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THE INFORMATIONAL CONTENT OF FORWARD RATES: FURTHER EVIDENCE

 

作者: Daniel T. Walz,   Roger W. Spencer,  

 

期刊: Journal of Financial Research  (WILEY Available online 1989)
卷期: Volume 12, issue 1  

页码: 69-81

 

ISSN:0270-2592

 

年代: 1989

 

DOI:10.1111/j.1475-6803.1989.tb00102.x

 

数据来源: WILEY

 

摘要:

AbstractUsing single‐equation estimation techniques, researchers have generally found that forward rates have little ability to predict future spot rates. In this paper, Generalized Least Squares is used to estimate simultaneously the forecastive ability of multiple forward rates. It is discovered that current forward rates significantly predict future spot rates for various rate maturities up to twelve months ahead. Also found are instances in which the Treasury bill market does not conform to the weak form of market efficienc

 

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