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