The Predictive Power of Yield Spreads for Future Interest Rates: Evidence from the Danish Term Structure
AbstractThe predictive power of yield spreads for future interest rates is examined using a new database of zero-coupon bonds yields from the Danish bond market. The evidence shows that during the period of monetary targeting, 1976:1-1985:7, yield spreads have substantial predictive power and the results tend to support the rational expectations version of the classical expectations theory of the term structure. However, for the recent period 1985:8-1991:12, characterized by a shift to a policy of interest rate targeting, the predictive power of yield spreads disappears. Copyright 1995 by The editors of the Scandinavian Journal of Economics.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoArticle provided by Wiley Blackwell in its journal Scandinavian Journal of Economics.
Volume (Year): 97 (1995)
Issue (Month): 1 (March)
Contact details of provider:
Web page: http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1467-9442
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Engsted, Tom, 2002. " Measures of Fit for Rational Expectations Models," Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 301-55, July.
- Pawel Milobedzki, 2012. "The Expectations Hypothesis of the Term Structure of LIBOR US Dollar Interest Rates," Dynamic Econometric Models, Wydawnictwo Naukowe Uniwersytetu Mikolaja Kopernika, vol. 12, pages 5-18.
- Jorge Barros Luís & Bernardino Adão, 1997. "Testing the expectations theory for the Portuguese yield curve," Economic Bulletin and Financial Stability Report Articles, Banco de Portugal, Economics and Research Department.
- Pilegaard, Rasmus & Durré, Alain & Evjen, Snorre, 2003. "Estimating risk premia in money market rates," Working Paper Series 0221, European Central Bank.
- Boero, G. & Torricelli, C., 1998. "Tests of the Expectations Hypothesis and Policy Reaction to the Term Spread: Some Comparative Evidence," The Warwick Economics Research Paper Series (TWERPS) 512, University of Warwick, Department of Economics.
- Hansen, Peter Reinhard, 2003.
"Structural changes in the cointegrated vector autoregressive model,"
Journal of Econometrics,
Elsevier, vol. 114(2), pages 261-295, June.
- Peter Reinhard Hansen, 2000. "Structural Changes in the Cointegrated Vector Autoregressive Model," Working Papers 2000-20, Brown University, Department of Economics.
- Oliver B. Linton & Enno Mammen & J. Nielsen & Carsten Tanggaard, 2000.
"Yield Curve Estimation by Kernel Smoothing Methods,"
Econometric Society World Congress 2000 Contributed Papers
0235, Econometric Society.
- Linton, Oliver & Mammen, Enno & Nielsen, Jans Perch & Tanggaard, Carsten, 2001. "Yield curve estimation by kernel smoothing methods," Journal of Econometrics, Elsevier, vol. 105(1), pages 185-223, November.
- Oliver Linton & Enno Mammen & Jens Perch Nielsen & C Tanggaard, 2000. "Yield Curve Estimation by Kernel Smoothing Methods," STICERD - Econometrics Paper Series /2000/385, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Stefan Gerlach, 1996. "Monetary policy and the behaviour of interest rates: are long rates excessively volatile?," BIS Working Papers 34, Bank for International Settlements.
- Engsted, Tom, 1996. "The predictive power of the money market term structure," International Journal of Forecasting, Elsevier, vol. 12(2), pages 289-295, June.
- Christian Mose Nielsen, 2007. "Does the choice of interest rate data matter for the results of tests of the expectations hypothesis - some results for the UK," Money Macro and Finance (MMF) Research Group Conference 2006 132, Money Macro and Finance Research Group.
- Cuthbertson, Keith & Nitzsche, Dirk, 2003. "Long rates, risk premia and the over-reaction hypothesis," Economic Modelling, Elsevier, vol. 20(2), pages 417-435, March.
- Petko Kalev & Brett Inder, 2006. "The information content of the term structure of interest rates," Applied Economics, Taylor and Francis Journals, vol. 38(1), pages 33-45.
- Alain Durré, 2006. "The Liquidity Premium in the Money Market: A Comparison of the German Mark Period and the Euro Area," German Economic Review, Verein für Socialpolitik, vol. 7, pages 163-187, 05.
- Tom Engsted & Stig V. Møller & Magnus Sander, 2013. "Bond return predictability in expansions and recessions," CREATES Research Papers 2013-13, School of Economics and Management, University of Aarhus.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.