The Rationality of Federal Funds Rate Expectations: Evidence from a Survey
利用1984年3月至1987年11月的货币市场服务调查数据，发现两周维持期平均联邦基金利率的预期存在偏差，仅略优于随机游走预测，且预测误差与样本内信息相关。
This study finds that expectations of two-week maintenance period average federal funds rates, as measured by the Money Market Services survey from March 1984 to November 1987, are biased, only marginally outperform random walk forecasts, and have forecast errors that are correlated with in-sample information. However, these results are tempered by findings that the survey forecasts incorporate the information in out-of-sample ARIMA forecasts, although the latter are less accurate than random walk forecasts. In addition, the accuracy of the survey forecasts increases for maintenance periods in which the discount rate changes. Copyright 1989 by Ohio State University Press.