THE INFORMATION IN SWEDISH SHORT-MATURITY FORWARD RATES

被引：9

作者：

DAHLQUIST, M

JONSSON, G

机构：

[1] Institute for International Economic Studies, Stockholm University

来源：

EUROPEAN ECONOMIC REVIEW | 1995年 / 39卷 / 06期

关键词：

EXPECTATIONS THEORY; FORWARD RATES; INTEREST RATES; TERM PREMIUM; TERM STRUCTURE;

D O I：

10.1016/0014-2921(94)00023-S

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper we empirically study the relationship between implicit forward rates and corresponding interest rates in the short-end of the Swedish term structure. The interest rates and forward rates seem to be integrated of order one and cointegrated. We find that the forward rates, for all maturities, contain information about future interest rates. Further, in contrast to previous empirical studies we cannot reject the joint hypothesis of rational expectations and no term premium. However, the results should be treated with caution since we also find parameter instability.

引用

页码：1115 / 1131

页数：17

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