The decomposition of bond yields into term premiums and average expected future short rates is impaired by the limited availability of information about the dynamics of the expectations component. Therefore, many studies require the model-implied average expected future short rates to be close to short rate expectations from surveys. In this paper, I restrict the variance of changes in model-implied average expected future short rates to match the variance of changes in short rate expectations from surveys. The variance of changes in survey expectations is relatively similar across markets and thus provides a reliable source of additional information about the expectation formation of investors. Technically, I impose a nonlinear restriction to the term structure model of Adrian, Crump, and Moench (2013). I show that typical small sample problems of term structure estimations can be mitigated if the restriction on the variance of changes is imposed. However, the analysis also makes a case for unrestricted estimations if they are based on a dataset with a typical sample length in macro finance.

由于有关预期成分动态的信息有限，债券收益率分解为期限溢价和平均预期未来短期利率受到损害。因此，许多研究要求模型隐含的平均预期未来短期利率接近调查得出的短期利率预期。在本文中，我限制模型隐含平均预期未来短期利率变化的方差，以匹配调查中短期利率预期变化的方差。各个市场的调查预期变化的方差相对相似，因此提供了有关投资者预期形成的额外信息的可靠来源。从技术上讲，我对 Adrian、Crump 和 Moench (2013) 的期限结构模型施加了非线性限制。我表明，如果对变化方差施加限制，则可以缓解期限结构估计的典型小样本问题。然而，如果分析基于具有宏观金融中典型样本长度的数据集，则该分析也为不受限制的估计提供了理由。