The Information in the Term Structure: Some Further Results

22 Pages Posted: 30 Jul 2000 Last revised: 17 Jul 2010

See all articles by Frederic S. Mishkin

Frederic S. Mishkin

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

Date Written: May 1988

Abstract

This paper provides some refinements and updating of Fama's (1984) evidence on the information in the term structure about future spot interest rate movements. First, it uses econometric techniques that properly correct standard errors for overlapping data and for conditional heteroscedasticity. Second. it makes use of a new data set that has some potential advantages over Fama's and which has more recent data. Overall, the results are in broad agreement with those of Fama. The term structure does help predict spot interest rate movements several months into the future. Indeed. updating Fama's results indicates that the forecast power of forward rates is generally higher during the October 1982 to June 1986 period than it was during the sample periods Fama examined.

Suggested Citation

Mishkin, Frederic S., The Information in the Term Structure: Some Further Results (May 1988). NBER Working Paper No. w2575, Available at SSRN: https://ssrn.com/abstract=232077

Frederic S. Mishkin (Contact Author)

Columbia Business School - Finance and Economics ( email )

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