A Variance Decomposition Analysis of the Information in the Term Structure

• Main Authors: EDERINGTON, Louis H., GOH, Jeremy C.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 1997
• Subjects: Business; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/1272; https://ink.library.smu.edu.sg/context/lkcsb_research/article/2271/viewcontent/j.1475_6803.1997.tb00237.x.pdf
• Institution: Singapore Management University

Based on a market efficiency assumption, we use variance decomposition analysis is to separate information in the term structure on expected future spot rates from information on time-varying term premia and to examine the market's ability to forecast both future rate changes and excess returns...