全球智库信息集成服务系统(G2TT): Riding the Yield Curve: Reprise

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w3511
来源ID	Working Paper 3511
	Riding the Yield Curve: Reprise
	Robin Grieves; Alan J. Marcus
发表日期	1990-11-08
出版年	1990
语种	英语
摘要	We investigate the efficacy of riding the yield curve. This strategy dictates holding longer-term treasury bills when the yield curve is upwardsloping. We find that the strategy is surprisingly effective. it stochastically dominates buying and holding shorter-term bills for large subperiods, and nearly dominates for the entire sample period, 1949-1988. Our empirical results suggest that abnormal profit opportunities are available from selectively increasing the maturity of a short-term portfolio.
主题	Macroeconomics
URL	https://www.nber.org/papers/w3511
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/560816
推荐引用方式 GB/T 7714	Robin Grieves,Alan J. Marcus. Riding the Yield Curve: Reprise. 1990.