Brooks, Robert; Cline, Brandon N.; Enders, Walter - In: Journal of Banking & Finance 54 (2015) C, pp. 239-253
We investigate the information contained in the London Interbank Offered Rate (LIBOR) and the U.S. Constant Maturity Treasury (CMT) term structure of interest rates and report three novel findings. First, we document that the information contained in term structures are significantly different...