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.
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 InfoPaper provided by Federal Reserve Bank of New York in its series Research Paper with number 8708.
Date of creation: 1987
Date of revision:
Other versions of this item:
- Hardouvelis, Gikas A, 1988. " The Predictive Power of the Term Structure during Recent Monetary Regimes," Journal of Finance, American Finance Association, vol. 43(2), pages 339-56, June.
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Amy Farber).
If references are entirely missing, you can add them using this form.