INFORMATIONAL CONTENT IN INTEREST-RATE TERM STRUCTURES

Authors
EDMISTER RO MADAN DB
Citation
Ro. Edmister et Db. Madan, INFORMATIONAL CONTENT IN INTEREST-RATE TERM STRUCTURES, Review of economics and statistics, 75(4), 1993, pp. 695-699
Citations number
15
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics
Journal title
Review of economics and statistics → ACNP
ISSN journal
00346535
Volume
75
Issue
4
Year of publication
1993
Pages
695 - 699
Database
ISI
SICI code
0034-6535(1993)75:4<695:ICIITS>2.0.ZU;2-U
Abstract
Employing continuous arbitrage pricing principles, closed form express ions for the term structure of interest rates as functions of two spec ific rates are developed. Model restrictions to the two one dimensiona l submodels are tested and rejected, thereby supporting the hypothesis that the term structure is at least two-dimensional. Evidence is also presented that supports the view that the informational content of th e term structure lies in its longer maturities.