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Information in the U.S. Treasury Term Structure of Interest Rates
Author(s) -
Brooks Robert,
Cline Brandon N.,
Enders Walter
Publication year - 2012
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/j.1540-6288.2012.00328.x
Subject(s) - treasury , yield curve , term (time) , interest rate , econometrics , measure (data warehouse) , economics , computer science , finance , geography , database , physics , archaeology , quantum mechanics
We provide evidence of a significant change in the information content of the U.S. Treasury term structure of interest rates over the last 20 years. We apply a regression approach to measure the information in forward interest rates and introduce both a curve fitting method and an alternative data source. We find more information in the recent U.S. Treasury term structure about future interest rates than about expected holding period returns. These results document a significant departure from prior empirical findings.