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1# gxl0814

The Information in Forward Rates: Implications for Models of the Term Structure

Abstract
Term-structure models from Cox, Ingersoll, and Ross (1985) imply that conditional expected discrete-period returns on discount instruments are linear functions of forward rates. Tests reject a single-latent-variable model of expected returns on U.S. Treasury bills, but two or three latent variables appear to describe expected returns on bills of all maturities. Expected returns estimated using two-latent-variables exhibit variation with business cycles similar to what Fama (1986) observes for forward rates. Inverted term structures precede recessions and upward-sloping structures precede recoveries.

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好的，交易成功。同样感谢2，3楼，以后也请多支持。。。