Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
The Information in Swedish Short-Maturity Forward Rates
Stockholm University, Faculty of Social Sciences, Institute for International Economic Studies.
Stockholm University, Faculty of Social Sciences, Institute for International Economic Studies.
1994 (English)Report (Other academic)
Abstract [en]

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.

Place, publisher, year, edition, pages
Stockholm: IIES , 1994. , 26 p.
Series
Seminar Paper / Institute for International Economic Studies, Stockholm University, ISSN 0347-8769 ; 566
Keyword [en]
expectations theory, forward rates, interest rates, term premium, term structure
National Category
Economics
Identifiers
URN: urn:nbn:se:su:diva-41890OAI: oai:DiVA.org:su-41890DiVA: diva2:342798
Available from: 2010-08-11 Created: 2010-08-11 Last updated: 2010-08-11Bibliographically approved

Open Access in DiVA

fulltext(3504 kB)171 downloads
File information
File name FULLTEXT01.pdfFile size 3504 kBChecksum SHA-512
572c046e3f1110139c1321512180cbdefb0fb9cbff800d15402f847300486176be4bf8c7d4ebd59e60f74d2811d81679ffb3cc595063b3342bda3a663da5a76c
Type fulltextMimetype application/pdf

By organisation
Institute for International Economic Studies
Economics

Search outside of DiVA

GoogleGoogle Scholar
Total: 171 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 64 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf