| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w1789 |
| 来源ID | Working Paper 1789 |
| Long-Term Behavior of Yield Curves | |
| Charles R. Nelson; Andrew F. Siegel | |
| 发表日期 | 1986 |
| 出版年 | 1986 |
| 语种 | 英语 |
| 摘要 | The flattening of yield curves at long-term maturities is proven to be approximately proportional to the reciprocal of the time to maturity under general conditions. This is a consequence of the persistence of earlier forward rates in the averaging process which produces yields from forward rates. This relationship suggests the use of a"reciprocal maturity yield curve" which significantly facilitates the interpretation of the behavior of long-term yields by linearizing them for display over a shorter interval. This is illustrated using a yield curve for U.S.Treasury bills. |
| 主题 | Macroeconomics |
| URL | https://www.nber.org/papers/w1789 |
| 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/559035 |
| 推荐引用方式 GB/T 7714 | Charles R. Nelson,Andrew F. Siegel. Long-Term Behavior of Yield Curves. 1986. |
| 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 | ||
| w1789.pdf（61KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
