search query: @author Roberds, W. / total: 5
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| Author: | Roberds, W. Runkle, D. Whiteman, C. |
| Title: | A daily view of yield spreads and short-term interest rate movements |
| Journal: | Journal of Money, Credit and Banking
1996 : FEB, VOL. 28:1, p. 34-53 |
| Index terms: | INTEREST RATES MONEY BANKS |
| Language: | eng |
| Abstract: | It is widely appreciated that forecasting interest rates is difficult, and the poor quality of forecasts based on the short end of the term structure is at the core of the conventional business in finance. Specifically, though the expectations hypothesis suggests otherwise, at horizons of less than two years the current spread between interest rates of different maturities is not a good predictor of future movements in the shorter of the two rates. Campbell and Shiller 91991) show that this regularity even characterizes comparisons of interest rates with maturities as short as one and two months. |
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