haku: @author Shiller, R. J. / yhteensä: 11
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Tekijä: | Campbell, J. Y. Shiller, R. J. |
Otsikko: | Yield spreads and interest rate movements : A bird's eye view. |
Lehti: | Review of Economic Studies
1991 : MAY, VOL. 58:195, p. 495-514 |
Asiasana: | INTEREST RATES FORECASTING |
Kieli: | eng |
Tiivistelmä: | Postwar USA term structure data are examined and it is found that for almost any combination of maturities between one month and ten years, a high yield spread between a longer-term and a shorter-term interest rate forecasts rising shorter-term interest rates over the long term, but a declining yield on the longer-term bond over the short term. This pattern is inconsistent with the expectations theory of the term-structure, but is consistent with a model in which the spread is proportional to the value implied by the expectations theory. |
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