The Information Content Of Forward Rates: Futher Evidence

The Information Content Of Forward Rates: Futher Evidence

Using single-equation estimation methods, researchers have generally found that forward rates have little ability to predict future spot rates. In contrast to that approach, the relationship between forward and spot rates is investigated as a system of simultaneous equations estimable by generalized...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:The Journal of financial research 1989-04, Vol.12 (1), p.69
Hauptverfasser: Walz, Daniel T, Spencer, Roger W
Format: Artikel
Sprache:eng
Schlagworte:
Estimating techniques
Interest rates
Mathematical models
Predictions
Spot
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
container_end_page
container_issue 1
container_start_page 69
container_title The Journal of financial research
container_volume 12
creator Walz, Daniel T
Spencer, Roger W
description Using single-equation estimation methods, researchers have generally found that forward rates have little ability to predict future spot rates. In contrast to that approach, the relationship between forward and spot rates is investigated as a system of simultaneous equations estimable by generalized least squares. The data consist of one- through 12-month Treasury bill rates for the period January 1970-June 1987. The findings show that current forward rates significantly predict future spot rates for various rate maturities up to 12 months ahead. The results also show instances when the T-bill market does not conform to the weak form of market efficiency. Specifically, significant autocorrelation is focused among the changes in the same forward rates over time, a result that is indicative of limited inefficiencies in the T-bill market.
format Article
fullrecord <record><control><sourceid>proquest</sourceid><recordid>TN_cdi_proquest_journals_215743085</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>581592</sourcerecordid><originalsourceid>FETCH-proquest_journals_2157430853</originalsourceid><addsrcrecordid>eNqNjcsKgkAUQIcoyB7_cGkvXEen0bai1CoI9zLoFZWaqZmxfj8XfUCrszgHzoIFUSJFeEwxXrIAucSQi4yv2ca5EREjIUXAsqonuOjO2Ifyg9GQG-1Je7h2UBr7UbaFm_LkTlBOvicLxXtoSTe0Y6tO3R3tf9yyQ1lU-Tl8WvOayPl6NJPVs6r5_EpiTEX8V_QFrjw2lw</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>215743085</pqid></control><display><type>article</type><title>The Information Content Of Forward Rates: Futher Evidence</title><source>EBSCOhost Business Source Complete</source><creator>Walz, Daniel T ; Spencer, Roger W</creator><creatorcontrib>Walz, Daniel T ; Spencer, Roger W</creatorcontrib><description>Using single-equation estimation methods, researchers have generally found that forward rates have little ability to predict future spot rates. In contrast to that approach, the relationship between forward and spot rates is investigated as a system of simultaneous equations estimable by generalized least squares. The data consist of one- through 12-month Treasury bill rates for the period January 1970-June 1987. The findings show that current forward rates significantly predict future spot rates for various rate maturities up to 12 months ahead. The results also show instances when the T-bill market does not conform to the weak form of market efficiency. Specifically, significant autocorrelation is focused among the changes in the same forward rates over time, a result that is indicative of limited inefficiencies in the T-bill market.</description><identifier>ISSN: 0270-2592</identifier><identifier>EISSN: 1475-6803</identifier><language>eng</language><publisher>Columbia: Wiley Subscription Services, Inc</publisher><subject>Estimating techniques ; Interest rates ; Mathematical models ; Predictions ; Spot</subject><ispartof>The Journal of financial research, 1989-04, Vol.12 (1), p.69</ispartof><rights>Copyright Journal of Financial Research Spring 1989</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>314,776,780</link.rule.ids></links><search><creatorcontrib>Walz, Daniel T</creatorcontrib><creatorcontrib>Spencer, Roger W</creatorcontrib><title>The Information Content Of Forward Rates: Futher Evidence</title><title>The Journal of financial research</title><description>Using single-equation estimation methods, researchers have generally found that forward rates have little ability to predict future spot rates. In contrast to that approach, the relationship between forward and spot rates is investigated as a system of simultaneous equations estimable by generalized least squares. The data consist of one- through 12-month Treasury bill rates for the period January 1970-June 1987. The findings show that current forward rates significantly predict future spot rates for various rate maturities up to 12 months ahead. The results also show instances when the T-bill market does not conform to the weak form of market efficiency. Specifically, significant autocorrelation is focused among the changes in the same forward rates over time, a result that is indicative of limited inefficiencies in the T-bill market.</description><subject>Estimating techniques</subject><subject>Interest rates</subject><subject>Mathematical models</subject><subject>Predictions</subject><subject>Spot</subject><issn>0270-2592</issn><issn>1475-6803</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>1989</creationdate><recordtype>article</recordtype><sourceid/><recordid>eNqNjcsKgkAUQIcoyB7_cGkvXEen0bai1CoI9zLoFZWaqZmxfj8XfUCrszgHzoIFUSJFeEwxXrIAucSQi4yv2ca5EREjIUXAsqonuOjO2Ifyg9GQG-1Je7h2UBr7UbaFm_LkTlBOvicLxXtoSTe0Y6tO3R3tf9yyQ1lU-Tl8WvOayPl6NJPVs6r5_EpiTEX8V_QFrjw2lw</recordid><startdate>19890401</startdate><enddate>19890401</enddate><creator>Walz, Daniel T</creator><creator>Spencer, Roger W</creator><general>Wiley Subscription Services, Inc</general><scope/></search><sort><creationdate>19890401</creationdate><title>The Information Content Of Forward Rates: Futher Evidence</title><author>Walz, Daniel T ; Spencer, Roger W</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-proquest_journals_2157430853</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>1989</creationdate><topic>Estimating techniques</topic><topic>Interest rates</topic><topic>Mathematical models</topic><topic>Predictions</topic><topic>Spot</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Walz, Daniel T</creatorcontrib><creatorcontrib>Spencer, Roger W</creatorcontrib><jtitle>The Journal of financial research</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Walz, Daniel T</au><au>Spencer, Roger W</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>The Information Content Of Forward Rates: Futher Evidence</atitle><jtitle>The Journal of financial research</jtitle><date>1989-04-01</date><risdate>1989</risdate><volume>12</volume><issue>1</issue><spage>69</spage><pages>69-</pages><issn>0270-2592</issn><eissn>1475-6803</eissn><abstract>Using single-equation estimation methods, researchers have generally found that forward rates have little ability to predict future spot rates. In contrast to that approach, the relationship between forward and spot rates is investigated as a system of simultaneous equations estimable by generalized least squares. The data consist of one- through 12-month Treasury bill rates for the period January 1970-June 1987. The findings show that current forward rates significantly predict future spot rates for various rate maturities up to 12 months ahead. The results also show instances when the T-bill market does not conform to the weak form of market efficiency. Specifically, significant autocorrelation is focused among the changes in the same forward rates over time, a result that is indicative of limited inefficiencies in the T-bill market.</abstract><cop>Columbia</cop><pub>Wiley Subscription Services, Inc</pub></addata></record>
fulltext fulltext
identifier ISSN: 0270-2592
ispartof The Journal of financial research, 1989-04, Vol.12 (1), p.69
issn 0270-2592
1475-6803
language eng
recordid cdi_proquest_journals_215743085
source EBSCOhost Business Source Complete
subjects Estimating techniques
Interest rates
Mathematical models
Predictions
Spot
title The Information Content Of Forward Rates: Futher Evidence
url https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-02-04T01%3A27%3A17IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=The%20Information%20Content%20Of%20Forward%20Rates:%20Futher%20Evidence&rft.jtitle=The%20Journal%20of%20financial%20research&rft.au=Walz,%20Daniel%20T&rft.date=1989-04-01&rft.volume=12&rft.issue=1&rft.spage=69&rft.pages=69-&rft.issn=0270-2592&rft.eissn=1475-6803&rft_id=info:doi/&rft_dat=%3Cproquest%3E581592%3C/proquest%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=215743085&rft_id=info:pmid/&rfr_iscdi=true