The Information in Long-Maturity Forward Rates
发现美国国债1年期远期利率能反映当前1年期预期收益的变动，并能预测未来2至5年的1年期利率变化，预测能力随期限延长而增强，归因于利率的均值回归特性。
Current 1 -year forward rates on 1 - to 5-year U.S. Treasury bonds are information about the current term structure of 1-year expected returns on the bonds, and forward rates track variation through time in 1-year expected returns. More interesting, 1 -year forward rates forecast changes in the 1 -year interest rate 2- to l-years ahead, and forecast power increases with the forecast horizon. We attribute this forecast power to a mean-reverting tendency in the 1-year interest rate