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The predictive power of yield spreads for future interest rates: evidence from the Danish term structure
Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
- Department of Business Studies
- Finance Research Group
- Department of Marketing and Statistics
Med udgangspunkt i danske nul-kupon obligationsrenter testes 'forventningshypotesen's høj-frekvens implikationer. Resultaterne viser, at op til 1985, hvor pengepolitikken er karakteriseret ved pengemængdestyring, forudsiger rentespændet den fremtidige renteudvikling i overensstemmelse med forventningshypotesen. For perioden efter 1985, hvor pengepolitikken ændres til rentestyring, forsvinder rentespændets evne til at forudsige de fremtidige renter.
| Original language | English |
|---|---|
| Journal | The Scandinavian Journal of Economics |
| Pages (from-to) | 145-159 |
| Number of pages | 15 |
| ISSN | 0347-0520 |
| Publication status | Published - 1995 |
- HHÅ forskning
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