A Multi-country Comparison of Term Structure Forecasts at Long Horizons

Download or read book A Multi-country Comparison of Term Structure Forecasts at Long Horizons written by Philippe Jorion and published by . This book was released on 1991 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.