The Review of Economics and Statistics Vol. 75 No. 4 1993
Informational Content in Interest Rate Term Structures
Abstract
Employing continuous arbitrage pricing principles, closed-form expressions for the term structure of interest rates as functions of two specific rates are developed. Model restrictions to the two one-dimensional 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 the term structure lies in its longer maturities.
- DOI
- 10.2307/2110024
- Volume
- 75
- Issue
- 4
- Pages
- 695
- Sources
- crossref openalex