登入選單

返回Google圖書搜尋

Predictable Changes in Yields and Forward Rates

David Backus

出版	National Bureau of Economic Research, 1998
URL	http://books.google.com.hk/books?id=IMwdAQAAMAAJ&hl=&source=gbs_api

註釋

We consider patterns in the predictability of interest rates, characterized relative to the 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, not less than one. (iii) Multifactor affine models can nevertheless approximate both departures from the EH and other properties of interest rates