Predictable changes in yields and forward rates:
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 large...
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
1998
|
| Schriftenreihe: | NBER working paper series
6379 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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. |
| Beschreibung: | 43 S. graph. Darst. 22 cm |
Internformat
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| 520 | |a 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. | ||
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| geographic | USA |
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| id | DE-604.BV011900062 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:18:14Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-008041431 |
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| physical | 43 S. graph. Darst. 22 cm |
| publishDate | 1998 |
| publishDateSearch | 1998 |
| publishDateSort | 1998 |
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| series2 | NBER working paper series |
| spelling | Predictable changes in yields and forward rates David Backus, Silverio Foresi, Abon Mozumdar, Liuren Wu Cambridge, Mass. 1998 43 S. graph. Darst. 22 cm txt rdacontent n rdamedia nc rdacarrier NBER working paper series 6379 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. Ökonometrisches Modell Bonds Prices United States Econometric models Bonds Prices United States Forecasting Interest rates United States Econometric models Interest rates United States Forecasting USA Backus, David Sonstige (DE-588)129359947 oth Foresi, Silverio Sonstige (DE-588)137816294 oth Mozumdar, Abon Sonstige (DE-588)137816901 oth Wu, Liuren Sonstige (DE-588)137816928 oth Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.> NBER working paper series 6379 (DE-604)BV002801238 6379 http://papers.nber.org/papers/w6379.pdf kostenfrei Volltext |
| spellingShingle | Predictable changes in yields and forward rates Ökonometrisches Modell Bonds Prices United States Econometric models Bonds Prices United States Forecasting Interest rates United States Econometric models Interest rates United States Forecasting |
| title | Predictable changes in yields and forward rates |
| title_auth | Predictable changes in yields and forward rates |
| title_exact_search | Predictable changes in yields and forward rates |
| title_full | Predictable changes in yields and forward rates David Backus, Silverio Foresi, Abon Mozumdar, Liuren Wu |
| title_fullStr | Predictable changes in yields and forward rates David Backus, Silverio Foresi, Abon Mozumdar, Liuren Wu |
| title_full_unstemmed | Predictable changes in yields and forward rates David Backus, Silverio Foresi, Abon Mozumdar, Liuren Wu |
| title_short | Predictable changes in yields and forward rates |
| title_sort | predictable changes in yields and forward rates |
| topic | Ökonometrisches Modell Bonds Prices United States Econometric models Bonds Prices United States Forecasting Interest rates United States Econometric models Interest rates United States Forecasting |
| topic_facet | Ökonometrisches Modell Bonds Prices United States Econometric models Bonds Prices United States Forecasting Interest rates United States Econometric models Interest rates United States Forecasting USA |
| url | http://papers.nber.org/papers/w6379.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT backusdavid predictablechangesinyieldsandforwardrates AT foresisilverio predictablechangesinyieldsandforwardrates AT mozumdarabon predictablechangesinyieldsandforwardrates AT wuliuren predictablechangesinyieldsandforwardrates |