| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w6379 |
| 来源ID | Working Paper 6379 |
| Predictable Changes in Yields and Forward Rates | |
| David Backus; Silverio Foresi; Abon Mozumdar; Liuren Wu | |
| 发表日期 | 1998 |
| 出版年 | 1998 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w6379 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/563883 |
| 推荐引用方式 GB/T 7714 | David Backus,Silverio Foresi,Abon Mozumdar,et al. Predictable Changes in Yields and Forward Rates. 1998. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w6379.pdf（1644KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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