A Multi-Country Comparison of Term Structure Forecasts at Long Horizons / Philippe Jorion, Frederic Mishkin.

Format:

Book

Author/Creator:

Jorion, Philippe, 1955-

Contributor:

National Bureau of Economic Research.

Mishkin, Frederic S.

Series:

Working Paper Series (National Bureau of Economic Research) no. w3574.

NBER working paper series no. w3574

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1991.

Summary:

This paper extends previous work on the information in the term structure at longer maturities to other countries besides the United states, using a newly constructed data set for 1 to 5 year interest rates from Britain, West Germany and Switzerland. Even with wide differences in inflation processes across these countries, there is we find strong evidence that the term structure does have significant forecasting ability for future changes in inflation, particularly so at long maturities. On the other hand, the ability of the term structure to forecast future changes in 1-year interest rates is somewhat weaker; only at the very longest horizon (5 years) is there significant forecasting ability for interest rate changes.

Notes:

Print version record

January 1991.