by Institute for the Quantitative analysis of Social and Economic Policy, University of Toronto in Toronto .
Written in English
|Contributions||Wachter, Michael L.,|
|LC Classifications||HD6979 T88 1972|
|The Physical Object|
|Number of Pages||54|
A Test of the "Expectations Hypothesis" Using Directly Observed Wage and Price Expectations. by Turnovsky, Stephen J. & Wachter, Michael L. Monetarism and the Aggregate Economy: Some Longer-Run Evidence. by Turnovsky, Stephen J. & Wohar, Mark E. Perfect Foresight, Expectational Consistency, and Macroeconomic Equilibrium. Using a new set of directly observed wage expectations among firms, this paper finds that in general firms' forecasts fail the unbiasedness and efficiency requirements of weak-form rational expectations. A Test of the "Expectations Hypothesis" Using Directly Observed Wage and Price : Stephen J Turnovsky and Michael L Wachter. A Test of the 'Expectations Hypothesis' Using Directly Observed Wage and Price Expectations." The Review of Economics and Statistics (). Cuatro ensayos sobre Ia economia Argentina, I: "Distribución del ingreso." FIEL,Author: Mario S. Brodersohn.
The empirical results indicate that forward and spot rates are cointegrated, suggesting that the expectations hypothesis of the term structure of interest rate is accepted by the data in the case of Kuwait. The findings also show that the forward rate is an unbiased predictor of future spot rate. 1. Introduction. This paper tests the Expectations Hypothesis (EH) using long-maturity forward rates. Here, ‘long’ is taken to be more than 10 years to maturity. The EH is a term structure model: the current forward rate equals the future short rate plus a constant term premium (time invariant, but maturity dependent).Cited by: 7. Turnovsky, S. J.; Watchter, M. L. (). “A Test of the Expectations Hypothesis Using Directly Observed Wage and Price Expectations.” University of Toronto Working Paper (October). Download referencesCited by: Explaining the Failure of the Expectations Hypothesis with Short-Term Rates January 2, This paper provides the rst systematic study of the temporal and cross-sectional vari-ation in the risk premium of the expectations hypothesis (EH) at very short end of the term structure. Using a unique and comprehensive dataset of European repurchase.
A brief aside: Expectations Hypothesis belongs to a large class of models. Expectations Based theories of asset pricing Consider two strategies: buy a dollar denominated bond or use the dollar to buy euros, then buy a euro denominated bond, then use the proceeds to buy dollars at time t+1. If no uncertainty, then we must have: Or:File Size: 94KB. This study uses interest rate forecasts to test the expectations hypothesis of the term structure. Using CVARs, the term premium is found to move inversely with consumer sentiment at the 1% level. Extension to the I(2) CVAR greatly improves the model fit and precision of the by: a higher rate of inflation is associated with a lower unemployment rate. If, in the long run, people adjust their price expectations so that all prices and incomes move proportionately to an increase in the price level, then the long-run Phillips curve. is vertical. Using data on short and long interest rates from eight developed and six emerging economies, we test the expectations hypothesis using cointegration methods .