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• W2001194610 abstract "This research develops a simple probit model for predicting the direction of long-term interest rates. One variation uses the slope of the term structure, and another uses the forward rate as a predictor variable. Out-of-sample tests on Federal Reserve data indicate that for a one-month forecast horizon, the model correctly predicts the direction of 5-, 7-, 10-, and 30-year yields with more than 60% success. The success rate is nearly as good when we use data obtained from yield curve estimates. While these results are not good enough to be the sole determinant in bond investment strategies, the model can provide useful information." @default.
• W2001194610 created "2016-06-24" @default.
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• W2001194610 date "2002-03-31" @default.
• W2001194610 modified "2023-09-24" @default.
• W2001194610 title "Predicting the Direction of Interest Rate Movements" @default.
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• W2001194610 doi "https://doi.org/10.3905/jfi.2002.319314" @default.
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