search query: @author Bliss, R.R. / total: 2
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Author: | Fama, E. F. Bliss, R.R. |
Title: | The information in long -maturity forward rates |
Journal: | American Economic Review
1987 : SEP, VOL. 77:4, p. 680-692 |
Index terms: | CORPORATE FINANCE STOCK MARKETS INTEREST RATES |
Language: | eng |
Abstract: | Current one-year forward rates are examined in the USA. Treasury bonds are information about the current term structure of one-year expected returns on the bonds, and forward rates track variation through time on one-year expected returns. More interesting, one- year forward rates forcast changes in the one-year interest rate two- to four- years ahead, and forecast power increases with the forecast horizon. This forecast power is attributed to a mean-reverting tendency in the one- year interest rate |
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