TY - JOUR T1 - Distributional Properties of Spot and Forward Interest Rates JF - The Journal of Fixed Income SP - 35 LP - 54 DO - 10.3905/jfi.1999.319243 VL - 8 IS - 4 AU - Ilias Lekkos Y1 - 1999/03/31 UR - https://pm-research.com/content/8/4/35.abstract N2 - This article provides analysis of the distributional properties of spot and forward interest rates without imposing any ad hoc assumptions on the behavior of interest rates. Using the kernel density estimation method, we estimate the distributions of spot and forward interest rates in levels and first differences. By comparing the two distributions, we show that examination of interest rates in levels can provide incremental information about the data generation process. In addition, we examine whether commonly used distributions, like the normal and lognormal distribution, can provide an adequate description of interest rate distribution. Finally we examine a more flexible mixture of two distributions as an alternative characterization of the distribution of interest rate changes. ER -