Measuring Expectations
Measuring Expectations
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DOI：
10.2307/j.ctv249sg3s.18
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发表时间：
1999-03
期刊：
影响因子：
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通讯作者：
David Kjellberg
中科院分区：
文献类型：
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作者：
David Kjellberg
为了评估预期的措施，我检查和比较一些最常见的方法来捕捉预期：期货方法，利用金融市场价格，VAR预测方法，和调查方法。本文研究了联邦基金利率目标的平均预期，主要发现如下：（1）调查指标与期货指标高度相关;相关系数为0.81，这表明这些措施捕捉到了相同的现象，ii）调查措施一贯高估了利率的实际变化，（3）VAR预测方法与其他方法的相似性较小。
To evaluate measures of expectations I examine and compare some of the most common methods for capturing expectations: the futures method which utilizes financial market prices, the VAR forecast method, and the survey method. I study average expectations on the Federal funds rate target, and the main findings can be summarized as follows: i) the survey measure and the futures measure are highly correlated; the correlation coefficient is 0.81 which indicates that the measures capture the same phenomenon, ii) the survey measure consistently overestimates the realized changes in the interest rate, iii) the VAR forecast method shows little resemblance with the other methods.