Unité mixte de recherche 7235

Do markets learn to rationally expect US interest rates? Evidence from survey data

Georges Prat, Remzi Uctum

[en]Using Consensus Economics survey data on the US 3-month bill rate and the 10 years Treasury bonds expectations for the 3- and 12-month horizons over the period November 1989 – May 2015, this article aims at testing whether a group of rational forecasters coexists with or emerges over time beside a group of forecasters employing the traditional limited information-based rules that are the extrapolative, the adaptive, the regressive and the forward-market premium rules. We estimate the time-varying weights associated with the two groups using the Kalman filter methodology and find that the aggregate expectations fail to exhibit a learning process towards rationality both for short term and long term interest rates. While long term interest rate expectations appear to be explained only by limited information rules at any time, in the case of the short term interest rate a group of rational agents seems to have operated in the market over the whole period with a small but almost constant weight simultaneously with limited information-based forecasters. Overall, for both short and long term interest rates, our results strongly suggest that experts’ forecasts are essentially based on a combination of the four traditional processes. This is consistent with the economically rational expectations theory which suggests that information costs and agents’ aversion to misestimating future interest rates determine the optimal amounts of information on which they base their expectations.[/en]


jeudi 30 novembre 2023

Colloques et Workshops

Workshop on gender issues and development

jeudi 30 novembre 2023


Aurélien SAÏDI

Household heterogeneity in macroeconomic models: A historical perspective

jeudi 30 novembre 2023

Développement Durable Environnement et Energie (DDEE)

François Bareille (INRAe/PSAE)

Salle 614B de 11h – 12h

Valuing climate change costs in presence of climate-induced land use changes

mardi 5 décembre 2023

Recherche et Economie et Socioéconomie Politique, des Institutions et des Régulations (RESPIR)

Clément Fontan (UC Louvain)

The ECB and the inflation monsters: strategic framing and the responsibility imperative (1998-2023)

jeudi 7 décembre 2023

Groupe de travail Economie Comportementale

Vincent Lenglin (Université Catholique de Lille)


jeudi 7 décembre 2023


Emmanuelle Faure

Explaining economic performances in the French employment zone: spatial externalities and related variety

lundi 11 décembre 2023

Law, Institutions and Economics in Nanterre (LIEN)

Bastien Michel (LEMNA, Nantes)

Measuring the Impact of Incarceration on Recidivism in Denmark

mercredi 13 décembre 2023

Économies du monde musulman

Chahir Zaki (LEO, Université d’Orléans)

Dette en Egypte : conjoncture défavorable ou structure vulnérable ?

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