Riqqeh and Memphis VI
Riqqeh and Memphis VI
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里克和孟菲斯六号
DOI：
10.1007/s40821-016-0043-7
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发表时间：
2016
影响因子：
3.5
通讯作者：
W. F. Petrie
中科院分区：
文献类型：
--
作者：
R. Engelbach;M. Murray;H. Petrie;W. F. Petrie
资本市场投资者预测中央银行利率的能力至关重要，因为后者是许多经济交易的锚。金融经济学文献表明，短期远期利率是投资者在预期中央银行收益时考虑的一个关键因素。然而，目前还不清楚远期利率，一个相当抽象的措施，是一个足够的预测，是否更具体的变量，如投资者的危机周期的看法，显着增加解释能力的中央银行利率预期。我们研究了以色列资本市场对以色列中央银行短期利率的预测，即，a 1993-2008年期间的1至3个月期限。除了提取远期利率外，我们还利用本地和国际资本市场的表现，创建了一个危机商业周期的代理。这种金融环境使我们能够检验联系水平理论，其中抽象变量是远期利率，具体变量是经济危机，联系水平是地平线长度。研究结果有力地支持了认知水平理论。我们表明，预期的中央银行利率的依赖于抽象的远期利率变得更加积极的较长时期。此外，经济危机周期对短期预期联邦基金的重大积极影响在较长时期内会减弱。因此，在以投资期限为代表的心理距离中，具体的经济危机与抽象的远期利率之间存在预测替代效应。
Capital market investors’ capability to forecast the central bank interest rate is critical, since the latter serves as an anchor for many economic transactions. Financial-economics literature shows that the short-term forward rate is a crucial factor considered by investors in the expectation of central bank returns. Yet, it is unclear if the forward rate, a rather abstract measure, is a sufficient predictor—whether a more concrete variable, such as investors’ crisis cycle perceptions, significantly adds explanatory power to the central bank rate expectations. We examine Israeli capital market forecasting of the short-term Central Bank of Israel interest rate, i.e., a 1-to-3-month horizon, during the period 1993–2008. Beyond extracting the forward rate, we create a proxy for crisis business cycle, using local and international capital market performance. This financial setting allows us to examine theConstrual Level Theory, where the abstract variable is the forward rate, the concrete variable is the economic crisis, and the construal level is the horizon length. The findings strongly supportConstrual Level Theory. We show that the expected central bank rate’s reliance on the abstract forward rate becomes more aggressive for longer periods. In addition, the significant positive impact of the economy’s crisis cycle on the short-horizon expected federal fund diminishes in longer horizons. Hence, there is a forecasting substitution effect between the concrete economy crisis and the abstract forward rate in the psychological distance represented by the investment horizon.