How well do US consumers predict the direction of change in interest rates?

被引：6

作者：

Baghestani, Hamid ^{[1
]}

Kherfi, Samer ^{[1
]}

机构：

[1] Amer Univ Sharjah, Sch Business & Management, Dept Econ, POB 26666, Sharjah, U Arab Emirates

来源：

QUARTERLY REVIEW OF ECONOMICS AND FINANCE | 2008年 / 48卷 / 04期

关键词：

Directional predictions; Michigan survey; Mortgage rate; Prime rate; Economically rational expectations; Asymmetric loss function;

D O I：

10.1016/j.qref.2007.06.002

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The Michigan survey asks U.S. consumers about their 1-year expected directional change in interest rates. For 1978-1983 when interest rates are volatile, we find a strong association between the actual and predicted changes, with no asymmetry (the proportions of incorrectly predicted upward and downward moves are statistically the same.) For 1984-2005 when interest rates are relatively stable, we find asymmetry (consumers do not accurately predict the downward moves in interest rates.) We conclude that consumer borrowing based on such expectations can undermine monetary policy effectiveness, depending both on the directional change in policy and interest rate volatility. (C) 2007 Board of Trustees of the University of Illinois. Published by Elsevier B.V. All rights reserved.

引用

页码：725 / 732

页数：8

共 16 条

[1] ON THE FORMATION OF EXPECTED INFLATION UNDER VARIOUS CONDITIONS - SOME SURVEY EVIDENCE [J].