Testing a Model of the Term Structure of Interest Rates by Simulation of Market Forecasts
作者:
CharlesR. Nelson,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1970)
卷期:
Volume 65,
issue 331
页码: 1163-1179
ISSN:0162-1459
年代: 1970
DOI:10.1080/01621459.1970.10481152
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
This article is concerned with testing a model of the term structure of interest rates. The model relates the term premiums embodied in forward rates to the level of interest rates and an index of business confidence. Theoretical considerations suggest that the latter variables are inversely related to term premiums. Empirical implementation focuses on the use of optimal forecasts of spot rates implied by time series models as simulated values of market forecasts. Tests of the model using the Durand data for 1900–1958 indicate the presence of the inverse relationships suggested.
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