| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w0222
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| 来源ID | Working Paper 0222
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| The Cumulative Unanticipated Change in Interest Rates: Evidence on the Misintermediation Hypothesis |
| J. Huston McCulloch
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| 发表日期 | 1977-12-01
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| 出版年 | 1977
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| 语种 | 英语
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| 摘要 | The term structure of interest rates is carefully analyzed over the period 1947-77 in order to construct a monthly series on cumulative unanticipated changes in long-term interest rates. This series is a sort of synthetic interest rate, changes in which over several months or years represent entirely unanticipated changes in interest rates. The behavior of this series is examined over recognized business fluctuations, and it is found to be actually more reliably pro-cyclic than the raw long-term interest rate, in spite of Kessel's finding that the market tends to correctly predict the direction of change of interest rates over phases. That the series is pro-cyclic supports the hypothesis we have put forward in another paper, that business fluctuations may be caused by "misintermediation", by which we mean the traditional mis-matching of asset and liability maturities on the part of financial intermediaries. |
| URL | https://www.nber.org/papers/w0222
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/557409
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推荐引用方式
GB/T 7714 |
J. Huston McCulloch. The Cumulative Unanticipated Change in Interest Rates: Evidence on the Misintermediation Hypothesis. 1977.
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文件名：
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w0222.pdf
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格式：
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Adobe PDF
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