Yield Spreads and Interest Rate Movements: A Bird's Eye View

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Yield Spreads and Interest Rate Movements: A Bird's Eye View

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Title: Yield Spreads and Interest Rate Movements: A Bird's Eye View
Author: Shiller, Robert; Campbell, John

Note: Order does not necessarily reflect citation order of authors.

Citation: Campbell, John Y., and Robert J. Shiller. 1991. Yield spreads and interest rate movements: a bird's eye view, in The Econometrics of Financial Markets, special issue, Review of Economic Studies 58, no. 3: 495-514.
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Abstract: This paper examines postwar U.S. term structure data and finds 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.
Published Version: http://dx.doi.org/10.2307/2298008
Terms of Use: This article is made available under the terms and conditions applicable to Other Posted Material, as set forth at http://nrs.harvard.edu/urn-3:HUL.InstRepos:dash.current.terms-of-use#LAA
Citable link to this page: http://nrs.harvard.edu/urn-3:HUL.InstRepos:3221490

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  • FAS Scholarly Articles [7362]
    Peer reviewed scholarly articles from the Faculty of Arts and Sciences of Harvard University
 
 

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