Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/106791
Authors: 
Halberstadt, Arne
Year of Publication: 
2015
Series/Report no.: 
Discussion Paper, Deutsche Bundesbank 02/2015
Abstract: 
Expectations about macroeconomic developments are important determinants of long term interest rates. In this paper, I compare two different assumptions on how agents may form their expectations about the economy and yields in a pseudo real time exercise. Based on the no-arbitrage factor-augmented vector autoregression model developed by Moench (2008), I apply a purely econometric learning scheme as proposed by Laubach, Tetlow, and Williams (2007) in the estimation and compare the results to those of an estimation without discounting. In- and out-of-sample performance indicates that the agents are more inclined to form their expectations according to the learning approach.
Subjects: 
Affine Term Structure Models
Factor Models
Learning
JEL: 
C38
E43
E44
ISBN: 
978-3-95729-117-2
Document Type: 
Working Paper

Files in This Item:
File
Size
631.74 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.