search query: @author Walz, D. T. / total: 3
reference: 1 / 3
« previous | next »
| Author: | Walz, D. T. Spencer, R. W. |
| Title: | The Information Content of Forward Rates Further Evidence |
| Journal: | Journal of Financial Research
1989 : SPRING, VOL. 12:1, p.69-81 |
| Index terms: | MARKETS MONEY MARKETS |
| Language: | eng |
| Abstract: | Using single-equation estimation techniques, researches have usually found that forward rates have little ability to predict future spot rates. The present paper uses the Generalized Least Squares to estimate simultaneously the regression with respect to multiple forward rates. It turns out that current forward rates significantly predict future spot rates for various rate maturities. A related result disprove earlier findings on the market efficiency on Treasury bill markets. |
« previous | next »
SCIMA