The Information in the Term Structure: Some Further Results

Frederic Mishkin

No 2575, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This 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.

Date: 1988-05
Note: ME EFG
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Citations: View citations in EconPapers (77)

Published as Journal of Applied Econometrics, Vol. 3, (1988).

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Related works:
Journal Article: The Information in the Term Structure: Some Further Results (1988)
Working Paper: THE INFORMATION IN THE TERM STRUCTURE: SOME FURTHER RESULTS (1988)
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