| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w3153 |
| 来源ID | Working Paper 3153 |
| Yield Spreads and Interest Rate Movements: A Bird's Eye View | |
| John Y. Campbell; Robert J. Shiller | |
| 发表日期 | 1989-10-01 |
| 出版年 | 1989 |
| 语种 | 英语 |
| 摘要 | The expectations theory of the term structure implies that the spread between a longer-term interest rate and a shorter-term interest rate forecasts two subsequent interest rate changes: the change in yield of the longer-term bond over the life of the shorter-term bond, and a weighted average of the changes in shorter-term rates over the life of the longer-term bond. For postwar U.S. data from Mcculloch [1987] and just about any combination of maturities between one month and ten years we find that the former relation is not borne out by the data, the latter roughly is. When the yield spread is high the yield on the longer-term bond tends to fall, contrary to the expectations theory; at the same time, the shorter-term interest rate tends to rise, just as the expectations theory requires. We discuss several possible interpretations of these findings. We argue that they are consistent with a model in which the spread is a multiple of the value implied by the expectations theory. This model could be generated by time-varying risk premia which are correlated with expected increases in short-term interest rates, or by a failure of rational expectations in our sample period. |
| 主题 | Macroeconomics |
| URL | https://www.nber.org/papers/w3153 |
| 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/560433 |
| 推荐引用方式 GB/T 7714 | John Y. Campbell,Robert J. Shiller. Yield Spreads and Interest Rate Movements: A Bird's Eye View. 1989. |
| 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 | ||
| w3153.pdf（272KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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