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UID:406f5eb08eba1322fd0868c7e205fc8e
CATEGORIES:Seminars
CREATED:20250611T052557
SUMMARY:Lunch Seminar: Alireza Tahbaz-Salehi - Kellogg School of Management, Northwestern University
DESCRIPTION;ENCODING=QUOTED-PRINTABLE:<p><em><strong>Expectations and the Term Structure of Interest Rate</strong
 ></em></p><p>Abstract:</p><p style="text-align: justify;">This paper examin
 es how investors' subjective expectations shape the term structure of inter
 est rates. Rather than imposing rational expectations, we allow investors t
 o hold arbitrary (and heterogenous) beliefs about future interest rates. We
  derive the relationships that expected and realized interest rates must sa
 tisfy under various assumptions on investors' expectations and develop regr
 ession-based tests for two key hypotheses: (i) that bond risk premia are co
 nstant, and (ii) that investors understand the structural relationships lin
 king short- and long-term interest rates. Empirically, we find that short-t
 erm bonds do not exhibit time-varying risk premia, and market participants'
  expectations of different interest rates are not consistent with one anoth
 er.</p>
DTSTAMP:20260526T023349Z
DTSTART:20250616T130000Z
DTEND:20250616T140000Z
SEQUENCE:0
TRANSP:OPAQUE
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