TIME‐TO‐BUILD EFFECTS AND THE TERM STRUCTURE

Jack Strauss and Guofu Zhou

Journal of Financial Research, 1995, vol. 18, issue 1, 115-127

Abstract: This paper shows that real macroeconomic variables have power to predict movements in the term structure of interest rates. This complements recent evidence that links the term structure to expected stock returns. We find that up to 86 percent of the variation in the term premia are due to the changes in macroeconomic variables. The predictive power can be attributed to the time‐to‐build effect of investments.

Date: 1995
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jfnres:v:18:y:1995:i:1:p:115-127

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