An Empirical Investigation of the Forward Interest Rate Term Structure

@article{Bouchaud1999AnEI,
  title={An Empirical Investigation of the Forward Interest Rate Term Structure},
  author={J. Bouchaud and A. Matacz},
  journal={Monetary Economics eJournal},
  year={1999}
}
In this paper we study empirically the Forward Rate Curve (FRC) of 5 different currencies. We confirm and extend the findings of a previous investigation of the U.S. FRC. In particular, the average FRC follows a square-root law, with a prefactor related to the spot volatility, suggesting a Value-at-Risk-like pricing. We find a striking correlation between the instantaneous FRC and the past spot trend over a certain time horizon, in agreement with the idea of an extrapolated trend effect. We… Expand
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