EconPapers    
Economics at your fingertips  
 

Do markets learn to rationally expect US interest rates? An anchoring approach

Georges Prat and Remzi Uctum ()

Applied Economics, 2018, vol. 50, issue 59, 6458-6480

Abstract: We propose an augmented and dynamic forecast anchoring model to examine whether a group of rational forecasters coexists with or emerges besides a group of forecasters employing heuristic rules. This model is consistent with the economically rational expectations theory. Using experts’ 3-month and 10-year Treasury bill rate survey expectations at short and long horizons, we find that aggregate expectations fail to exhibit a learning process towards rationality. While forecasters essentially anchor their judgements to heuristics, a small proportion of agents rationally forecast the short-term interest rate, possibly due to Federal Reserve’s transparency practice in the conduct of monetary policy and forward guidance at the zero lower bound.

Date: 2018
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2018.1486024 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Do markets learn to rationally expect US interest rates? An anchoring approach (2018)
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:taf:applec:v:50:y:2018:i:59:p:6458-6480

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2018.1486024

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2021-06-18
Handle: RePEc:taf:applec:v:50:y:2018:i:59:p:6458-6480