@techreport{NBERw6379,
 title = "Predictable Changes in Yields and Forward Rates",
 author = "David Backus and Silverio Foresi and Abon Mozumdar and Liuren Wu",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "6379",
 year = "1998",
 month = "January",
 URL = "http://www.nber.org/papers/w6379",
 abstract = {We consider the patterns in the predictability of interest rates expectations hypothesis (EH), and attempt to account for them with affine models.  We make the following points: (i) Discrepancies in the data from the EH take a particularly simple form with forward rates: as theory suggests, the largest discrepancies are at short maturities.  (ii) Reasonable estimates of one-factor Cox-Ingersoll-Ross models imply regressions on the opposite side of the EH than we see in the data: regression slopes are greater than one (iii) Multifactore affine models can nevertheless approximate both departures from the EH and other properties of interest rates.},
}