Search Results - subject:"Expectations Model"

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Trade timing, price volatility and serial correlation

Wang, Ming-chang; Zu, Lon-ping - In: European financial management : the journal of the … 19 (2013) 5, pp. 911-934

Persistent link: https://www.econbiz.de/10010237351

Density forecasting through disaggregation

Kim, Kun Ho - In: International Journal of Forecasting 27 (2011) 2, pp. 394-412

In this paper, the revised expectations model (REM) is developed to incorporate economic agents’ price expectation …

Persistent link: https://www.econbiz.de/10010577336

Solving Models with Imperfect and Asymmetric Information

Kowal, Pawel - EconWPA - 2005

We consider linear dynamic models with rational expectations in case of incomplete and asymmetric information as well as agents heterogeneity. This problem requires solving infinite dimensional matrix equations. We propose asymptotic expansion method to reduce this problem to the finite...

Persistent link: https://www.econbiz.de/10005561129

Uncertainty on Monetary Policy and the Expectational Model of the Term Structure of Interest Rates

Favero, Carlo A.; Mosca, Federico - C.E.P.R. Discussion Papers - 2001

In this Paper we estimate jointly a forward-looking reaction function for the three-month rate along with a term structure relationship linking the six-month interest rates to current and expected future three-month rates. In our empirical model the response of the six-month interest rates to...

Persistent link: https://www.econbiz.de/10005791210

Does Macroeconomics Help Us To Understand the Term Structure of Interest Rates?

Favero, Carlo A. - C.E.P.R. Discussion Papers - 2001

The expectations model of the term structure states that the yields to maturity of long-term bonds are equal to the … consistent with the expectations model. A direct test of the theory, based on full information, can then be immediately … we do in this Paper. Our results shed new light on the empirical validity of the expectations model. …

Persistent link: https://www.econbiz.de/10005114363