This paper investigates the out-of-sample predictability of bond excess returns by means of long-term forward interest rates. We assess the economic value of the forecasting ability of empirical models based on forward rates in a dynamic asset allocation strategy. The results indicate that the information content of forward rates does not generate systematic economic value to investors. The predictive models do not record positive utility gains over the full sample period and their performance against the no-predictability benchmark worsens over time.
JEL classi…cation: G0; G1; E0; E4.
Keywords: bond excess returns, term structure of interest rates, expectations hypothesis, forecasting.
학회소식
공지사항
[2011년 제 4차] Out-of-sample Predictions of Bond Excess Returns an
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게시일 :
2011-12-07