A Multi-Country Comparison of Term Structure Forecasts at Long Horizons

Philippe Jorion and Frederic Mishkin

No 3574, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper extends previous work on the information in the term structure at longer maturities to other countries besides the United states, using a newly constructed data set for 1 to 5 year interest rates from Britain, West Germany and Switzerland. Even with wide differences in inflation processes across these countries, there is we find strong evidence that the term structure does have significant forecasting ability for future changes in inflation, particularly so at long maturities. On the other hand, the ability of the term structure to forecast future changes in 1-year interest rates is somewhat weaker; only at the very longest horizon (5 years) is there significant forecasting ability for interest rate changes.

Date: 1991-01
Note: ME
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Published as "A Multicountry Comparison of Term-Structure Forecasts at Long Horizons." From Journal of Financial Economics, Vol. 29, pp. 59-80, (March 1991).

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Journal Article: A multicountry comparison of term-structure forecasts at long horizons (1991)
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