A Multi-Country Comparison of Term Structure Forecasts at Long Horizons

42 Pages Posted: 1 Feb 2001

See all articles by Frederic S. Mishkin

Frederic S. Mishkin

Columbia Business School - Finance and Economics; National Bureau of Economic Research (NBER)

Philippe Jorion

University of California, Irvine - Paul Merage School of Business

Date Written: January 1991

Abstract

This paper extends previous work on the information in the term structure at longer maturities to other countries besides the United states, using a newly constructed data set for 1 to 5 year interest rates from Britain, West Germany and Switzerland. Even with wide differences in inflation processes across these countries, there is we find strong evidence that the term structure does have significant forecasting ability for future changes in inflation, particularly so at long maturities. On the other hand, the ability of the term structure to forecast future changes in 1-year interest rates is somewhat weaker; only at the very longest horizon (5 years) is there significant forecasting ability for interest rate changes.

Suggested Citation

Mishkin, Frederic S. and Jorion, Philippe, A Multi-Country Comparison of Term Structure Forecasts at Long Horizons (January 1991). NBER Working Paper No. w3574, Available at SSRN: https://ssrn.com/abstract=226851

Frederic S. Mishkin

Columbia Business School - Finance and Economics ( email )

3022 Broadway
New York, NY 10027
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Philippe Jorion (Contact Author)

University of California, Irvine - Paul Merage School of Business ( email )

Campus Drive
Irvine, CA 92697-3125
United States
949-824-5245 (Phone)
949-824-8469 (Fax)

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
66
Abstract Views
2,546
rank
367,221
PlumX Metrics