Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/70745
Authors: 
Piazzesi, Monika
Schneider, Martin
Year of Publication: 
2008
Series/Report no.: 
Working Paper, Federal Reserve Bank of Atlanta 2008-2
Abstract: 
This paper implements a structural model of the yield curve with data on nominal positions and survey forecasts. Bond prices are characterized in terms of investors' current portfolio holdings as well as their subjective beliefs about future bond payoffs. Risk premia measured by an econometrician vary because of changes in investors' subjective risk premia that are identified from portfolios and subjective beliefs but also because subjective beliefs differ from those of the econometrician. The main result is that investors' systematic forecast errors are an important source of business cycle variation in measured risk premia. By contrast, subjective risk premia move less and more slowly over time.
Subjects: 
expectations
surveys
interest rates
portfolio choice
asset positions
term structure
yield curve
JEL: 
E4
E5
G1
Document Type: 
Working Paper

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