The Predictive Power of the Term Structure during Recent Monetary Regimes
AbstractThe author uses weekly Treasury bill rates with maturities of one to twenty-six weeks to examine the information in forward rates during the 1970s and 1980s. Forward rat es contain better information about future changes in spot rates than the information captured by autoregressive and vector autoregressive models. Forward rates also have considerable predictive power, which increased after October 1979 and remained strong after October 1982. The results show no necessary connection between interest rate predi ctability and the degree to which the Fed adheres to interest rate ta rgeting. Copyright 1988 by American Finance Association.
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Bibliographic InfoArticle provided by American Finance Association in its journal Journal of Finance.
Volume (Year): 43 (1988)
Issue (Month): 2 (June)
Other versions of this item:
- Gikas A. Hardouvelis, 1987. "The predictive power of the term structure during recent monetary regimes," Research Paper 8708, Federal Reserve Bank of New York.
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