A Variance Decomposition Analysis of the Information in the Term Structure

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...

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Main Authors: EDERINGTON, Louis H., GOH, Jeremy C.
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語言:English
出版: Institutional Knowledge at Singapore Management University 1997
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https://ink.library.smu.edu.sg/context/lkcsb_research/article/2271/viewcontent/j.1475_6803.1997.tb00237.x.pdf
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spelling sg-smu-ink.lkcsb_research-22712021-04-15T06:12:31Z A Variance Decomposition Analysis of the Information in the Term Structure EDERINGTON, Louis H. GOH, Jeremy C. 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 on long versus short securities. We find that fluctuations in the slope of the yield curve are due more to changing term premia than to fluctuations in expected future spot rates and that the market correctly predicts about 40 percent of the month-to-month changes in spot rates, a considerably higher percentage than that found by previous studies. 1997-03-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/lkcsb_research/1272 info:doi/10.1111/j.1475-6803.1997.tb00237.x https://ink.library.smu.edu.sg/context/lkcsb_research/article/2271/viewcontent/j.1475_6803.1997.tb00237.x.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Business Finance and Financial Management
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Business
Finance and Financial Management
spellingShingle Business
Finance and Financial Management
EDERINGTON, Louis H.
GOH, Jeremy C.
A Variance Decomposition Analysis of the Information in the Term Structure
description 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 on long versus short securities. We find that fluctuations in the slope of the yield curve are due more to changing term premia than to fluctuations in expected future spot rates and that the market correctly predicts about 40 percent of the month-to-month changes in spot rates, a considerably higher percentage than that found by previous studies.
format text
author EDERINGTON, Louis H.
GOH, Jeremy C.
author_facet EDERINGTON, Louis H.
GOH, Jeremy C.
author_sort EDERINGTON, Louis H.
title A Variance Decomposition Analysis of the Information in the Term Structure
title_short A Variance Decomposition Analysis of the Information in the Term Structure
title_full A Variance Decomposition Analysis of the Information in the Term Structure
title_fullStr A Variance Decomposition Analysis of the Information in the Term Structure
title_full_unstemmed A Variance Decomposition Analysis of the Information in the Term Structure
title_sort variance decomposition analysis of the information in the term structure
publisher Institutional Knowledge at Singapore Management University
publishDate 1997
url 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
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