The Predictive Power of the Term Structure during Recent Monetary Regimes
利用1970-1980年代美国国库券周数据，发现远期利率比自回归模型更能预测未来即期利率变化，且预测能力在1979年后增强，与美联储利率目标制无必然联系。
ABSTRACT I use weekly Treasury‐bill rates with maturities of one to twenty‐six weeks to examine the information in forward rates during the 1970s and 1980s. Forward rates contain better information about future changes in spot rates than the information captured by autoregressivea nd vector‐autoregressivem odels. Forward rates also have considerable predictive power, which increased after October 1979 and remained strong after October 1982. The results show no necessary connection between interest rate predictability and the degree to which the Fed adheres to interest rate targeting.