IDEAS home Printed from https://ideas.repec.org/r/eee/jfinec/v21y1988i1p41-70.html
   My bibliography  Save this item

The information in forward rates : Implications for models of the term structure

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Camilla LandÊn, 2000. "Bond pricing in a hidden Markov model of the short rate," Finance and Stochastics, Springer, vol. 4(4), pages 371-389.
  2. Gong, Fangxiong & Remolona, Eli M, 1997. "Two Factors along the Yield Curve," The Manchester School of Economic & Social Studies, University of Manchester, vol. 65(0), pages 1-31, Supplemen.
  3. Cochrane, John H., 2005. "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
  4. Christopher G. Lamoureux & H. Douglas Witte, 2002. "Empirical Analysis of the Yield Curve: The Information in the Data Viewed through the Window of Cox, Ingersoll, and Ross," Journal of Finance, American Finance Association, vol. 57(3), pages 1479-1520, June.
  5. Jerry Tsai & Jessica A. Wachter, 2015. "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers 20926, National Bureau of Economic Research, Inc.
  6. Bekaert, Geert & Hodrick, Robert J. & Marshall, David A., 1997. "On biases in tests of the expectations hypothesis of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 44(3), pages 309-348, June.
  7. Lettau, Martin & Wachter, Jessica A., 2011. "The term structures of equity and interest rates," Journal of Financial Economics, Elsevier, vol. 101(1), pages 90-113, July.
  8. Thornton, Daniel L., 2006. "Tests of the Expectations Hypothesis: Resolving the Campbell-Shiller Paradox," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(2), pages 511-542, March.
  9. Ornelas, Jose Renato Haas & Silva Jr., Antonio Francisco de Almeida, 2015. "Testing the liquidity preference hypothesis using survey forecasts," Emerging Markets Review, Elsevier, vol. 23(C), pages 173-185.
  10. Hadhri, Sinda & Ftiti, Zied, 2017. "Stock return predictability in emerging markets: Does the choice of predictors and models matter across countries?," Research in International Business and Finance, Elsevier, vol. 42(C), pages 39-60.
  11. Della Corte, Pasquale & Sarno, Lucio & Thornton, Daniel L., 2008. "The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value," Journal of Financial Economics, Elsevier, vol. 89(1), pages 158-174, July.
  12. John Y. Campbell, 1995. "Some Lessons from the Yield Curve," Journal of Economic Perspectives, American Economic Association, vol. 9(3), pages 129-152, Summer.
  13. John H. Cochrane & Monika Piazzesi, 2005. "Bond Risk Premia," American Economic Review, American Economic Association, vol. 95(1), pages 138-160, March.
  14. Mark A. Hooker, 1996. "Maturity structure of term premia with time-varying expected returns," Working Papers 96-4, Federal Reserve Bank of Boston.
  15. Ghysels, E. & Ng, S., 1996. "A Semi-Parametric Factor Model for Interest Rates," Cahiers de recherche 9612, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  16. Atkins, Philip J. & Cummins, Mark, 2023. "Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling," European Journal of Operational Research, Elsevier, vol. 304(3), pages 1331-1348.
  17. Zhang, Han & Guo, Bin & Liu, Lanbiao, 2022. "The time-varying bond risk premia in China," Journal of Empirical Finance, Elsevier, vol. 65(C), pages 51-76.
  18. Menno Middeldorp, 2011. "Central bank transparency, the accuracy of professional forecasts, and interest rate volatility," Staff Reports 496, Federal Reserve Bank of New York.
  19. Piazzesi, Monika & Swanson, Eric T., 2008. "Futures prices as risk-adjusted forecasts of monetary policy," Journal of Monetary Economics, Elsevier, vol. 55(4), pages 677-691, May.
  20. Petko Kalev & Brett Inder, 2006. "The information content of the term structure of interest rates," Applied Economics, Taylor & Francis Journals, vol. 38(1), pages 33-45.
  21. Kessler, Stephan & Scherer, Bernd, 2009. "Varying risk premia in international bond markets," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1361-1375, August.
  22. John H. Cochrane, 2011. "Discount Rates," NBER Working Papers 16972, National Bureau of Economic Research, Inc.
  23. Eric McCoy, 2019. "A Calibration of the Term Premia to the Euro Area," European Economy - Discussion Papers 110, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
  24. Zura Kakushadze & Willie Yu, 2019. "iCurrency?," Papers 1911.01272, arXiv.org, revised Nov 2019.
  25. van Binsbergen, Jules & Hueskes, Wouter & Koijen, Ralph & Vrugt, Evert, 2013. "Equity yields," Journal of Financial Economics, Elsevier, vol. 110(3), pages 503-519.
    • Jules H. van Binsbergen & Wouter Hueskes & Ralph Koijen & Evert B. Vrugt, 2011. "Equity Yields," NBER Working Papers 17416, National Bureau of Economic Research, Inc.
  26. Francesco Drudi & Roberto Violi, 1999. "Structure par terme des taux d'intérêt, volatilité et primes de risque : applications au marché de l'Eurolire," Économie et Prévision, Programme National Persée, vol. 140(4), pages 21-34.
  27. Lekkos, Ilias & Milas, Costas, 2004. "Time-varying excess returns on UK government bonds: A non-linear approach," Journal of Banking & Finance, Elsevier, vol. 28(1), pages 45-62, January.
  28. Peter Hördahl & Eli M Remolona & Giorgio Valente, 2015. "Expectations and risk premia at 8:30am: Macroeconomic announcements and the yield curve," BIS Working Papers 527, Bank for International Settlements.
  29. Longstaff, Francis A., 2000. "The term structure of very short-term rates: New evidence for the expectations hypothesis," Journal of Financial Economics, Elsevier, vol. 58(3), pages 397-415, December.
  30. Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2011. "Common Risk Factors in Currency Markets," The Review of Financial Studies, Society for Financial Studies, vol. 24(11), pages 3731-3777.
  31. Kang, Jangkoo & Park, Hyoung-Jin, 2006. "Tests of alternate models for the pricing of Korean Treasury bond futures contracts," Pacific-Basin Finance Journal, Elsevier, vol. 14(4), pages 410-425, September.
  32. Bulkley, George & Harris, Richard D.F. & Nawosah, Vivekanand, 2011. "Revisiting the expectations hypothesis of the term structure of interest rates," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1202-1212, May.
  33. Eric Ghysels & Serena Ng, 1998. "A Semiparametric Factor Model Of Interest Rates And Tests Of The Affine Term Structure," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 535-548, November.
  34. De Rezende, Rafael B., 2015. "Risks in macroeconomic fundamentals and excess bond returns predictability," Working Paper Series 295, Sveriges Riksbank (Central Bank of Sweden).
  35. Livio Stracca, "undated". "Economics and Politics: Interest Rate Convergence in Europe and EMU," Discussion Papers in European Economics 99/6, Division of Economics, School of Business, University of Leicester.
  36. David K. Backus & Stanley E. Zin, 1994. "Reverse Engineering the Yield Curve," Working Papers 94-09, New York University, Leonard N. Stern School of Business, Department of Economics.
  37. Campbell, John Y. & Sunderam, Adi & Viceira, Luis M., 2017. "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds," Critical Finance Review, now publishers, vol. 6(2), pages 263-301, September.
  38. Elton, Edwin J. & Gruber, Martin J. & Mei, Jianping, 1996. "Return generating process and the determinants of term premiums," Journal of Banking & Finance, Elsevier, vol. 20(7), pages 1251-1269, August.
  39. Jerry Tsai, 2013. "Rare Disasters and the Term Structure of Interest Rates," Economics Series Working Papers 665, University of Oxford, Department of Economics.
  40. Gebhardt Kirschgässner & Marcel Savioz, 2001. "Monetary Policy and Forecasts for Real GDP Growth: An Empirical Investigation for the Federal Republic of Germany," German Economic Review, Verein für Socialpolitik, vol. 2(4), pages 339-365, November.
  41. Mordecai Kurz & Maurizio Motolese, 2011. "Diverse beliefs and time variability of risk premia," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 47(2), pages 293-335, June.
  42. Huang, Roger D. & Lin, Charles S. Y., 1996. "An analysis of nonlinearities in term premiums and forward rates," Journal of Empirical Finance, Elsevier, vol. 3(4), pages 347-368, December.
  43. Andrea Carriero, 2007. "A Bayesian Framework for the Expectations Hypothesis. How to Extract Additional Information from the Term Structure of Interest Rates," Working Papers 591, Queen Mary University of London, School of Economics and Finance.
  44. Benjamin Miranda Tabak & Sandro Canesso de Andrade, 2003. "Testing the Expectations Hypothesis in the Brazilian Term Structure of Interest Rates," Brazilian Review of Finance, Brazilian Society of Finance, vol. 1(1), pages 19-43.
  45. Joseph G. Haubrich, 2021. "Does the Yield Curve Predict Output?," Annual Review of Financial Economics, Annual Reviews, vol. 13(1), pages 341-362, November.
  46. Hooker, Mark A., 1999. "The maturity structure of term premia with time-varying expected returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 39(3), pages 391-407.
  47. Christiane Baumeister, 2021. "Measuring Market Expectations," Working Papers 202163, University of Pretoria, Department of Economics.
  48. Canova, Fabio & Marrinan, Jane, 1996. "Reconciling the term structure of interest rates with the consumption-based ICAP model," Journal of Economic Dynamics and Control, Elsevier, vol. 20(4), pages 709-750, April.
  49. Backus, David & Foresi, Silverio & Zin, Stanley, 1998. "Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(1), pages 13-26, January.
  50. Jacob Boudoukh & Matthew Richardson & Richard Stanton & Robert F. Whitelaw, 1999. "A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility," NBER Working Papers 7213, National Bureau of Economic Research, Inc.
  51. Bekaert, Geert & Hodrick, Robert J. & Marshall, David A., 1997. "The implications of first-order risk aversion for asset market risk premiums," Journal of Monetary Economics, Elsevier, vol. 40(1), pages 3-39, September.
  52. Guo, Bin & Huang, Fuzhe & Li, Kai, 2022. "Time to build and bond risk premia," Journal of Economic Dynamics and Control, Elsevier, vol. 136(C).
  53. Jacob Boudoukh & Matthew Richardson & Richard Stanton & Robert Whitelaw, 1999. "A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-042, New York University, Leonard N. Stern School of Business-.
  54. Amit K. Sinha & Philip A. Horvath & Robert C. Scott, 2017. "The real miss-specification in the forward rate premium puzzle," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(3), pages 463-473, July.
  55. Domian, Dale L. & Reichenstein, William, 1998. "Term Spreads and Predictions of Bond and Stock Excess Returns," Financial Services Review, Elsevier, vol. 7(1), pages 25-44.
  56. Bernard Dumas, 1994. "A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables," NBER Chapters, in: The Internationalization of Equity Markets, pages 23-58, National Bureau of Economic Research, Inc.
  57. Eric Jondeau & Benoit Mojon & Jean-Guillaume Sahuc, 2020. "Bank Funding Cost and Liquidity Supply Regimes," BIS Working Papers 854, Bank for International Settlements.
  58. Jing-Zhi Huang & Zhan Shi, 2023. "Machine-Learning-Based Return Predictors and the Spanning Controversy in Macro-Finance," Management Science, INFORMS, vol. 69(3), pages 1780-1804, March.
  59. Kurz, Mordecai & Motolese, Maurizio, 2006. "Risk Premia, diverse belief and beauty contests," MPRA Paper 247, University Library of Munich, Germany.
  60. Daniel L. Thornton & Giorgio Valente, 2009. "Revisiting the predictability of bond risk premia," Working Papers 2009-009, Federal Reserve Bank of St. Louis.
  61. Zhou, Guofu, 1995. "Small sample rank tests with applications to asset pricing," Journal of Empirical Finance, Elsevier, vol. 2(1), pages 71-93, March.
  62. Audrino, Francesco & Barone-Adesi, Giovanni, 2006. "A dynamic model of expected bond returns: A functional gradient descent approach," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2267-2277, December.
  63. Canova, Fabio & Marrinan, Jane, 1995. "Predicting excess returns in financial markets," European Economic Review, Elsevier, vol. 39(1), pages 35-69, January.
  64. Menno Middeldorp, 2011. "FOMC communication policy and the accuracy of Fed Funds futures," Staff Reports 491, Federal Reserve Bank of New York.
  65. Drakos, Konstantinos, 2001. "Fixed income excess returns and time to maturity," International Review of Financial Analysis, Elsevier, vol. 10(4), pages 431-442.
  66. Peter Hördahl & Oreste Tristani, 2014. "Inflation Risk Premia in the Euro Area and the United States," International Journal of Central Banking, International Journal of Central Banking, vol. 10(3), pages 1-47, September.
  67. Joseph Dziwura & Irene Pedraza & Eli M. Remolona, 1995. "The short end of the forward convergence curve and asymmetric cat's tail convergence," Research Paper 9523, Federal Reserve Bank of New York.
  68. Mr. Rajan Goyal & Mr. K. Kanagasabapathy, 2002. "Yield Spread as a Leading Indicator of Real Economic Activity: An Empirical Exercise on the Indian Economy," IMF Working Papers 2002/091, International Monetary Fund.
  69. Juan M. Moraleda & Ton Vorst, 1996. "The Valuation of Interest Rate Derivatives: Empirical Evidence from the Spanish Market," Tinbergen Institute Discussion Papers 96-170/2, Tinbergen Institute.
  70. Carlos E. Zarazaga, 2010. "The difficult art of eliciting long-run inflation expectations from government bond prices," Staff Papers, Federal Reserve Bank of Dallas, issue Mar.
  71. Tzavalis, Elias, 2004. "The term premium and the puzzles of the expectations hypothesis of the term structure," Economic Modelling, Elsevier, vol. 21(1), pages 73-93, January.
  72. Halkos, George E. & Papadamou, Stephanos T., 2006. "An investigation of bond term premia in international government bond indices," Research in International Business and Finance, Elsevier, vol. 20(1), pages 45-61, March.
  73. Laurini, Márcio Poletti & Ohashi, Alberto, 2015. "A noisy principal component analysis for forward rate curves," European Journal of Operational Research, Elsevier, vol. 246(1), pages 140-153.
  74. Maryam Movahedifar & Hossein Hassani & Masoud Yarmohammadi & Mahdi Kalantari & Rangan Gupta, 2021. "A robust approach for outlier imputation: Singular Spectrum Decomposition," Working Papers 202164, University of Pretoria, Department of Economics.
  75. Jonas Krampe & Luca Margaritella, 2024. "Global bank network connectedness revisited: What is common, idiosyncratic and when?," Papers 2402.02482, arXiv.org.
  76. Rogers, L. C. G. & Stummer, Wolfgang, 2000. "Consistent fitting of one-factor models to interest rate data," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 45-63, August.
  77. Ranaldo, Angelo & Rupprecht, Matthias, 2016. "The Forward Premium in Short-Term Rates," Working Papers on Finance 1619, University of St. Gallen, School of Finance, revised Sep 2019.
  78. Ferson, Wayne E. & Constantinides, George M., 1991. "Habit persistence and durability in aggregate consumption: Empirical tests," Journal of Financial Economics, Elsevier, vol. 29(2), pages 199-240, October.
  79. Eckwert, Bernhard, 1993. "Equilibrium term structure relations of risky assets in incomplete markets," Discussion Papers, Series II 214, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
  80. Jules H. van Binsbergen & Wouter Hueskes & Ralph Koijen & Evert B. Vrugt, 2011. "Equity Yields," NBER Working Papers 17416, National Bureau of Economic Research, Inc.
    • Jules Vanbinsbergen & Wouter H. Hueskes & Ralph Koijen & Evert B Vrugt, 2012. "Equity Yields," Working Papers 2012-007, Becker Friedman Institute for Research In Economics.
  81. Schotman, Peter, 1996. "A Bayesian approach to the empirical valuation of bond options," Journal of Econometrics, Elsevier, vol. 75(1), pages 183-215, November.
  82. Longstaff, Francis A. & Santa-Clara, Pedro & Schwartz, Eduardo S., 2001. "Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market," Journal of Financial Economics, Elsevier, vol. 62(1), pages 39-66, October.
  83. Iania, Leonardo & Lyrio, Marco & Nersisyan, Liana, 2023. "Oil Price Shocks and Bond Risk Premia: Evidence from a Panel of 15 Countries," LIDAM Discussion Papers LFIN 2023002, Université catholique de Louvain, Louvain Finance (LFIN).
  84. repec:wyi:journl:002109 is not listed on IDEAS
  85. Backus, David & Foresi, Silverio & Mozumdar, Abon & Wu, Liuren, 2001. "Predictable changes in yields and forward rates," Journal of Financial Economics, Elsevier, vol. 59(3), pages 281-311, March.
  86. Melendres Howe, 2000. "Bayesian approach to yield curve modelling with application to the simulation of EMU environments: generating scenarios by modelling yield curve movements," The European Journal of Finance, Taylor & Francis Journals, vol. 6(2), pages 176-195.
  87. Benjamin Tabak, 2009. "Testing the expectations hypothesis in the Brazilian term structure of interest rates: a cointegration analysis," Applied Economics, Taylor & Francis Journals, vol. 41(21), pages 2681-2689.
  88. Eckwert, Bernhard, 1996. "Equilibrium term structure relations of risky assets in incomplete markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(3), pages 327-346.
  89. Brennan, Michael & Wang, Ashley W & Xia, Yihong, 2003. "Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing," University of California at Los Angeles, Anderson Graduate School of Management qt20r0j5t8, Anderson Graduate School of Management, UCLA.
  90. Robert Faff & Sirimon Treepongkaruna, 2013. "A re-examination of the empirical performance of the Longstaff and Schwartz two-factor term structure model using real yield data," Australian Journal of Management, Australian School of Business, vol. 38(2), pages 333-352, August.
  91. Zhu, Xiaoneng, 2015. "Out-of-sample bond risk premium predictions: A global common factor," Journal of International Money and Finance, Elsevier, vol. 51(C), pages 155-173.
  92. Hall, Anthony D & Anderson, Heather M & Granger, Clive W J, 1992. "A Cointegration Analysis of Treasury Bill Yields," The Review of Economics and Statistics, MIT Press, vol. 74(1), pages 116-126, February.
  93. John Knight & Fuchun Li & Mingwei Yuan, 2006. "A Semiparametric Two-Factor Term Structure Model," Journal of Financial Econometrics, Oxford University Press, vol. 4(2), pages 204-237.
  94. Shin, Kwanho, 1999. "Fluctuating uncertainty and flexibility value," The Quarterly Review of Economics and Finance, Elsevier, vol. 39(3), pages 329-340.
  95. Zhang, Han & Fan, Xiaoyun & Guo, Bin & Zhang, Wei, 2019. "Reexamining time-varying bond risk premia in the post-financial crisis era," Journal of Economic Dynamics and Control, Elsevier, vol. 109(C).
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.