The prices of futures contracts on short-term interest rates are commonly used by central banks to gauge market expectations concerning monetary policy decisions. Excess returns - the difference between futures rates and the realized rates - are positive, on average, and statistically significant, ...
This paper examines the forecasting qualities of Bayesian Model Averaging (BMA) over a set of single factor models of short-term interest rates. Using weekly and high frequency data for the one-month Eurodollar rate, BMA produces predictive likelihoods that are considerably better than the ...
(2006). Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach. Federal Reserve Bank of St. Louis, ... M Guidolin,A Timmermann - 《Capital Markets Market Efficiency》 被引量: 0发表: 2006年 Forecasts of US Short-term Interest Rates: A Flexible Forecast ...
Long-Term and Short-Term Interest Rates What is “short term” and what is “long term?” Short Term: U.S. T-Bills (8/20/12) 3-month 0.09 6-month 0.13 1-year 0.18 Long-Term and Short-Term Interest Rates Longer-Term Investments: U.S. Treasury Bonds... Time Period 08/20/2012 I...
arbitrage-free models that are then fit to the current term structure of interest rates. Each member of this class of models corresponds to a representation of an underlying stochastic process which can be estimated through a parsimonious set of state variables. As a demonstration, CFRS empirically...
Chen L H. Inflation , real short2term interest rates , and the term structure of interest rates : a regime2switching approach [ J ] . Applied Economics ,2001 ,33 :393～400.Chen, L. (2001) Inflation, real short-term interest rates, and the term struc- ture of interest rates: a ...
interest rates., The hypothesis is that persistent shifts in the term premium under the expectations hypothesis might come from forecast errors by econometricians if regime shifts are omitted, shifts which are however observed by the agents., This study examines whether persistent shifts in the term...
In this paper we argue that banks anticipate short-term market rates when setting interest rates on loans and deposits. In order to include anticipated rates in an empirical model, we use two methods to forecast market rates - a level, slope, curvature model and a principal components model ...
The Fed has promised to hold interest rates near zero until unemployment hits 6.5 percent, provided the outlook for inflation stays under 2.5 percent. Inflation was expected to remain muted, with year-on-year headline consumer price inflation averaging 1.4 percent in the fourth quarter of 2013 and...
In theory, long-term rates can be used to indicate where rates of short-term bonds will trade in the future Investopedia / Jessica Olah Understanding Expectations Theory The expectations theory aims to helpinvestorsmake decisions based on a forecast of future interest rates. The theory uses long-...