dc.contributor.author | Campbell, John | |
dc.contributor.author | Shiller, Robert | |
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 | |
dc.identifier.doi | 10.2307/2298008 | * |
dash.contributor.affiliated | Campbell, John | |