The Behavior of Interest Rates
检验了Fama和Bliss（1987）关于远期利率预测未来即期利率的结论在1986-2004年样本外期间是否成立，并发现预测能力源于即期利率向时变期望值均值回归，而非恒定期望值。
The evidence in Fama and Bliss (1987) that forward interest rates forecast future spot interest rates for horizons beyond a year repeats in the out-of-sample 1986--2004 period. But the inference that this forecast power is due to mean reversion of the spot rate toward a constant expected value no longer seems valid. Instead, the predictability of the spot rate captured by forward rates seems to be due to mean reversion toward a time-varying expected value that is subject to a sequence of apparently permanent shocks that are on balance positive to mid-1981 and on balance negative thereafter. Copyright 2006, Oxford University Press.