tag:blogger.com,1999:blog-582368152716771238.post5063885142223477851..comments2024-03-29T07:18:14.271-05:00Comments on The Grumpy Economist: Interest-rate surveysJohn H. Cochranehttp://www.blogger.com/profile/04842601651429471525noreply@blogger.comBlogger11125tag:blogger.com,1999:blog-582368152716771238.post-3506249121831177582022-02-08T21:03:43.378-06:002022-02-08T21:03:43.378-06:00This comment has been removed by the author.Old Eagle Eyehttps://www.blogger.com/profile/05270080708077871311noreply@blogger.comtag:blogger.com,1999:blog-582368152716771238.post-58644396467368733012022-02-03T08:41:06.532-06:002022-02-03T08:41:06.532-06:00https://www.vwl.uni-mannheim.de/media/Lehrstuehle/...https://www.vwl.uni-mannheim.de/media/Lehrstuehle/vwl/Adam/AdamMatveevNagel_JME.pdf<br /><br />This JME paper shows quite convincingly that your explanation of risk-neutral or pessimistically-tilted expectations cannot be correct. Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-582368152716771238.post-11410195728700964292022-02-01T15:30:10.244-06:002022-02-01T15:30:10.244-06:00I think you are missing the point: long run expect...I think you are missing the point: long run expectations are already embedded in the price, but that price also embeds the cost of risk. You can't distill true expectations unless you have a perfect pricing model that can calculate the price of risk. <br /><br />As a shorthand, media and market participants refer to "market expectations" all the time. Knowingly or not, those are only pseudo expectations, accurate solely in a risk neutral world. Forecasters, intriguingly, seem to do the same thing. Jon Seedhttps://www.blogger.com/profile/10891730332574311014noreply@blogger.comtag:blogger.com,1999:blog-582368152716771238.post-26154201438872617972022-01-31T10:26:53.036-06:002022-01-31T10:26:53.036-06:00Very interesting graph. When I was at Booth I did ...Very interesting graph. When I was at Booth I did a paper on market sentiment/forecasters and correlation with the following periods of market movement. It was focused on the short term in commodity markets, but sentiment was generally correlated well with the previous period--recent rally, expect more of the same. The only forecasters with good records were forecasters in markets with positive serial correlation (long trends). <br /><br />This "broken clock syndrome" is interesting in the long run. And I've had my issues with the wind forecasts from NOAA as well. As a devout windsurfer, I grew frustrated with the forecasts always well above the measured windspeeds. I even did an unscientific study and contacted NOAA about the perils of crying wolf. No reply, but forecasts today are much more accurate than in the past. Marchttps://www.blogger.com/profile/08630769554525949635noreply@blogger.comtag:blogger.com,1999:blog-582368152716771238.post-42701826908623603712022-01-31T09:52:03.225-06:002022-01-31T09:52:03.225-06:00This is a GREAT graph and great post. I have grab...This is a GREAT graph and great post. I have grabbed this chart and shared it with friends on numerous occasions whenever we speak of inflation/rates and they go into...but the market isn't expecting...<br /><br />Broader question - what does a chart say about standard economic theories that depend on correct long-run expectations - should we still be making predictions based on P=E[mX] when "E" can be so screwed up for so long....? Of course we can re-classify the mistake into "the required rate of return" but that seems so unappealing. seancamphttps://www.blogger.com/profile/17275512455731466914noreply@blogger.comtag:blogger.com,1999:blog-582368152716771238.post-31397882869571715172022-01-31T09:24:54.453-06:002022-01-31T09:24:54.453-06:00The 10 yr bond interest rate forecasts are availab...The 10 yr bond interest rate forecasts are available for analysis at:<br /><br />https://www.philadelphiafed.org/surveys-and-data/tbond<br /><br />The forecasts of the individual forecast professionals can be downloaded as an Excel file. Mean and median statistics are also available in Excel format but, as summary statistics, these measures are less useful for purposes of analysis of forecasting accuracy, e.g., (expected minus actual)/actual.<br /><br />Forecasts are given by calendar quarter, enabling analysis of dynamic recalibration by individual forecaster. The result is greater "color" in the data available to the data analyst.<br /><br />Torsten Slok's remark is hardly newsworthy. Forecasts are usually taken with a grain of salt. It is not the mean, or the median, forecast that is useful, but the individual forecaster whose forecasting ability has demonstrated a consistent record of accuracy that is worth listening to. Find that individual or handful of individuals and pay attention to their estimates and expressed expectations. The forecast survey data, not the statistical measures, is the critical information.<br /><br /><br />Old Eagle Eyehttps://www.blogger.com/profile/05270080708077871311noreply@blogger.comtag:blogger.com,1999:blog-582368152716771238.post-76935747915834411622022-01-30T16:26:37.827-06:002022-01-30T16:26:37.827-06:00This comment has been removed by the author.Old Eagle Eyehttps://www.blogger.com/profile/05270080708077871311noreply@blogger.comtag:blogger.com,1999:blog-582368152716771238.post-34450208246669194902022-01-30T08:07:47.349-06:002022-01-30T08:07:47.349-06:00Would be interesting to see this graph over a long...Would be interesting to see this graph over a long period of rising interest rates. Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-582368152716771238.post-49712594085010710562022-01-29T19:47:48.466-06:002022-01-29T19:47:48.466-06:00“The risk-neutral mean is a better sufficient stat...“The risk-neutral mean is a better sufficient statistic for decisions” is there a resource for a formal theory of sufficient statistics (including risk neutral means) in decision theory? Or are you using sufficient statistic loosely?LALhttps://www.blogger.com/profile/08196675112184615614noreply@blogger.comtag:blogger.com,1999:blog-582368152716771238.post-12220909086190840382022-01-29T19:13:40.687-06:002022-01-29T19:13:40.687-06:00For the last 40 years, the macroeconomics professi...For the last 40 years, the macroeconomics profession has expected higher rates of inflation, thus higher nominal interest rates. Instead, we saw disinflation and lower rates.<br /><br />The last year has been most welcome in the profession.Benjamin Colehttps://www.blogger.com/profile/14001038338873263877noreply@blogger.comtag:blogger.com,1999:blog-582368152716771238.post-8218006967028921202022-01-29T11:40:48.178-06:002022-01-29T11:40:48.178-06:00As it was explained to me: forward curves allow yo...As it was explained to me: forward curves allow you to bet against the consistency of your counterparty's trades, not their accuracyFc123https://www.blogger.com/profile/08058693210738991605noreply@blogger.com