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The predictive power of yield spreads for future interest rates: evidence from the Danish term structure

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Standard

The predictive power of yield spreads for future interest rates : evidence from the Danish term structure. / Tanggaard, Carsten; Engsted, Tom.

In: The Scandinavian Journal of Economics, 1995, p. 145-159.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

Harvard

Tanggaard, C & Engsted, T 1995, 'The predictive power of yield spreads for future interest rates: evidence from the Danish term structure', The Scandinavian Journal of Economics, pp. 145-159.

APA

Tanggaard, C., & Engsted, T. (1995). The predictive power of yield spreads for future interest rates: evidence from the Danish term structure. The Scandinavian Journal of Economics, 145-159.

CBE

Tanggaard C, Engsted T. 1995. The predictive power of yield spreads for future interest rates: evidence from the Danish term structure. The Scandinavian Journal of Economics. 145-159.

MLA

Tanggaard, Carsten and Tom Engsted. "The predictive power of yield spreads for future interest rates: evidence from the Danish term structure". The Scandinavian Journal of Economics. 1995, 145-159.

Vancouver

Tanggaard C, Engsted T. The predictive power of yield spreads for future interest rates: evidence from the Danish term structure. The Scandinavian Journal of Economics. 1995;145-159.

Author

Tanggaard, Carsten ; Engsted, Tom. / The predictive power of yield spreads for future interest rates : evidence from the Danish term structure. In: The Scandinavian Journal of Economics. 1995 ; pp. 145-159.

Bibtex

@article{a3615e70a84811daa378000ea68e967b,
title = "The predictive power of yield spreads for future interest rates: evidence from the Danish term structure",
abstract = "Med udgangspunkt i danske nul-kupon obligationsrenter testes 'forventningshypotesen's h{\o}j-frekvens implikationer. Resultaterne viser, at op til 1985, hvor pengepolitikken er karakteriseret ved pengem{\ae}ngdestyring, forudsiger rentesp{\ae}ndet den fremtidige renteudvikling i overensstemmelse med forventningshypotesen. For perioden efter 1985, hvor pengepolitikken {\ae}ndres til rentestyring, forsvinder rentesp{\ae}ndets evne til at forudsige de fremtidige renter.",
keywords = "HH{\AA} forskning, HH{\AA} forskning",
author = "Carsten Tanggaard and Tom Engsted",
year = "1995",
language = "English",
pages = "145--159",
journal = "The Scandinavian Journal of Economics",
issn = "0347-0520",
publisher = "Wiley-Blackwell Publishing Ltd.",

}

RIS

TY - JOUR

T1 - The predictive power of yield spreads for future interest rates

T2 - evidence from the Danish term structure

AU - Tanggaard, Carsten

AU - Engsted, Tom

PY - 1995

Y1 - 1995

N2 - 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.

AB - 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.

KW - HHÅ forskning

KW - HHÅ forskning

M3 - Journal article

SP - 145

EP - 159

JO - The Scandinavian Journal of Economics

JF - The Scandinavian Journal of Economics

SN - 0347-0520

ER -