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• W2135047595 abstract "The estimation of dynamic no-arbitrage term structure models with a flexible specification of the market price of risk is beset by a severe small-sample problem arising from the highly persistent nature of interest rates. We propose using survey forecasts of a short-term interest rate as additional input to the estimation to overcome the problem. The three-factor pure-Gaussian model thus estimated with the U.S. Treasury term structure for the 1990-2003 period generates a stable estimate of the expected path of the short rate, reproduces the well-known stylized patterns in the expectations hypothesis tests, and captures some of the short-run variations in the survey forecast of the changes in longer-term interest rates." @default.
• W2135047595 created "2016-06-24" @default.
• W2135047595 creator A5005204919 @default.
• W2135047595 creator A5056023629 @default.
• W2135047595 date "2005-10-01" @default.
• W2135047595 modified "2023-09-26" @default.
• W2135047595 title "Term Structure Estimation with Survey Data on Interest Rate Forecasts" @default.
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• W2135047595 doi "https://doi.org/10.17016/feds.2005.48" @default.
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