unsmoothed Fama and Bliss
unsmoothed Fama and Bliss
Hi
I am wondering if there are people who have tried coding up the following paper:
Fama, E., Bliss, R., 1987. "The information in long-maturity forward rates". American Economic Review 77, 680–692
Kind Regards,
I am wondering if there are people who have tried coding up the following paper:
Fama, E., Bliss, R., 1987. "The information in long-maturity forward rates". American Economic Review 77, 680–692
Kind Regards,
Re: unsmoothed Fama and Bliss
Does anyone have the Fortran code (on any other code) for that? It looks as if most people use Bliss' Fortran program.
Re: unsmoothed Fama and Bliss
I know of codes and data for Cochrane and Piazzesi (2005) "Bond Risk Premia", American Economic Review, vol. 95, at: http://faculty.chicagobooth.edu/john.co ... sk_Premia/
The paper itself can be found at http://faculty.chicagobooth.edu/john.co ... premia.pdf
Cochrane and Piazzesi (2005) extend the results of Fama and Bliss (1987) (using the same regressions and then more elaborate ones), so I think that this would be a good substitute to replicating the original Fama and Bliss (1987) paper.
The paper itself can be found at http://faculty.chicagobooth.edu/john.co ... premia.pdf
Cochrane and Piazzesi (2005) extend the results of Fama and Bliss (1987) (using the same regressions and then more elaborate ones), so I think that this would be a good substitute to replicating the original Fama and Bliss (1987) paper.
Re: unsmoothed Fama and Bliss
Part of Cochrane and Piassezi is posted at http://www.estima.com/forum/viewtopic.php?f=8&t=1998