FORECASTING THE TREASURY BILL RATE: A TIME-VARYING COEFFICIENT APPROACH

Autor:	Douglas R. Kahl, Thomas C. Chiang
Rok vydání:	1991
Předmět:	Accounting media_common.quotation_subject Statistics Econometrics Economics Expectation hypothesis Yield curve Kalman filter Constant (mathematics) Finance Interest rate media_common Treasury
Zdroj:	Journal of Financial Research. 14:327-336
ISSN:	0270-2592
DOI:	10.1111/j.1475-6803.1991.tb00670.x
Popis:	In this paper a time-varying coefficient model is developed using a Kalman filter methodology to test the term structure of interest rates. Since the model is characterized by continuing revision of the estimates when new information arrives, it is capable of capturing the dynamic interest rate behavior, thereby increasing the forecasting accuracy of the future spot rates. With the constant expectations hypothesis rejected, the forecasting accuracy is substantially increased.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::fd45e38b1a37b3b13d3eb27e77d910d1 https://doi.org/10.1111/j.1475-6803.1991.tb00670.x Zobrazit plný text záznamu Plný text ve formátu PDF