TY  - JOUR
AU  - Jorion,Philippe
AU  - Mishkin,Frederic
TI  - A Multi-Country Comparison of Term Structure Forecasts at Long Horizons
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 3574
PY  - 1991
Y2  - October 1991
UR  - http://www.nber.org/papers/w3574
L1  - http://www.nber.org/papers/w3574.pdf
N1  - Author contact info:
Philippe Jorion
University of California, Irvine
Department of Finance
Graduate School of Management
Irvine, CA  92697
E-Mail: pjorion@gsm.uci.edu

Frederic S. Mishkin
Columbia University
Graduate School of Business
Uris Hall 817
3022 Broadway
New York, NY 10027
Tel: 212-854-3488
Fax: 212/662-8474
E-Mail: fsm3@columbia.edu
AB  - 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.
ER  -