St Louis Fed: forward rates provide investors little advantage
The information content of forward rates does not generate any systematic economic value to investors, a St Louis Federal Reserve paper published in October says.
Daniel Thornton and Giorgio Valente, the paper's authors, examine the predictability of excess bond returns by means of long-term forward interest rates to investigate whether the information embedded in forward rates is economically significant.
The results show that the information content of forward rates does not generate any
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