Predictable Changes in Yields and Forward Rates

David Backus, Silverio Foresi, Abon Mozumdar and Liuren Wu

No 6379, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We consider the patterns in the predictability of interest rates expectations hypothesis (EH), and attempt to account for them with affine models. We make the following points: (i) Discrepancies in the data from the EH take a particularly simple form with forward rates: as theory suggests, the largest discrepancies are at short maturities. (ii) Reasonable estimates of one-factor Cox-Ingersoll-Ross models imply regressions on the opposite side of the EH than we see in the data: regression slopes are greater than one (iii) Multifactore affine models can nevertheless approximate both departures from the EH and other properties of interest rates.

JEL-codes: E43 G12 (search for similar items in EconPapers)
Date: 1998-01
Note: AP
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

Published as Journal of Financial Economics, Volume: 59 Issue: 3 (March 2001) Pages: 281-311

Downloads: (external link)
http://www.nber.org/papers/w6379.pdf (application/pdf)

Related works:
Journal Article: Predictable changes in yields and forward rates (2001)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:6379

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w6379

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().