ABSTRACT Beliefs of professional forecasters are benchmarked against those of a Bayesian econometrician who is learning about the unknown dynamics of the bond risk factors. Consistent with rational Bayesian learning, the forecast errors of individual professionals and are comparably predictable over the business cycle. The secular and cyclical patterns of professionals' forecasts relative to those of are explored in depth. Inconsistent with many models with belief dispersion, the relationship between professionals' yield disagreement and their matched disagreements about macroeconomic fundamentals is very weak.

This paper explores the impact of investor flows and financial market conditions on returns in crude oil futures markets. I argue that informational frictions and the associated speculative activity may induce prices to drift away from “fundamental” values, and may result in price booms and busts. Particular attention is given to the interplay between imperfect information about real economic activity, including supply, demand, and inventory accumulation, and speculative activity in oil markets. Furthermore, I present new evidence that there were economically and statistically significant effects of investor flows on futures prices, after controlling for returns in the United States and emerging-economy stock markets, a measure of the balance sheet flexibility of large financial institutions, open interest, the futures/spot basis, and lagged returns on oil futures. The largest impacts on futures prices were from intermediate-term growth rates of index positions and managed-money spread positions. Moreover, my findings suggest that these effects were through risk or informational channels distinct from changes in convenience yield. Finally, the evidence suggests that hedge fund trading in spread positions in futures impacted the shape of term structure of oil futures prices. This paper was accepted by Wei Xiong, finance.

Kenneth J. Singleton, Adjustment Costs and Capital Asset Pricing: Discussion, The Journal of Finance, Vol. 40, No. 3, Papers and Proceedings of the Forty-Third Annual Meeting American Finance Association, Dallas, Texas, December 28-30, 1984 (Jul., 1985), pp. 705-709

Variance bounds are derived for general present-value relations involving the expected future values of any finite number of variables. The estimators of these bounds and the variance being bounded are then shown to have a joint distribution converging to that of the multivariate normal, with moments which can be consistently estimated from the data. As a special case of these results, it is shown that expectations models of the term structure imply upper and lower bounds on the variance of the long-term rate. These bounds are used to test a rational expectations model of long-term U.S. Treasury bond yields.

Variance bounds are derived for general present-value relations involving the expected future values of any finite number of variables. The estimators of these bounds and the variance being bounded are then shown to have a joint distribution converging to that of the multivariate normal, with moments which can be consistently estimated from the data. As a special case of these results, it is shown that expectations models of the term structure imply upper and lower bounds on the variance of the long-term rate. These bounds are used to test a rational expectations model of long-term U.S. Treasury bond yields.