Macroeconomic Disagreement in Treasury Yields

Ethan Struby

No 2018-04, Working Papers from Carleton College, Department of Economics

Abstract: I estimate a term structure model of Treasury yields in which traders’ information about macroeconomic conditions is dispersed. Bond yields and inflation forecasts identify properties of traders’ information. I find that prices are moderately informative about economic fundamentals, but more informative about policy and others’ beliefs. Nevertheless, beliefs about the macroeconomy are estimated to be quite heterogeneous. Over the sample period, dispersed beliefs directly added an average of 60 basis points to ten year yields, mostly attribute to disagreement about the Federal Reserve’s inflation target. Accounting for learning and belief heterogeneity dramatically reduces the magnitude and volatility of risk premia relative to estimates that assume full information.

Date: 2018-11
Note: In Copyright
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://digitalcommons.carleton.edu/cgi/viewconten ... 1&context=econ_repec (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden

Related works:
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:avv:wpaper:2018-04

Access Statistics for this paper

More papers in Working Papers from Carleton College, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Sara Nielsen ().