| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w0595 |
| 来源ID | Working Paper 0595 |
| On Expectations, Term Premiums and the Volatility of Long-Term Interest Rates | |
| James E. Pesando | |
| 发表日期 | 1980-12-01 |
| 出版年 | 1980 |
| 语种 | 英语 |
| 摘要 | The paper first identifies how large must be the range in which ex ante yields on long-relative to short-term bonds vary if term premiums -- are to account for a significant fraction of the variance of the holding- period yields on long-term bonds. This paper then extends Shiller's bound to the case of a time-varying term premium and readily identifies the variance in the term premium necessary to salvage the efficient markets model if the variance of these holding-period yields exceeds the bound implied by the rational expectations model. The role of transactions costs is noted and the possibility explored that evidence of excess volatility need not imply the existence of unexploited profit opportunities under the rational expectations model. |
| 主题 | Macroeconomics |
| URL | https://www.nber.org/papers/w0595 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/557793 |
| 推荐引用方式 GB/T 7714 | James E. Pesando. On Expectations, Term Premiums and the Volatility of Long-Term Interest Rates. 1980. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w0595.pdf（1326KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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