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Investors' Portfolio Behavior Under Alternative Models of Long-Term Interest Rate Expectations: Unitary, Rational, or Autoregressive / Benjamin M. Friedman, V. Vance Roley.
- Format:
- Book
- Author/Creator:
- Friedman, Benjamin M.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w0178.
- NBER working paper series no. w0178
- Language:
- English
- Subjects (All):
- Instrumental variables (Statistics).
- Investments.
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Investors' Portfolio Behavior Under Alternative Models of Long-Term Interest Rate Expectations
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1980.
- Cambridge, Massachusetts : National Bureau of Economic Research, 1980.
- Summary:
- This paper develops behavioral relationships explaining investors' demands for long-term bonds, using three alternative hypotheses about investors' expectations of future bond prices (yields). The results, based on U.S. 'data for six major categories of bond market investors, consistently support an autoregressive expectations model. The results also have implications for further aspects of investors' portfolio behavior, including expectations formation, response to inflation, and speed of adjustment.
- Notes:
- Print version record
- April 1980.
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