Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/101363
Authors: 
Duffee, Gregory R.
Year of Publication: 
2012
Series/Report no.: 
Working Papers, The Johns Hopkins University, Department of Economics 599
Abstract: 
This chapter discusses what the asset-pricing literature concludes about the forecastability of interest rates. It outlines forecasting methodologies implied by this literature, including dynamic, no-arbitrage term structure models and their macro-finance extensions. It also reviews the empirical evidence concerning the predictability of future yields on Treasury bonds and future excess returns to holding these bonds. In particular, it critically evaluates theory and evidence that variables other than current bond yields are useful in forecasting. - -Term structure ; affine models ; predicting bond returns ; predicting bond yields
JEL: 
G12
Document Type: 
Working Paper

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