Jongen, Ron; Verschoor, Willem F.C.; Wolff, Christian C.P. - In: Journal of International Money and Finance 30 (2011) 4, pp. 605-622
Using a large, previously unexplored data set of survey-based interest rate forecasts that covers a broad range of countries, this paper re-examines the expectations hypothesis of the term structure of interest rates. We find that survey-based interest rate forecasts outperform not only a random...