Short-Run Interest Rate Cycles in the U.S.: 1954–1967**

Arie Melnik and Alan Kraus

Journal of Financial and Quantitative Analysis, 1969, vol. 4, issue 3, 291-299

Abstract: It has been observed that when the level of interest rates rises all rates increase, but short-term rates rise systematically more than longterm rates. Over time, therefore, short-term rates experience wider fluctuations than long-term rates. This behavior, however, does not provide any clue as to which interest rate leads the other over the cycle. Most research on term structure of interest rates has focused on the yield curve at a point in time; little has been done to investigate the joint movement of short- and long-term interest rates through time. In this study, we compare the cyclical behavior of short-term and long-term interest rates in the United States during the period 1954–1967. The relationship between the 90-day Treasury bill rate and the 10-year U. S. Government bond rate is analyzed by the cross-spectral method.

Date: 1969
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