NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

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

Philippe Jorion, Frederic Mishkin

NBER Working Paper No. 3574 (Also Reprint No. r1648)
Issued in January 1991
NBER Program(s):   ME

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.

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Document Object Identifier (DOI): 10.3386/w3574

Published: "A Multicountry Comparison of Term-Structure Forecasts at Long Horizons." From Journal of Financial Economics, Vol. 29, pp. 59-80, (March 1991). citation courtesy of

 
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