The Information in the Term Structure: Some Further Results
AbstractThis paper provides some refinements and updating of Fama's (1984) evidence on the information in the term structure about future spot interest rate movements. First, it uses econometric techniques that properly correct standard errors for overlapping data and for conditional heteroscedasticity. Second. it makes use of a new data set that has some potential advantages over Fama's and which has more recent data. Overall, the results are in broad agreement with those of Fama. The term structure does help predict spot interest rate movements several months into the future. Indeed. updating Fama's results indicates that the forecast power of forward rates is generally higher during the October 1982 to June 1986 period than it was during the sample periods Fama examined.
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Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.
Volume (Year): 3 (1988)
Issue (Month): 4 (October-December)
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Web page: http://www.interscience.wiley.com/jpages/0883-7252/
Other versions of this item:
- Mishkin, F.S., 1988. "The Information In The Term Structure: Some Further Results," Papers fb-_88-26, Columbia - Graduate School of Business.
- Frederic S. Mishkin, 1989. "The Information in the Term Structure: Some Further Results," NBER Working Papers 2575, National Bureau of Economic Research, Inc.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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