Moving endpoints and the internal consistency of agents' ex ante forecasts

Sharon Kozicki and Peter Tinsley

No 96-47, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: Forecasts by rational agents contain embedded initial and terminal boundary conditions. Standard time series models generate two types of long-run \"endpoints\"---fixed endpoints and moving average endpoints. Neither can explain the shifting endpoints implied by postwar movements in the cross-section of forward rate forecasts in the term structure or by post-1979 changes in survey estimates of expected inflation. Multiperiod forecasts by a broader class of \"moving endpoint\" time series models provide substantially improved tracking of the historical term structure and generally support the internal consistency of the ex ante long-run expectations of bond traders and survey respondents.

Keywords: Forecasting; Inflation (Finance) (search for similar items in EconPapers)
Date: 1996
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: Moving Endpoints and the Internal Consistency of Agents' Ex Ante Forecasts (1998)
Working Paper: Moving endpoints and the internal consistency of agents' ex ante forecasts (1997)
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