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Imperfect Inflation Expectations and Treasury Bond Returns

https://doi.org/10.2139/ssrn.6142747
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/for.3088openalex-snapshot
How we missed the inflation surge: An anatomy of post‐2020 inflation forecast errors
inferredcites →https://doi.org/10.1016/j.jeconom.2006.05.023openalex-snapshot
Approximately normal tests for equal predictive accuracy in nested models
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Asymptotics for out of sample tests of Granger causality
inferredcites →https://doi.org/10.1016/j.jfineco.2014.09.006openalex-snapshot
Macroeconomic linkages between monetary policy and the term structure of interest rates
inferredcites →https://doi.org/10.1016/j.jmoneco.2007.06.029openalex-snapshot
The U.S. Treasury yield curve: 1961 to the present
inferredcites →https://doi.org/10.1016/j.jmoneco.2020.09.003openalex-snapshot
Measuring the effects of federal reserve forward guidance and asset purchases on financial markets
inferredcites →https://doi.org/10.1016/s0304-4076(01)00071-9openalex-snapshot
Tests of equal forecast accuracy and encompassing for nested models
inferredcites →https://doi.org/10.1086/665662openalex-snapshot
What Can Survey Forecasts Tell Us about Information Rigidities?
inferredcites →https://doi.org/10.1086/713192openalex-snapshot
Exposure to Grocery Prices and Inflation Expectations
inferredcites →https://doi.org/10.1086/ma.21.25554958openalex-snapshot
Equilibrium Yield Curves [with Comments and Discussion]
inferredcites →https://doi.org/10.1093/qje/qjae021openalex-snapshot
Perceptions About Monetary Policy
inferredcites →https://doi.org/10.1093/qje/qjv037openalex-snapshot
Learning from Inflation Experiences *
inferredcites →https://doi.org/10.1093/rfs/1.3.195openalex-snapshot
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
inferredcites →https://doi.org/10.1093/rfs/4.1.53openalex-snapshot
Identifying the Dynamics of Real Interest Rates and Inflation: Evidence Using Survey Data
inferredcites →https://doi.org/10.1093/rfs/hhaa039openalex-snapshot
How Important Are Inflation Expectations for the Nominal Yield Curve?
inferredcites →https://doi.org/10.1093/rfs/hhaa062openalex-snapshot
Bond Risk Premiums with Machine Learning
inferredcites →https://doi.org/10.1093/rfs/hhae009openalex-snapshot
Which Subjective Expectations Explain Asset Prices?
inferredcites →https://doi.org/10.1093/rfs/hhm055openalex-snapshot
Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?
inferredcites →https://doi.org/10.1093/rfs/hhn087openalex-snapshot
Time-Varying Risk Premiums and the Output Gap
inferredcites →https://doi.org/10.1093/rfs/hhr033openalex-snapshot
Information in (and not in) the Term Structure
inferredcites →https://doi.org/10.1093/rfs/hhs069openalex-snapshot
Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset Allocation Perspective
inferredcites →https://doi.org/10.1093/rfs/hhs108openalex-snapshot
A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets
inferredcites →https://doi.org/10.1093/rfs/hhv032openalex-snapshot
Expected Returns in Treasury Bonds
inferredcites →https://doi.org/10.1093/rfs/hhw090openalex-snapshot
Inflation Bets on the Long Bond
inferredcites →https://doi.org/10.1093/rfs/hhy051openalex-snapshot
Short-Rate Expectations and Unexpected Returns in Treasury Bonds
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00670.xopenalex-snapshot
Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
inferredcites →https://doi.org/10.1111/jofi.12131openalex-snapshot
Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks
inferredcites →https://doi.org/10.1111/jofi.12700openalex-snapshot
Expected Inflation and Other Determinants of Treasury Yields
inferredcites →https://doi.org/10.1111/jofi.13100openalex-snapshot
Late to Recessions: Stocks and the Business Cycle
inferredcites →https://doi.org/10.1111/jofi.13139openalex-snapshot
Risk‐Sharing and the Term Structure of Interest Rates
inferredcites →https://doi.org/10.1162/003355302320935034openalex-snapshot
Sticky Information versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve
inferredcites →https://doi.org/10.1257/0002828053828446openalex-snapshot
The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models
inferredcites →https://doi.org/10.1257/0002828053828518openalex-snapshot
Estimation and Inference of Impulse Responses by Local Projections
inferredcites →https://doi.org/10.1257/0002828053828581openalex-snapshot
Bond Risk Premia
inferredcites →https://doi.org/10.1257/aer.20110306openalex-snapshot
Information Rigidity and the Expectations Formation Process: A Simple Framework and New Facts
inferredcites →https://doi.org/10.1257/aer.20181219openalex-snapshot
Overreaction in Macroeconomic Expectations
inferredcites →https://doi.org/10.1257/aer.20201220openalex-snapshot
An Alternative Explanation for the “Fed Information Effect”
inferredcites →https://doi.org/10.1287/mnsc.2020.3847openalex-snapshot
Mind the (Convergence) Gap: Bond Predictability Strikes Back!
inferredcites →https://doi.org/10.1287/mnsc.2022.4386openalex-snapshot
Machine-Learning-Based Return Predictors and the Spanning Controversy in Macro-Finance
inferredcites →https://doi.org/10.2307/1913778openalex-snapshot
Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
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