The Information Content of the Term Structure: An Application to French Government Bonds (in French)

1997 ◽  
Author(s):  
Eric Jondeau ◽  
Roland Ricart
Keyword(s):  
Information Content ◽  
Term Structure ◽  
Government Bonds ◽  
French Government

The Information Content of the Term Structure of Interest Rates in Emerging Economies: The Case of Thailand

2017 ◽  
Vol 16 (2) ◽  
pp. 136-150 ◽  
Author(s):  
Archawa Paweenawat
Keyword(s):  
Interest Rates ◽  
Information Content ◽  
Term Structure ◽  
Emerging Economies ◽  
Jel Classification ◽  
Gdp Growth ◽  
Government Bond ◽  
Government Bonds ◽  
Monthly Data ◽  
Thai Government

This article studies the information content of the term structure of interest rates of Thai government bonds. Using monthly data from July 2001 to December 2013, this article tests whether the term structure contains information about future interest rates, inflation and gross domestic product (GDP) growth. The results suggest that, despite the low liquidity of the Thai government bond market, the term structure contains considerable information about future interest rates and GDP growth. JEL Classification: E43, E44, G12

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