A Rational Expectations Model of Time Varying Risk Premia in Commodities Futures Markets: Theory and Evidence

1993 ◽  
Vol 34 (1) ◽  
pp. 149 ◽  
Author(s):  
Stacie E. Beck
Keyword(s):  
Rational Expectations ◽  
Futures Markets ◽  
Risk Premia ◽  
Time Varying

scholarly journals Time Varying Risk Premia in Futures Markets

1990 ◽  
Vol 90 (116) ◽  
pp. 1 ◽  
Author(s):  
Graciela Laura Kaminsky ◽  
Manmohan S. Kumar ◽  
◽  
Keyword(s):  
Futures Markets ◽  
Risk Premia ◽  
Time Varying

Time-varying risk premia and forecastable returns in futures markets

1992 ◽  
Vol 32 (2) ◽  
pp. 169-193 ◽  
Author(s):  
Hendrik Bessembinder ◽  
Kalok Chan
Keyword(s):  
Futures Markets ◽  
Risk Premia ◽  
Time Varying

A NOTE ON MUTH'S RATIONAL EXPECTATIONS HYPOTHESIS: A TIME-VARYING COEFFICIENT INTERPRETATION

2006 ◽  
Vol 10 (3) ◽  
pp. 415-425 ◽  
Author(s):  
P.A.V.B. SWAMY ◽  
GEORGE S. TAVLAS
Keyword(s):  
Rational Expectations ◽  
Econometric Model ◽  
Objective Probability ◽  
Varying Coefficient Models ◽  
Time Varying ◽  
Exact Representation ◽  
Expectations Hypothesis ◽  
Varying Coefficient ◽  
True Model ◽  
Necessary And Sufficient

Under certain interpretations of its coefficients, a specified econometric model is an exact representation of the “true” model, defining the “objective” probability distribution. This note enumerates these interpretations. In the absence of the conditions implied by these interpretations, the econometric model is misspecified. The note shows that model misspecifications prevent the satisfaction of a necessary and sufficient condition for individual expectations to be rational in Muth's sense. Whereas restrictive forms of econometric models can give very inaccurate predictions, this note describes the conditions under which the predictions generated from time-varying coefficient models coincide with the predictions generated from the relevant economic theory.

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