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: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
1997
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| Subjects: | |
| 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 |
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| Institution: | Singapore Management University |
| Language: | English |