Yield Spreads and Interest Rate Movements: A Bird's Eye View
Robert Shiller () and
John Campbell ()
Scholarly Articles from Harvard University Department of Economics
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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Published in Review of Economic Studies
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Journal Article: 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:hrv:faseco:3221490
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