Working Paper Series, Department of Economics, Uppsala University
Abstract: 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.
Keywords: Interest rates; expectations; futures; VAR forecasts; survey data; (follow links to similar papers)
JEL-Codes: E43; E44; E47; (follow links to similar papers)
46 pages, February 2006
Before downloading any of the electronic versions below
you should read our statement on
for viewing Postscript files and the
Acrobat Reader for viewing and printing pdf files.
Full text versions of the paper:
Questions (including download problems) about the papers in this series should be directed to Katarina Grönvall ()
Report other problems with accessing this service to Sune Karlsson ()
or Helena Lundin ().
Design by Joachim Ekebom