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Forward rates as predictors of future spot rates

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Cited by:

  1. James R. Booth & Dennis T. Officer, 1985. "Expectations, Interest Rates, And Commercial Bank Stocks," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(1), pages 51-58, March.
  2. 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.
  3. Amir KIA, 2009. "Developing a Market-Based Monetary Policy Transparency Index and Testing Its Impact on Risk and Volatility in the United States," EcoMod2009 21500052, EcoMod.
  4. 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.
  5. Yao, Wenjing & Mei, Bin, 2015. "Assessing forestry-related assets with the intertemporal capital asset pricing model," Forest Policy and Economics, Elsevier, vol. 50(C), pages 192-199.
  6. Luisa Malaguti & Costanza Torricelli, 2001. "The rational expectation dynamics of a model for the term structure and monetary policy," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 24(2), pages 137-152, November.
  7. Pedro Barroso & Jurij-Andrei Reichenecker & Marco J. Menichetti, 2022. "Hedging with an Edge: Parametric Currency Overlay," Management Science, INFORMS, vol. 68(1), pages 669-689, January.
  8. Sadorsky, Perry, 2003. "The macroeconomic determinants of technology stock price volatility," Review of Financial Economics, Elsevier, vol. 12(2), pages 191-205.
  9. Martin M. Andreasen & Jens H. E. Christensen & Glenn D. Rudebusch, 2017. "Term Structure Analysis with Big Data," Working Paper Series 2017-21, Federal Reserve Bank of San Francisco.
  10. Diego Agudelo Rueda & Mónica Arango Arango, 2008. "La curva de rendimientos a plazo y las expectativas de tasas de interés en el mercado de renta fija en Colombia, 2002-2007," Revista Lecturas de Economía, Universidad de Antioquia, CIE, June.
  11. Alejandro Islas-Camargo & Willy Walter Cortez & Tania Pamela Sanabria Flores, 2018. "Is Mexico's Forward Exchange Rate Market Efficient?," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 13(2), pages 273-289, Abril-Jun.
  12. Michael Wickens, 2022. "Forward Interest Rates as Predictors of Future US Spot Rates Before and After the 2008 Financial Crisis," Open Economies Review, Springer, vol. 33(3), pages 391-406, July.
  13. Park, S.B., 1997. "Cointegration and Market Efficiency: An Application to the Canadian Treasury Bill Market," Carleton Economic Papers 97-06, Carleton University, Department of Economics.
  14. Johannes Fedderke & Neryvia Pillay, 2010. "A Rational Expectations Consistent Measure of Risk: Using Financial Market Data from a Middle Income Context," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(6), pages 769-793, December.
  15. Fisher, Gordon & Willson, Douglas & Xu, Kuan, 1998. "An empirical analysis of term premiums using significance tests for stochastic dominance," Economics Letters, Elsevier, vol. 60(2), pages 195-203, August.
  16. Mr. Piti Disyatat & Mr. Gaston Gelos, 2001. "The Asset Allocation of Emerging Market Mutual Funds," IMF Working Papers 2001/111, International Monetary Fund.
  17. Stephen A. Buser & G. Andrew Karolyi & Anthony B. Sanders, "undated". "Adjusted Forward Rates as Predictors of Future Spot Rates," Research in Financial Economics 9605, Ohio State University.
  18. Alfonso Novales & Emilio Domínguez, 2002. "Can forward rates be used to improve interest rate forecasts?"," Documentos de Trabajo del ICAE 0225, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  19. Malinská, Barbora, 2022. "Time-varying pricing of risk in sovereign bond futures returns," Finance Research Letters, Elsevier, vol. 47(PA).
  20. Christophe Belhomme, 1992. "Prime de risque et effet ARCH," Revue Économique, Programme National Persée, vol. 43(1), pages 55-70.
  21. Martin M. Andreasen & Tom Engsted & Stig V. Møller & Magnus Sander, 2016. "Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia," CREATES Research Papers 2016-26, Department of Economics and Business Economics, Aarhus University.
  22. Eugene F. Fama, 2014. "Two Pillars of Asset Pricing," American Economic Review, American Economic Association, vol. 104(6), pages 1467-1485, June.
  23. Amir Kia & Hilde Patron, 2004. "Market-Based Monetary Policy Transparency Index, Risk and Volatility - The Case of the United States," Carleton Economic Papers 04-07, Carleton University, Department of Economics.
  24. Mikosch, Thomas & de Vries, Casper G., 2013. "Heavy tails of OLS," Journal of Econometrics, Elsevier, vol. 172(2), pages 205-221.
  25. Dima, Bogdan & Barna, Flavia & Pirtea, Marilen, 2007. "Romanian Capital Market And The Informational Efficiency," MPRA Paper 5807, University Library of Munich, Germany.
  26. Zdeněk Dvorný, 2004. "Efficiency of the Secondary T-Bill Market," Prague Economic Papers, Prague University of Economics and Business, vol. 2004(1), pages 17-25.
  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 Englund & Åke Gunnelin & Martin Hoesli & Bo Söderberg, 2004. "Implicit Forward Rents as Predictors of Future Rents," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 32(2), pages 183-215, June.
  29. Engle, Robert F & Ng, Victor K, 1993. "Time-Varying Volatility and the Dynamic Behavior of the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(3), pages 336-349, August.
  30. Soo-Bin Park, 1999. "A Test of The Market Efficiency Hypothesis with An Application to Canadian Treasury Bill Yields," Carleton Economic Papers 99-03, Carleton University, Department of Economics.
  31. 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.
  32. Stephen J. Turnovsky, 1980. "Monetary and Fiscal Policy in a Long‐Run Macroeconomic Model," The Economic Record, The Economic Society of Australia, vol. 56(153), pages 158-170, June.
  33. Luca Taschini & Matteo Bonato, 2016. "Comovement and the Financialization of Commodities," Working Papers 64, Economic Research Southern Africa.
  34. Kearney, Colm & Daly, Kevin, 1997. "Monetary volatility and real output volatility: An empirical model of the financial transmission mechanism in Australia," International Review of Financial Analysis, Elsevier, vol. 6(2), pages 77-95.
  35. Tao Zou & Song Xi Chen, 2017. "Enhancing Estimation for Interest Rate Diffusion Models With Bond Prices," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(3), pages 486-498, July.
  36. Mishkin, Frederic S, 1982. "Monetary Policy and Short-Term Interest Rates: An Efficient Markets-Rational Expectations Approach," Journal of Finance, American Finance Association, vol. 37(1), pages 63-72, March.
  37. Rolando F. Pelaez, 1997. "Riding the yield curve: Term premiums and excess returns," Review of Financial Economics, John Wiley & Sons, vol. 6(1), pages 113-119.
  38. Perry Sadorsky, 2003. "The macroeconomic determinants of technology stock price volatility," Review of Financial Economics, John Wiley & Sons, vol. 12(2), pages 191-205.
  39. Mayanja, Abubaker & Mayengo, Israel, 2007. "Municipal Bonds for Financing Development of infrastructure: A way forward for KCC and Local Governments in Uganda," MPRA Paper 4585, University Library of Munich, Germany.
  40. Kia, Amir, 2003. "Rational speculators and equity volatility as a measure of ex ante risk," Global Finance Journal, Elsevier, vol. 14(2), pages 135-157, July.
  41. Buraschi, Andrea & Jiltsov, Alexei, 2005. "Inflation risk premia and the expectations hypothesis," Journal of Financial Economics, Elsevier, vol. 75(2), pages 429-490, February.
  42. Andreasen, Martin M. & Christensen, Jens H.E. & Rudebusch, Glenn D., 2019. "Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices," Journal of Econometrics, Elsevier, vol. 212(1), pages 26-46.
  43. David S. Jones & V. Vance Roley, 1982. "Rational Expectations, the Expectations Hypothesis, and Treasury Bill Yields: An Econometric Analysis," NBER Working Papers 0869, National Bureau of Economic Research, Inc.
  44. Tom Engsted & Stig V. Møller & Magnus Sander, 2013. "Bond return predictability in expansions and recessions," CREATES Research Papers 2013-13, Department of Economics and Business Economics, Aarhus University.
  45. Nikolaos Mylonidis, 2006. "Time-Varying Risk Premia in the Single European Treasury Bill Market," European Research Studies Journal, European Research Studies Journal, vol. 0(1-2), pages 65-84.
  46. Pelaez, Rolando F., 1997. "Riding the yield curve: Term premiums and excess returns," Review of Financial Economics, Elsevier, vol. 6(1), pages 113-119.
  47. Berger, Allen N & Davies, Sally M & Flannery, Mark J, 2000. "Comparing Market and Supervisory Assessments of Bank Performance: Who Knows What When?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 32(3), pages 641-667, August.
  48. 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.
  49. 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.
  50. Garry J. Twite, 1993. "Effect of Stochastic Interest Rates on the Pricing of SPI Futures Contracts," Australian Journal of Management, Australian School of Business, vol. 17(2), pages 259-269, December.
  51. A. Rashad Abdel†Khalik, 1990. "Specification problems with information content of earnings: revisions and rationality of expectations and self†selection bias," Contemporary Accounting Research, John Wiley & Sons, vol. 7(1), pages 142-172, September.
  52. Gianna Boero & Costanza Torricelli, 2002. "The information in the term structure of German interest rates," The European Journal of Finance, Taylor & Francis Journals, vol. 8(1), pages 21-45.
  53. Wahab, Mahmoud, 1997. "On risk, rationality and the predictive ability of European short-term adjusted yield spreads," Journal of International Money and Finance, Elsevier, vol. 16(5), pages 737-765, September.
  54. Gilbert Colletaz, 1987. "Les taux d'intérêt observés sur le marché monétaire sont-ils trop volatils ?," Revue Économique, Programme National Persée, vol. 38(4), pages 837-852.
  55. Guidolin, Massimo & Thornton, Daniel L., 2018. "Predictions of short-term rates and the expectations hypothesis," International Journal of Forecasting, Elsevier, vol. 34(4), pages 636-664.
  56. Jason Hall, 2007. "Comment onRegulation and the Term of the Risk Free Rate: Implications of Corporate Debt," Accounting Research Journal, Emerald Group Publishing Limited, vol. 20(2), pages 81-86, December.
  57. Chu, Quentin C. & Ding, David K. & Pyun, C. S., 1997. "The opening price behavior: Foreign exchange futures market versus equity market," International Review of Financial Analysis, Elsevier, vol. 6(1), pages 21-35.
  58. Robert Brooks, 2005. "A Surplus Optimization Approach to Managing Municipal Debt," Public Finance Review, , vol. 33(2), pages 236-254, March.
  59. Dai, Qiang & Singleton, Kenneth J., 2002. "Expectation puzzles, time-varying risk premia, and affine models of the term structure," Journal of Financial Economics, Elsevier, vol. 63(3), pages 415-441, March.
  60. 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.
  61. Petr Makovský, 2016. "The relationship between the real economy and financial sector regarding technological bubbles," Ekonomika a Management, Prague University of Economics and Business, vol. 2016(3).
  62. Marc Berninger & Paul Bossong & Dirk Schiereck & Marcel Steinhardt, 2023. "Too transparent for signalling? A global analysis of bond issues by property companies," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(3), pages 3125-3145, September.
  63. Bart Diris & Franz Palm & Peter Schotman, 2015. "Long-Term Strategic Asset Allocation: An Out-of-Sample Evaluation," Management Science, INFORMS, vol. 61(9), pages 2185-2202, September.
  64. 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.
  65. Colm Kearney & Kevin Daly, 1998. "The causes of stock market volatility in Australia," Applied Financial Economics, Taylor & Francis Journals, vol. 8(6), pages 597-605.
  66. Staikouras, Sotiris K., 2006. "Testing the stabilization hypothesis in the UK short-term interest rates: Evidence from a GARCH-X model," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(2), pages 169-189, May.
  67. Gabriel A. Giménez Roche, 2016. "Entrepreneurial ignition of the business cycle: The corporate finance of malinvestment," The Review of Austrian Economics, Springer;Society for the Development of Austrian Economics, vol. 29(3), pages 253-276, September.
  68. Amir Kia, 2005. "Developing a Market-Based Monetary Policy Transparency Index and Testing Its Impact on Risk and Volatility in the United States," Carleton Economic Papers 05-02, Carleton University, Department of Economics.
  69. Paya, Ivan & Matthews, Kent & Peel, David, 2005. "The term spread and real economic activity in the US inter-war period," Journal of Macroeconomics, Elsevier, vol. 27(2), pages 331-343, June.
  70. Kia, Amir, 2017. "Monetary policy transparency in a forward-looking market: Evidence from the United States," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 597-617.
  71. G. 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.
  72. Jensen, Gerald R. & Mercer, Jeffrey M. & Johnson, Robert R., 1996. "Business conditions, monetary policy, and expected security returns," Journal of Financial Economics, Elsevier, vol. 40(2), pages 213-237, February.
  73. Lin-Yee Hin & Nikolai Dokuchaev, 2016. "Short Rate Forecasting Based On The Inference From The Cir Model For Multiple Yield Curve Dynamics," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 1-33, March.
  74. 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.
  75. Thomas Mikosch & Casper G. de Vries, 2006. "Tail Probabilities for Regression Estimators," Tinbergen Institute Discussion Papers 06-085/2, Tinbergen Institute.
  76. Thomas Delcey & Francesco Sergi, 2019. "The Efficient Market Hypothesis and Rational Expectations. How Did They Meet and Live (Happily?) Ever After," Working Papers hal-02187362, HAL.
  77. Thomas Delcey & Francesco Sergi, 2019. "The Efficient Market Hypothesis and Rational Expectations. How Did They Meet and Live (Happily?) Ever After," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02187362, HAL.
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