The Forecasting Accuracy of Models of the Term Structure of Interest Rates |
Contents
Spot and Forward Rates | 2 |
Maturity Preference Hypothesis | 5 |
Research on the Relation of the Term | 9 |
15 other sections not shown
Common terms and phrases
â₂ Almon assumed assumption average term calculated Chapter Coefficients for m-Year CORNELL CORNELL CORNELL LIBRARY CORNELL UNIVERSITY coupon current rates Data Transformation David Durand different maturities distributed lag equation estimated forecasts forecast errors forward and expected forward rate Franco Modigliani given maturity Hence After Data Hence Before Data holding period yields interest rates investors issues Kessel LIBRARY CORNELL liquidity premiums long lenders m-Year Rate Malkiel maturity classes maturity preference hypothesis maturity structure Maturity-Class Coefficients mean values Modigliani and Sutch Months Earlier Months Hence outstanding debt parameters points polynomial predictions pure expectations hypothesis random walk hypothesis regressions sample period serial correlation short rates spot rate Structure of Interest structure of outstanding t+n m t+n¯m Ten-Year Rate term to maturity test period theory thesis model tion Treasury Bulletin Twenty-Year Rate type of debt UNIVE UNIVERSITY CORNELL yield curve ск