G2TT
来源类型Discussion paper
规范类型论文
来源IDDP14800
DP14800 Forward interest rates as predictors of future US and UK spot rates before and after the 2008 financial crisis
Michael R. Wickens
发表日期2020-05-23
出版年2020
语种英语
摘要A feature of the financial crisis rarely mentioned in the academic literature is that forward interest rates remained persistently higher than future spot rates. Yet according to the expectations hypothesis forward interest rates are unbiased predictors of future spot rates. More general theories attribute the forecast errors to term premia. This paper examines whether these theories can explain data for the US and UK that spans the financial crisis and whether alternative approaches provide better forecasts. The main findings are that these theories break down after the financial crisis and, not unexpectedly, that the forecast errors are due mainly to monetary policy.
主题Financial Economics ; Monetary Economics and Fluctuations
URLhttps://cepr.org/publications/dp14800
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/543732
推荐引用方式
GB/T 7714
Michael R. Wickens. DP14800 Forward interest rates as predictors of future US and UK spot rates before and after the 2008 financial crisis. 2020.
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