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                                       Details for article 6 of 10 found articles
 
 
  Short-term interest rates as predictors of inflation revisited: a signal extraction approach
 
 
Title: Short-term interest rates as predictors of inflation revisited: a signal extraction approach
Author: Cheung, Kui-Yin
Appeared in: Applied financial economics
Paging: Volume 3 (1993) nr. 2 pages 113-118
Year: 1993-06
Contents: In this paper, Fama's joint hypothesis that the ex ante real interest rate is constant and that the US Treasury bill market is efficient, is tested. The signal extraction technique, a methodology from engineering literature, is used to identify and measure the ex ante real interest rate. The maximum-likelihood estimate of the variance of the ex ante real interest rate is significantly different from zero. Regression results based on the filtered estimate of the expected inflation also show a large and significant effect on the composite predictions of the rate of inflation. Thus, Fama's joint hypothesis is rejected.
Publisher: Routledge
Source file: Elektronische Wetenschappelijke Tijdschriften
 
 

                             Details for article 6 of 10 found articles
 
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