This paper argues that assuming a common information set shared by the public and the central bank may be inappropriate when one is concerned with the value of information itself. Specifically, we argue that it may lead one to draw the conclusion that monetary policy do not benefit from accurate...

This paper combines multivariate density forecasts of output growth, inflation and interest rates from a suite of models. An out-of-sample weighting scheme based on the predictive likelihood as proposed by Eklund and Karlsson (2005) and Andersson and Karlsson (2007) is used to combine the...

This paper investigates the optimal bond portfolio choice of an investor in a model that captures both the failure of the expectation hypothesis and recent findings that variables not in the term structure of interest rates drive expected bond returns. I estimate a daily multifactor affine term...