Year: 1991
Type: article
Abstract: This paper examines postwar U.S. term structure data and finds that for almost any combination of maturities between one month and ten years, a high yield spread between a longer-term and a shorter-term interest rate forecasts rising shorter-term interest rates over the long term, but a declining yield on the longer-term bond over the short term. This pattern is inconsistent with the expectations theory of the term structure, but is consistent, with a model in which the spread is proportional to the value implied by the expectations theory.
Source: The Review of Economic Studies
DOI: 10.2307/2298008
Authors: John Y. Campbell, Robert J. Shiller
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2151993164