Econometrics Seminar Series. Information In (And Not In) Interest Rates Surveys
Published: 30 October 2023
17 November. Professor Laura Coroneo, University of York
Professor Laura Coroneo, University of York
"Information In (And Not In) Interest Rates Surveys"
Friday, 17 November. 3 pm
Room 355 Gilbert Scott Building
Abstract
We show that standard term structure models for observed interest rates fail to capture interest rate survey expectations. We therefore propose a joint term structure model for observed interest rates and interest rate surveys that allows for separate objective and subjective probability measures. Our results contradict the previous term structure literature and provide evidence that interest rate surveys do not help identify observed interest rate dynamics. Yet, despite this evidence against the rational expectation hypothesis, we find that surveys provide valuable information as a priced risk factor that is not spanned by observed interest rates.
Bio
Laura Coroneo is a Professor of Economics at the University of York, the coordinator of the Centre for Applied Macro-Finance and an executive committee member of the Money, Macro and Finance (MMF) Society.
Her primary field of research is applied macro-finance, with a particular focus on time series econometrics and empirical finance. Her research investigates the yield curve of government bonds and its relation to macroeconomic fundamentals. She also works on forecast evaluation, monetary policy and financial econometrics.
For further information, please contact business-school-research@glasgow.ac.uk
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First published: 30 October 2023
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