EconPapers    
Economics at your fingertips  
 

A Defense of Traditional Hypotheses about the Term Structure of Interest Rates

John Campbell ()

Scholarly Articles from Harvard University Department of Economics

Abstract: Expectations theories of asset returns may be interpreted either as stating that risk premia are zero or that they are constant through time. Under the former interpretation, different versions of the expectations theory of the term structure are inconsistent with one another, but I show that this does not necessarily carry over to the constant risk premium interpretation of the theory. I present a general equilibrium example in which different types of risk premium are constant through time and dependent only on maturity. Furthermore, I argue that differences among expectations theories are second-order effects of bond yield variability. I develop an approximate linearized framework for analysis of the term structure in which these differences disappear, and I test its accuracy in practice using data from the CRSP government bond tapes.

Date: 1986
References: View complete reference list from CitEc
Citations: View citations in EconPapers (38) Track citations by RSS feed

Published in Journal of Finance

Downloads: (external link)
http://dash.harvard.edu/bitstream/handle/1/3207698 ... fensetraditional.pdf (application/pdf)

Related works:
Journal Article: A Defense of Traditional Hypotheses about the Term Structure of Interest Rates (1986) Downloads
Working Paper: A Defense of Traditional Hypotheses About the Term Structure of InterestRates (1984) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hrv:faseco:3207698

Access Statistics for this paper

More papers in Scholarly Articles from Harvard University Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Office for Scholarly Communication ().

 
Page updated 2019-07-19
Handle: RePEc:hrv:faseco:3207698