BIROn - Birkbeck Institutional Research Online

    Expecting the fed

    Cieslak, A. and Povala, Pavol (2014) Expecting the fed. Working Paper. Social Science Electronic Publishing, Rochester, New York, USA.

    Full text not available from this repository.

    Abstract

    We study private sector expectations about the short-term interest rate. We uncover persistent differences between the ex-ante real rate perceived by agents in real-time and its full-sample counterpart estimated by the econometrician. Entering recessions, agents systematically overestimate the real rate, and underestimate future unemployment and the degree of monetary easing. These forecast errors induce persistence in identified monetary policy shocks and cause the econometrician to overstate the variation in Treasury risk premia. Our evidence offers a new interpretation of the unspanned factors phenomenon in the yield curve, emphasizing the key role of information rigidities for the dynamics of real interest rates.

    Metadata

    Item Type: Monograph (Working Paper)
    Keyword(s) / Subject(s): monetary policy, expectations, imperfect information, predictability
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Research Centre: Applied Macroeconomics, Birkbeck Centre for
    Depositing User: Sarah Hall
    Date Deposited: 15 Apr 2014 10:43
    Last Modified: 06 Dec 2016 14:50
    URI: http://eprints.bbk.ac.uk/id/eprint/9598

    Statistics

    Downloads
    Activity Overview
    0Downloads
    139Hits

    Additional statistics are available via IRStats2.

    Archive Staff Only (login required)

    Edit/View Item Edit/View Item