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Forward rates as predictors of future spot rates

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Author Info
Fama, Eugene F.
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File URL: http://www.sciencedirect.com/science/article/B6VBX-45N4YVT-C/2/f509e426e2f09aa12e0b03cd37358bb4
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Publisher Info
Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 3 (1976)
Issue (Month): 4 (October)
Pages: 361-377
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Handle: RePEc:eee:jfinec:v:3:y:1976:i:4:p:361-377

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Web page: http://www.elsevier.com/locate/inca/505576

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  2. Rudolf Marty, 1990. "Die Zinsstruktur am Euromarkt: eine empirische Studie," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 126(I), pages 51-61, March. [Downloadable!]
  3. Juan Ayuso & M.L. de la Torre, 1991. "Riesgo y volatilidad en el mercado interbancario," Investigaciones Economicas, Fundación SEPI, vol. 15(1), pages 89-119, January. [Downloadable!]
  4. Englund, Peter & Gunnelin, Åke & Hoesli, Martin & Söderberg, Bo, 2002. "Implicit Forward Rents as Predictors of Future Rents," SIFR Research Report Series 12, Institute for Financial Research. [Downloadable!]
  5. Stephen A. Buser & G. Andrew Karolyi & Anthony B. Sanders, . "Adjusted Forward Rates as Predictors of Future Spot Rates," Research in Financial Economics 9605, Ohio State University. [Downloadable!]
  6. Dima, Bogdan & Pirtea, Marilen & Barna, Flavia & Murgea, Aurora & Nachescu, Miruna, 2007. "The Analysis of the Bucharest Stock Exchange Financial Sector," MPRA Paper 12313, University Library of Munich, Germany. [Downloadable!]
  7. Alfonso Novales & Emilio Domínguez, 2002. "Can forward rates be used to improve interest rate forecasts?"," Documentos del Instituto Complutense de Análisis Económico 0225, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales. [Downloadable!]
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  8. David S. Jones & V. Vance Roley, 1984. "Rational Expectations, the Expectations Hypothesis, and Treasury Bill Yields: An Econometric Analysis," NBER Working Papers 0869, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  9. E. Levy & A.R. Nobay, 1988. "On Evaluating Speculative Efficiency in Forward Markets," University of California at Los Angeles, Anderson Graduate School of Management 1191, Anderson Graduate School of Management, UCLA. [Downloadable!]
  10. Allen N. Berger & Sally M. Davies & Mark J. Flannery, 1998. "Comparing market and supervisory assessments of bank performance: who knows what when?," Finance and Economics Discussion Series 1998-32, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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  11. Gianna Boero & C. Torricelli, 1999. "The Information in the Term of Structure: further Results for Germany," Working Paper CRENoS 199912, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]
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  13. Henri Loubergé, 1980. "Le risque de change existe-t-il?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 116(IV), pages 385-402, December. [Downloadable!]
  14. Alfonso Novales & Pilar Abad, 2002. "Risk Premia in the Term Structure of Swaps in Pesetas," Documentos del Instituto Complutense de Análisis Económico 0219, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales. [Downloadable!]
  15. Qiang Dai & Kenneth J. Singleton, 2001. "Expectation Puzzles, Time-varying Risk Premia, and Dynamic Models of the Term Structure," NBER Working Papers 8167, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  17. Gianna Boero & Costanza Torricelli, 2002. "The information in the term structure of German interest rates," European Journal of Finance, Taylor and Francis Journals, vol. 8(1), pages 21-45, March. [Downloadable!] (restricted)
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