, Douglas K & Roley, V Vance, 1985. "Stock Prices and Economic News," The Journal of Business, University of Chicago Press, vol. 58(1), pages 49-67, January.
  3. Taboga, Marco, 2007. "Structural change and the bond yield conundrum," MPRA Paper 4965, University Library of Munich, Germany.
  4. Ken Holden & John Thompson, 1997. "Combining forecasts, encompassing and the properties of UK macroeconomic forecasts," Applied Economics, Taylor & Francis Journals, vol. 29(11), pages 1447-1458.
  5. Boum-Jong Choe, 1990. "Rational expectations and commodity price forecasts," Policy Research Working Paper Series 435, The World Bank.
  6. Silva Lopes, Artur, 1994. "A "hipótese das expectativas racionais": teoria e realidade (uma visita guiada à literatura até 1992) [The "rational expectations hypothesis": theory and reality (a guided tour ," MPRA Paper 9699, University Library of Munich, Germany, revised 23 Jul 2008.
  7. Martin Schneider & Monika Piazzesi, 2008. "Bond Positions, Expectations, and the Yield Curve," 2008 Meeting Papers 268, Society for Economic Dynamics.
  8. Miah, Fazlul & Khalifa, Ahmed Ali & Hammoudeh, Shawkat, 2016. "Further evidence on the rationality of interest rate expectations: A comprehensive study of developed and emerging economies," Economic Modelling, Elsevier, vol. 54(C), pages 574-590.
  9. Chortareas, Georgios & Jitmaneeroj, Boonlert & Wood, Andrew, 2012. "Forecast rationality and monetary policy frameworks: Evidence from UK interest rate forecasts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 209-231.
  10. Kim, Don H. & Orphanides, Athanasios, 2012. "Term Structure Estimation with Survey Data on Interest Rate Forecasts," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(1), pages 241-272, February.
  11. Abel, Andrew B. & Mishkin, Frederic S., 1983. "An integrated view of tests of rationality, market efficiency and the short-run neutrality of monetary policy," Journal of Monetary Economics, Elsevier, vol. 11(1), pages 3-24.
  12. V. Vance Roley, 1982. "The Response of Short-Term Interest Rates to Weekly Money Announcements," NBER Working Papers 1001, National Bureau of Economic Research, Inc.
  13. Ali, Syed Zahid & Anwar, Sajid, 2017. "Exchange rate pass through, cost channel to monetary policy transmission, adaptive learning, and the price puzzle," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 69-82.
  14. Wolff, Christian & Verschoor, Willem F C & Jongen, Ron & Zwinkels, Remco C.J., 2008. "Dispersion of Beliefs in the Foreign Exchange Market," CEPR Discussion Papers 6738, C.E.P.R. Discussion Papers.
  15. Christian Pierdzioch & Jan-Christoph Rülke, 2013. "A note on the anti-herding instinct of interest rate forecasters," Empirical Economics, Springer, vol. 45(2), pages 665-673, October.
  16. Bryan Campbell & Eric Ghysels, 1997. "An Empirical Analysis of the Canadian Budget Process," Canadian Journal of Economics, Canadian Economics Association, vol. 30(3), pages 553-576, August.
  17. David S. Jones & V. Vance Roley, 1982. "Rational Expectations, the Expectations Hypothesis, and Treasury Bill Yields: An Econometric Analysis," NBER Working Papers 0869, National Bureau of Economic Research, Inc.
  18. Sotiris Tsolacos & Tony McGough, 1999. "Rational Expectations, Uncertainty and Cyclical Activity in the British Office Market," Urban Studies, Urban Studies Journal Limited, vol. 36(7), pages 1137-1149, June.
  19. Cecilia Bermúdez, 2014. "La racionalidad en la formación de expectativas. Crítica de la hipótesis de expectativas racionales," Revista de Economía Institucional, Universidad Externado de Colombia - Facultad de Economía, vol. 16(30), pages 83-97, January-J.
  20. Michela Nardo, 2003. "The Quantification of Qualitative Survey Data: A Critical Assessment," Journal of Economic Surveys, Wiley Blackwell, vol. 17(5), pages 645-668, December.
  21. Batchelor, Roy & Peel, David A., 1998. "Rationality testing under asymmetric loss," Economics Letters, Elsevier, vol. 61(1), pages 49-54, October.
  22. Marco Taboga, 2009. "Macro‐finance VARs and bond risk premia: A caveat," Review of Financial Economics, John Wiley & Sons, vol. 18(4), pages 163-171, October.
  23. Martin D. Evans & Karen K. Lewis, 1990. "Do Stationary Risk Premia Explain It All? Evidence from the Term Struct," NBER Working Papers 3451, National Bureau of Economic Research, Inc.
  24. Roy H. Webb, 1984. "Inadequate tests of the rationality of expectations," Working Paper 84-07, Federal Reserve Bank of Richmond.
  25. Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2016. "The term structure of expectations and bond yields," Staff Reports 775, Federal Reserve Bank of New York.
  26. Dr. Godwin Chukwudum Nwaobi, 2005. "Rational Expectations And Monetary Theory: An Investigative Paper[1960 - 1989]," Macroeconomics 0501001, University Library of Munich, Germany.
  27. Puah, Chin-Hong & Wong, Shirly Siew-Ling & Habibullah, Muzafar Shah, 2012. "Rationality of business operational forecasts: evidence from Malaysian distributive trade sector," MPRA Paper 37599, University Library of Munich, Germany.
  28. Yusuf Soner Baskaya & Hakan Kara & Defne Mutluer, 2008. "Expectations, Communication and Monetary Policy in Turkey," Working Papers 0801, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  29. Kladívko, Kamil & Österholm, Pär, 2021. "Do market participants’ forecasts of financial variables outperform the random-walk benchmark?," Finance Research Letters, Elsevier, vol. 40(C).
  30. Markiewicz, Agnieszka & Pick, Andreas, 2014. "Adaptive learning and survey data," Journal of Economic Behavior & Organization, Elsevier, vol. 107(PB), pages 685-707.
  31. Lindström, Tomas, 2000. "Qualitative Survey Responses and Production over the Business Cycle," Working Paper Series 116, Sveriges Riksbank (Central Bank of Sweden).
  32. Frederik Kunze & Mario Gruppe, 2014. "Performance of Survey Forecasts by Professional Analysts: Did the European Debt Crisis Make it Harder or Perhaps Even Easier?," Social Sciences, MDPI, vol. 3(1), pages 1-12, February.
  33. Rik Hafer, 1985. "A look at the ASA-NBER inflation forecasts: tests of rationality and formation," Working Papers 1985-003, Federal Reserve Bank of St. Louis.
  34. Reid Dorsey-Palmateer & Gary Smith, 2007. "Shrunken interest rate forecasts are better forecasts," Applied Financial Economics, Taylor & Francis Journals, vol. 17(6), pages 425-430.
  35. Wong, Shirly Siew-Ling & Puah, Chin-Hong & Shazali, Abu Mansor, 2011. "Survey Evidence on the Rationality of Business Expectations: Implications from the Malaysian Agricultural Sector," MPRA Paper 36661, University Library of Munich, Germany.
  36. Michael W. M. Roos & Ulrich Schmidt, 2012. "The Importance of Time‐Series Extrapolation for Macroeconomic Expectations," German Economic Review, Verein für Socialpolitik, vol. 13(2), pages 196-210, May.
  37. Kunze, Frederik & Wegener, Christoph & Bizer, Kilian & Spiwoks, Markus, 2017. "Forecasting European interest rates in times of financial crisis – What insights do we get from international survey forecasts?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 192-205.
  38. Catherine Doz, 1993. "Note sur les tests de rationalité des prévisions," Économie et Prévision, Programme National Persée, vol. 108(2), pages 129-133.
  39. Thomas Urich & Paul Wachtel, 1983. "The Structure of Expectations of the Weekly Money Supply Announcement," NBER Working Papers 1090, National Bureau of Economic Research, Inc.
  40. Nukhet Harmancioglu & David A. Griffith & Tuba Yılmaz, 2019. "Short- and long-term market returns of international codevelopment alliances of new products," Journal of the Academy of Marketing Science, Springer, vol. 47(5), pages 939-959, September.
  41. Sonja Jovicic & Ronald Schettkat, 2013. "Consistently wrong: Neoclassical micro-foundations and the macroeconomic policy ineffectiveness hypothesis," Schumpeter Discussion Papers SDP13010, Universitätsbibliothek Wuppertal, University Library.
  42. Rafael Flores de Frutos, 1993. "Sobre la Estimación de Primas por Plazo dentro de la Estructura Temporal de Tipos de Interes," Documentos de Trabajo del ICAE 9302, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  43. Jongen, Ron & Verschoor, Willem F.C., 2008. "Further evidence on the rationality of interest rate expectations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 438-448, December.
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