Bonds, currencies and expectational errors

IF 1.9 3区 经济学 Q2 ECONOMICS
Eleonora Granziera , Markus Sihvonen
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引用次数: 0

Abstract

We propose a model in which sticky expectations concerning short-term interest rates generate joint predictability patterns in bond and currency markets. Our parsimonious specification can explain the downward sloping term structure of carry trade returns, difficult to replicate in a rational expectations framework. We offer empirical support for our approach and show that including a sticky short rate expectations channel into a standard affine term structure allows the model to better capture the drift patterns in the data.

债券、货币和预期错误
我们提出了一个模型,其中关于短期利率的粘性预期在债券和货币市场中产生联合可预测性模式。我们的简约规范可以解释套息交易收益向下倾斜的期限结构,在理性预期框架中难以复制。我们为我们的方法提供了经验支持,并表明将粘性短期利率预期通道纳入标准仿射期限结构可以使模型更好地捕获数据中的漂移模式。
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来源期刊
CiteScore
3.10
自引率
10.50%
发文量
199
期刊介绍: The journal provides an outlet for publication of research concerning all theoretical and empirical aspects of economic dynamics and control as well as the development and use of computational methods in economics and finance. Contributions regarding computational methods may include, but are not restricted to, artificial intelligence, databases, decision support systems, genetic algorithms, modelling languages, neural networks, numerical algorithms for optimization, control and equilibria, parallel computing and qualitative reasoning.
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