Using Canadian data, the authors show that anticipated quarterly changes in long-term rates associated with the rat ional-expectations model have remained small during the post-shift pe riod. They examine three sets of recorded forecasts of long-term inte rest rates in Canada, and note their failure to improve upon the no-c hange prediction. The excess returns on long-term bonds implicit in t he recorded forecasts of the level of interest rates vary sharply, ye t there is little evidence that forecasters have identified a predict able component of time-varying term premia. Copyright 1988 by American Finance Association.
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Article provided by American Finance Association in its journal Journal of Finance.
Volume (Year): 43 (1988) Issue (Month): 1 (March) Pages: 217-39 Download reference. The following formats are available: HTML,
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