Home>Publications>Econometrica>Investors' Portfolio Behavior under Alternative Models of Long-Term Interest Rate Expectations: Unitary, Rational, or Autoregressive
This paper develops behavioral relationships explaining investors' demands for longterm 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.
MLA
Friedman, Benjamin M., and V. Vance Roley. “Investors' Portfolio Behavior under Alternative Models of Long-Term Interest Rate Expectations: Unitary, Rational, or Autoregressive.” Econometrica, vol. 47, .no 6, Econometric Society, 1979, pp. 1475-1498, https://www.jstor.org/stable/1914013
Chicago
Friedman, Benjamin M., and V. Vance Roley. “Investors' Portfolio Behavior under Alternative Models of Long-Term Interest Rate Expectations: Unitary, Rational, or Autoregressive.” Econometrica, 47, .no 6, (Econometric Society: 1979), 1475-1498. https://www.jstor.org/stable/1914013
APA
Friedman, B. M., & Roley, V. V. (1979). Investors' Portfolio Behavior under Alternative Models of Long-Term Interest Rate Expectations: Unitary, Rational, or Autoregressive. Econometrica, 47(6), 1475-1498. https://www.jstor.org/stable/1914013
We are deeply saddened by the passing of Kate Ho, the John L. Weinberg Professor of Economics and Business Policy at Princeton University and a Fellow of the Econometric Society. Kate was a brilliant IO economist and scholar whose impact on the profession will resonate for many years to come.
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