The Information Content of the Inflation Term Structure

1998 ◽  
Author(s):  
Francis Breedon ◽  
Jagjit S. Chadha
Keyword(s):  
Information Content ◽  
Term Structure

The information content of the term structure of risk-neutral skewness

2020 ◽  
Vol 58 ◽  
pp. 247-274 ◽  
Author(s):  
Paul Borochin ◽  
Hao Chang ◽  
Yangru Wu
Keyword(s):  
Information Content ◽  
Term Structure ◽  
Risk Neutral

Information Content of Implied Forward Exchange Rates

2003 ◽  
Vol 11 (1) ◽  
pp. 1-23
Author(s):  
Seong Hun Kim ◽  
Dong Se Cha
Keyword(s):  
Exchange Rates ◽  
Interest Rates ◽  
Error Correction ◽  
Information Content ◽  
Term Structure ◽  
Error Correction Model ◽  
Fisher Effect ◽  
Interest Rate Parity ◽  
Correction Model ◽  
Forward Rates

This paper analyzes the information content of the forward exchange rates implied by the interest rate parity, using the Korea and U.S. interest rates and Won/dollar exchange rates observed during the period of March 1991 to December 2002. First, we test the cointegration between implied forward exchange rates and future spot exchange rates to examine their longrun relationship, and find the existence of cointegration. Next, we examine the international Fisher effect and estimate an error correction model for their shortrun relationship. Our analysis supports the international Fisher effect for longer maturities. Our result also supports the error correction model that states that the future spot exchange rates will be adjusted reflecting the information contained in the past-period implied forward rates which is not fully reflected to current spot rates. Finally, we also find that the term structure of implied forward exchange rates is associated with the changes in future spot rates for longer maturities. Based on our findings, we conclude that the longrun relationship exists between the implied forward exchange rates and future spot exchange rates, and the shortrun deviation from the relationship tend to disappear as they return to the longrun relationship in the course of time.

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