Abstract

http://ssrn.com/abstract=900724
 
 

Citations



 


 



The Behavior of Interest Rates


Eugene F. Fama


University of Chicago - Finance

2006

The Review of Financial Studies, Vol. 19, Issue 2, pp. 359-379, 2006

Abstract:     
The evidence in Fama and Bliss (1987) that forward interest rates forecast future spot interest rates for horizons beyond a year repeats in the out-of-sample 1986-2004 period. But the inference that this forecast power is due to mean reversion of the spot rate toward a constant expected value no longer seems valid. Instead, the predictability of the spot rate captured by forward rates seems to be due to mean reversion toward a time-varying expected value that is subject to a sequence of apparently permanent shocks that are on balance positive to mid-1981 and on balance negative thereafter.

Accepted Paper Series


Not Available For Download

Date posted: February 29, 2008  

Suggested Citation

Fama, Eugene F., The Behavior of Interest Rates ( 2006). The Review of Financial Studies, Vol. 19, Issue 2, pp. 359-379, 2006. Available at SSRN: http://ssrn.com/abstract=900724 or http://dx.doi.org/10.1093/rfs/hhj019

Contact Information

Eugene F. Fama (Contact Author)
University of Chicago - Finance ( email )
5807 S. Woodlawn Avenue
Chicago, IL 60637
United States
773-702-7282 (Phone)
773-702-9937 (Fax)
Feedback to SSRN


Paper statistics
Abstract Views: 2,736

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo6 in 0.750 seconds