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The term structure of expectations and bond yields

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Abstract

Bond yields can be decomposed into expected short rates and term premiums. We directly measure the former using all available U.S. professional forecasts and obtain the latter as the difference between bond yields and survey-based expected short rates. While the behavior of nominal and real short rate expectations is consistent with standard macroeconomic theory, term premiums account for the bulk of the cross-sectional and time series variation in yields. They also largely explain the yield curve's reaction to a host of structural economic shocks. This dramatic failure of the expectations hypothesis highlights the importance of term premiums for macro-financial transmission.

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  • Crump, Richard K. & Eusepi, Stefano & Moench, Emanuel, 2016. "The term structure of expectations and bond yields," Staff Reports 775, Federal Reserve Bank of New York, revised 01 Apr 2018.
  • Handle: RePEc:fip:fednsr:775
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    Cited by:

    1. Mertens, Thomas M. & Williams, John C., 2018. "What to expect from the lower bound on interest rates: evidence from derivatives prices," Staff Reports 865, Federal Reserve Bank of New York.
    2. Silvia Miranda-Agrippino & Sinem Hacioglu Hoke & Kristina Bluwstein, 2018. "When Creativity Strikes: News Shocks and Business Cycle Fluctuations," Discussion Papers 1823, Centre for Macroeconomics (CFM).
    3. repec:bin:bpeajo:v:48:y:2017:i:2017-01:p:235-316 is not listed on IDEAS
    4. Bauer, Michael D. & Rudebusch, Glenn D., 2017. "Interest Rates Under Falling Stars," Working Paper Series 2017-16, Federal Reserve Bank of San Francisco.
    5. Abrahams, Michael & Adrian, Tobias & Crump, Richard K. & Moench, Emanuel & Yu, Rui, 2016. "Decomposing real and nominal yield curves," Journal of Monetary Economics, Elsevier, vol. 84(C), pages 182-200.
    6. Marco Del Negro & Domenico Giannone & Marc P. Giannoni & Andrea Tambalotti, 2017. "Safety, Liquidity, and the Natural Rate of Interest," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 48(1 (Spring), pages 235-316.
    7. Kliem, Martin & Meyer-Gohde, Alexander, 2017. "(Un)expected monetary policy shocks and term premia," Discussion Papers 30/2017, Deutsche Bundesbank.
    8. Del Negro, Marco & Giannone, Domenico & Giannoni, Marc P. & Tambalotti, Andrea, 2019. "Global trends in interest rates," Journal of International Economics, Elsevier, vol. 118(C), pages 248-262.
      • Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2018. "Global Trends in Interest Rates," NBER Chapters,in: NBER International Seminar on Macroeconomics 2018, pages 248-262 National Bureau of Economic Research, Inc.
    9. Marta Banbura & Andries van Vlodrop, 2018. "Forecasting with Bayesian Vector Autoregressions with Time Variation in the Mean," Tinbergen Institute Discussion Papers 18-025/IV, Tinbergen Institute.
    10. repec:eee:ecofin:v:44:y:2018:i:c:p:80-91 is not listed on IDEAS
    11. repec:wsi:ijtafx:v:20:y:2017:i:04:n:s0219024917500273 is not listed on IDEAS

    More about this item

    Keywords

    term premiums; expectations formation; survey forecasts; monetary policy; business cycle fluctuations;

    JEL classification:

    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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