Long Maturity Forward Rates

33 Pages Posted: 20 Sep 2001

Date Written: October 22, 2001


The paper aims to improve the knowledge of the empirical properties of the long maturity region of the forward rate curve. Firstly, the theoretical negative correlation between the slope at the long end of the forward rate curve and the term structure variance is recovered empirically and found to be statistically significant. Secondly, the expectations hypothesis is analyzed for the long maturity region of the forward rate curve using "forward rate" regressions. The expectations hypothesis is numerically close to being accepted but is statistically rejected. The findings provide mixed support for the affine term structure model.

Keywords: Expectations Hypothesis, Forward Rate Curve, Long Maturity, Volatility

JEL Classification: G10, G12, G14

Suggested Citation

Christiansen, Charlotte, Long Maturity Forward Rates (October 22, 2001). Available at SSRN: https://ssrn.com/abstract=283728 or http://dx.doi.org/10.2139/ssrn.283728

Charlotte Christiansen (Contact Author)

Aarhus University - CREATES ( email )

Fuglesangs Alle 4
Aarhus V, DK 8210

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