Yield Spreads and Interest Rate Movements: A Bird's Eye View
| 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. |
| Full Text & Related Files: |
campbell_birdseye.pdf (278.6Kb; PDF) 
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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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