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Expectations hypothesis

The theory that long-term yields are simply the average of expected future short-term rates, implying forward rates are unbiased forecasts.

Under the pure version, a 2-year yield equals the average of this year's and next year's expected 1-year rates, and there is no term-premium. Investors would be indifferent between rolling short bills and buying a long bond.

The evidence says otherwise: long bonds have historically earned more than rolling short ones, so a premium exists. But the hypothesis is still the right starting point, because it is why an inverted-yield-curve is read as a forecast of rate cuts.

Example: the 1-year yield is 5.0% and the 2-year is 4.5%. Pure expectations implies the 1-year rate one year from now will be about 4.0%, which is the market pricing roughly four 25 bp cuts.

Related: term-premium, forward-rate, inverted-yield-curve, yield-curve

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