Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/82718
Authors: 
Kjellberg, David
Year of Publication: 
2006
Series/Report no.: 
Working Paper, Department of Economics, Uppsala University 2006:9
Abstract: 
To evaluate measures of expectations I examine and compare some of the most common methods for capturing expectations: the futures method which utilizes financial market prices, the VAR forecast method, and the survey method. I study average expectations on the Federal funds rate target, and the main findings can be summarized as follows: i) the survey measure and the futures measure are highly correlated; the correlation coefficient is 0.81 which indicates that the measures capture the same phenomenon, ii) the survey measure consistently overestimates the realized changes in the interest rate, iii) the VAR forecast method shows little resemblance with the other methods.
Subjects: 
Interest rates
expectations
futures
VAR forecasts
survey data
JEL: 
E43
E44
E47
Document Type: 
Working Paper

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