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利用调查预期锚定收益率曲线AI 解读

Summary The dynamic behavior of the term structure of interest rates is difficult to replicate with models, and even models with a proven track record of empirical performance have underperformed since the early 2000s. On the other hand, survey expectations can accurately predict yields, but they are typically not available for all maturities and/or forecast horizons. We show how survey expectations can be exploited to improve the accuracy of yield curve forecasts given by a…

非常规货币政策措施的有效性：来自调查数据的证据AI 解读

Summary We assess professional forecasters' perceptions of the effects of the unconventional monetary policy measures announced by the US Federal Reserve after the collapse of Lehman Brothers. Using survey data, collected at the individual level, we analyze the change in the forecasts for Treasury and corporate bond yields around the announcement dates of the non‐standard measures. We find that forecasters expected bond yields to drop significantly for at least 1 year after…