Arbeitspapier
Forecasting interest rates
This chapter discusses what the asset-pricing literature concludes about the forecastability of interest rates. It outlines forecasting methodologies implied by this literature, including dynamic, no-arbitrage term structure models and their macro-finance extensions. It also reviews the empirical evidence concerning the predictability of future yields on Treasury bonds and future excess returns to holding these bonds. In particular, it critically evaluates theory and evidence that variables other than current bond yields are useful in forecasting. - -Term structure ; affine models ; predicting bond returns ; predicting bond yields
- Language
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Englisch
- Bibliographic citation
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Series: Working Paper ; No. 599
- Classification
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Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
- Event
-
Geistige Schöpfung
- (who)
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Duffee, Gregory R.
- Event
-
Veröffentlichung
- (who)
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The Johns Hopkins University, Department of Economics
- (where)
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Baltimore, MD
- (when)
-
2012
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Duffee, Gregory R.
- The Johns Hopkins University, Department of Economics
Time of origin
- 2012
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