Inflation Forecast Errors and Time Variation in Term Premia
研究通胀预测误差是否解释了期限结构理论中长端利率预测失灵的现象，发现调查预测的适应性不足，且预测误差能可靠预测美国国债的期限溢价。
The expectations theory of the term structure is well known to give wrong signals as to the future course of long-term interest rates. One explanation involves rational time-varying term premia. However, the “anomaly” may also be due to inflation forecast errors. We study survey forecasts of inflation. It seems that the respondents' forecasts are insufficiently adaptive. Interest rates reflect expectations similar to the inflation forecasts. As a result, past survey forecast errors reliably predict premia on U.S. Government Bonds.