## The forecasting accuracy of models of the term structure of interest rates |

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### Contents

DESCRIPTION OF THE MODEL | 32 |

APPENDIX T0 CHAPTER II | 45 |

PREPARATION OF DATA | 48 |

8 other sections not shown

### Common terms and phrases

assumed assumption average term behavior bias Bk,t calculated Chapter Coefficients for m-Year coupon current rates Data Transformation different maturities distributed lag equation estimated forecasts expected future rate expected holding period Five-Year Rate forecast errors forward and expected forward rate given maturity Hence Before Data holding period yields interest rates investors Kessel liquidity premiums long lenders long maturities m-period m-Year Rate Hence Malkiel maturity classes maturity preference hypothesis maturity structure Maturity-Class Coefficients mean values Meiselman Months Earlier Months Hence outstanding debt polynomials predictions premiums and current pure expectations hypothesis random walk hypothesis regressions Rm,t Rm,t+n sample period securities of different serial correlation short lenders short maturities short rates spot rate Structure of Interest structure of outstanding t+nFm,t Table Ten-Year Rate term structure term to maturity test period theory thesis model tion Treasury Bulletin Treasury securities Twenty-Year Rate type of debt yield curves