The Review of Financial Studies, Volume 31, Issue 9, September 2018

短期利率预期和国债非预期收益

作者：Anna Cieslak (Fuqua School of Business, Duke University and CEPR)

摘要：本文发现投资者在商业周期内对短期利率预期存在巨大的持续性的错误。经济下滑和美联储宽松政策期间出现的最大误差是投资者高估了未来的短期利率，从而低估了未来的债券收益率。在一年期期限内，实际利率（而非通货膨胀）的误差占短期利率预测误差方差的80％，超过一半的误差归因于美联储的宽松政策比公众预期更为激进。短期利率预测误差会引发国债超额收益的事后可预测性，而这种超额收益并非由时变风险溢价造成。

Short-Rate Expectations and Unexpected Returns in Treasury Bonds

Anna Cieslak (Fuqua School of Business, Duke University and CEPR)

ABSTRACT

I document large and persistent errors in investors’ expectations about the short-term interest rate over the business cycle. The largest errors arise in economic downturns and during Fed easings when investors overestimate future short rates and, thus, underestimate future bond returns. At a one-year horizon, errors about the path of the real rate (as opposed to inflation) account for 80% of short-rate forecast error variance, with more than half of that number attributed to the Fed easing more aggressively than the public expected. Short-rate forecast errors induce ex post predictability of excess returns on Treasury bonds that is not due to time-varying risk premium.

原文链接：https://academic.oup.com/rfs/article/31/9/3265/4985218

翻译：吕越