Presidential Address: How Much “Rationality” Is There in Bond‐Market Risk Premiums?
将专业预测者的信念与一个学习债券风险因子动态的贝叶斯计量经济学家进行对比，发现预测误差在商业周期中可预测，且专业预测者对收益率的意见分歧与对宏观经济基本面的分歧关联很弱。
ABSTRACT Beliefs of professional forecasters are benchmarked against those of a Bayesian econometrician who is learning about the unknown dynamics of the bond risk factors. Consistent with rational Bayesian learning, the forecast errors of individual professionals and are comparably predictable over the business cycle. The secular and cyclical patterns of professionals' forecasts relative to those of are explored in depth. Inconsistent with many models with belief dispersion, the relationship between professionals' yield disagreement and their matched disagreements about macroeconomic fundamentals is very weak.