| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w2341 |
| 来源ID | Working Paper 2341 |
| The Term Structure of Interest Rates | |
| Robert J. Shiller; J. Huston McCulloch | |
| 发表日期 | 1987-08-01 |
| 出版年 | 1987 |
| 语种 | 英语 |
| 摘要 | This paper consolidates and interprets the literature on the term structure, as it stands today. Definitions of rates of return, forward rates and holding returns for all time intervals are treated here in a uniform manner and their interrelations, exact or approximate, delineated. The concept of duration is used throughout to simplify mathematical expressions. Continuous compounding is used where possible, to avoid arbitrary distinctions based on compounding assumptions. Both the theoretical and the empirical literature are treated. The attached tables by J. Huston McCulloch give term structure data for U. S. government securities 1946-1987. The tables give discount bond yields, forward rates and par bond yields as defined in the paper. The data relate to the concepts in the paper more precisely than does any previously published data series. |
| 主题 | Macroeconomics |
| URL | https://www.nber.org/papers/w2341 |
| 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/559596 |
| 推荐引用方式 GB/T 7714 | Robert J. Shiller,J. Huston McCulloch. The Term Structure of Interest Rates. 1987. |
| 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 | ||
| w2341.pdf（1182KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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