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- catalog abstract "We consider the patterns in the predictability of interest rates expectations hypothesis (EH), and attempt to account for them with affine models. We make the following points: (i) Discrepancies in the data from the EH take a particularly simple form with forward rates: as theory suggests, the largest discrepancies are at short maturities. (ii) Reasonable estimates of one-factor Cox-Ingersoll-Ross models imply regressions on the opposite side of the EH than we see in the data: regression slopes are greater than one (iii) Multifactore affine models can nevertheless approximate both departures from the EH and other properties of interest rates.".
- catalog contributor b10683092.
- catalog contributor b10683093.
- catalog created "c1998.".
- catalog date "1998".
- catalog date "c1998.".
- catalog dateCopyrighted "c1998.".
- catalog description "Includes bibliographical references (p. 22-24).".
- catalog description "We consider the patterns in the predictability of interest rates expectations hypothesis (EH), and attempt to account for them with affine models. We make the following points: (i) Discrepancies in the data from the EH take a particularly simple form with forward rates: as theory suggests, the largest discrepancies are at short maturities. (ii) Reasonable estimates of one-factor Cox-Ingersoll-Ross models imply regressions on the opposite side of the EH than we see in the data: regression slopes are greater than one (iii) Multifactore affine models can nevertheless approximate both departures from the EH and other properties of interest rates.".
- catalog extent "43 p. :".
- catalog isPartOf "NBER working paper series ; working paper 6379".
- catalog isPartOf "Working paper series (National Bureau of Economic Research) ; working paper no.6379.".
- catalog issued "1998".
- catalog issued "c1998.".
- catalog language "eng".
- catalog publisher "Cambridge, MA : National Bureau of Economic Research,".
- catalog title "Predictable changes in yields and forward rates / David Backus ... [et al.].".
- catalog type "Computer network resources. local".
- catalog type "text".