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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dc.contributor.author Shiller, Robert
dc.contributor.author Campbell, John
dc.date.accessioned 2009-08-21T18:56:35Z
dc.date.issued 1991
dc.identifier.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. en
dc.identifier.issn 0034-6527 en
dc.identifier.uri http://nrs.harvard.edu/urn-3:HUL.InstRepos:3221490
dc.description.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. en
dc.description.sponsorship Economics en
dc.language.iso en_US en
dc.publisher Blackwell Publishing en
dc.relation.isversionof http://dx.doi.org/10.2307/2298008 en
dash.license LAA
dc.title Yield Spreads and Interest Rate Movements: A Bird's Eye View en
dc.relation.journal Review of Economic Studies en
dash.depositing.author Campbell, John

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  • FAS Scholarly Articles [7594]
    Peer reviewed scholarly articles from the Faculty of Arts and Sciences of Harvard University

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