Yield Spreads and Interest Rate Movements: A Bird's Eye View
John Campbell () and
Robert Shiller ()
Review of Economic Studies, 1991, vol. 58, issue 3, 495-514
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.
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Working Paper: Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)
Working Paper: Yield Spreads and Interest Rate Movements: A Bird's Eye View (1989)
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Persistent link: https://EconPapers.repec.org/RePEc:oup:restud:v:58:y:1991:i:3:p:495-514.
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