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Informational Content in Interest Rate Term Structures

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  • Edminster, Robert O
  • Madan, Dilip B

Abstract

Employing continuous arbitrage pricing principles, closed-form expressions for the term structure of interest rates as functions of two specific rates are developed. Model restrictions to the two one-dimensional submodels are tested and rejected, thereby supporting the hypothesis that the term structure is at least two-dimensional. Evidence is also presented that supports the view that the informational content of the term structure lies in its longer maturities. Copyright 1993 by MIT Press.

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  • Edminster, Robert O & Madan, Dilip B, 1993. "Informational Content in Interest Rate Term Structures," The Review of Economics and Statistics, MIT Press, vol. 75(4), pages 695-699, November.
    • Handle: RePEc:tpr:restat:v:75:y:1993:i:4:p:695-99
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    Cited by:

    1. Mateus A. Feitosa & Benjamin M. Tabak, 2007. "Predictability Of Economic Activity Using Yield Spreads: The Case Of Brazil," Anais do XXXV Encontro Nacional de Economia [Proceedings of the 35th Brazilian Economics Meeting] 029, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].

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