Vis enkel innførsel

dc.contributor.authorGranziera, Eleonora
dc.contributor.authorSihvonen, Markus
dc.date.accessioned2020-06-29T11:46:14Z
dc.date.available2020-06-29T11:46:14Z
dc.date.issued2020
dc.identifier.isbn978-82-8379-151-8
dc.identifier.issn1502-8190
dc.identifier.urihttps://hdl.handle.net/11250/2659880
dc.description.abstractWe propose a model in which sticky expectations concerning shortterm interest rates generate joint predictability patterns in bond and currency markets. Using our calibrated model, we quantify the effect of this channel and find that it largely explains why short rates and yield spreads predict bond and currency returns. The model also creates the downward sloping term structure of carry trade returns documented by Lustig et al. (2019), difficult to replicate in a rational expectations framework. Consistent with the model, we find that variables that predict bond and currency returns also predict survey-based expectational errors concerning interest and FX rates. The model explains why monetary policy induces drift patterns in bond and currency markets and predicts that long-term rates are a better gauge of market’s short rate expectations than previously thought.en_US
dc.language.isoengen_US
dc.publisherNorges Banken_US
dc.relation.ispartofseriesWorking Paper;3/2020
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 Internasjonal*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/deed.no*
dc.subjectbond and currency premiaen_US
dc.subjectsticky expectationsen_US
dc.subjectinterest rate forecast errorsen_US
dc.subjectJEL: E43en_US
dc.subjectJEL: F31en_US
dc.subjectJEL: D84en_US
dc.titleBonds, currencies and expectational errorsen_US
dc.typeWorking paperen_US
dc.description.versionpublishedVersionen_US
dc.subject.nsiVDP::Samfunnsvitenskap: 200::Økonomi: 210::Samfunnsøkonomi: 212en_US
dc.source.pagenumber50en_US


Tilhørende fil(er)

Thumbnail

Denne innførselen finnes i følgende samling(er)

Vis enkel innførsel

Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal
Med mindre annet er angitt, så er denne innførselen lisensiert som Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal