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- W2296647532 abstract "Two central implications of Expectations Hypothesis under rational expectations are inconsistent with yield curve data: (i) future expected long yields fall, instead of rising, when yield spread rises; (ii) long yields are excessively volatile relative to short yields. I propose an optimization framework in which boundedly rational agents use adaptive learning to form expectations. The belief structure rationalizes pattern of yields observed in the data so that the first puzzle does not arise with subjective expectations: intertemporal income and substitution effects are amplified relative to rational expectations. The second puzzle is partly accounted for by extra volatility due to parameter uncertainty." @default.
- W2296647532 created "2016-06-24" @default.
- W2296647532 creator A5040573814 @default.
- W2296647532 date "2016-03-01" @default.
- W2296647532 modified "2023-10-04" @default.
- W2296647532 title "Learning and the Yield Curve" @default.
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- W2296647532 doi "https://doi.org/10.1111/jmcb.12308" @default.
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