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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:\n\nExpectations and the Term Structure of Interest Rate\n\n\nAbstract:\nTh
 is paper examines how investors' subjective expectations shape the term str
 ucture of interest rates. Rather than imposing rational expectations, we al
 low investors to hold arbitrary (and heterogenous) beliefs about future int
 erest rates. We derive the relationships that expected and realized interes
 t rates must satisfy under various assumptions on investors' expectations a
 nd develop regression-based tests for two key hypotheses: (i) that bond ris
 k premia are constant, and (ii) that investors understand the structural re
 lationships linking short- and long-term interest rates. Empirically, we fi
 nd that short-term bonds do not exhibit time-varying risk premia, and marke
 t participants' expectations of different interest rates are not consistent
  with one another.\n
DTSTAMP:20260526T023331Z
DTSTART:20250616T130000Z
DTEND:20250616T140000Z
SEQUENCE:0
TRANSP:OPAQUE
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