Macro-expectations, aggregate uncertainty, and expected term premia

Christian Dick, Maik Schmeling and Andreas Schrimpf

European Economic Review, 2013, vol. 58, issue C, 58-80

Abstract: Based on expectations data from the Survey of Professional Forecasters (SPF), we construct a real-time proxy for expected term premium changes of US long-term Treasury bonds. We then investigate the economic drivers of these subjective term premium expectations at the level of individual forecasters. Our results indicate that forecasters' term premium expectations are driven by expected macroeconomic conditions as well as the uncertainty of market participants about future output and inflation. An aggregate measure of forecasters' term premium expectations has predictive power for actual bond excess returns over horizons of up to one year.

Keywords: Bond risk premia; Expectations hypothesis; Time-varying risk premia; Term premia; Macroeconomic uncertainty; Forecast dispersion (search for similar items in EconPapers)
JEL-codes: E43 E44 G12 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0014292112001511
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Macro Expectations, Aggregate Uncertainty, and Expected Term Premia (2010)
Working Paper: Macro expectations, aggregate uncertainty, and expected term premia (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:eecrev:v:58:y:2013:i:c:p:58-80

DOI: 10.1016/j.euroecorev.2012.11.005

Access Statistics for this article

European Economic Review is currently edited by T.S. Eicher, A. Imrohoroglu, E. Leeper, J. Oechssler and M. Pesendorfer

More articles in European Economic Review from Elsevier
Bibliographic data for series maintained by Catherine Liu ().