Long-Term Behavior of Yield Curves
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Charles R. Nelson & Andrew F. Siegel, 1986. "Long-Term Behavior of Yield Curves," NBER Working Papers 1789, National Bureau of Economic Research, Inc.
References listed on IDEAS
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1981. "A Re-examination of Traditional Hypotheses about the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 36(4), pages 769-799, September.
- Livingston, Miles B & Jain, Suresh K, 1982. "Flattening of Bond Yield Curves for Long Maturities," Journal of Finance, American Finance Association, vol. 37(1), pages 157-167, March.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Robert R. Bliss & Ehud I. Ronn, 1997. "Callable U.S. Treasury bonds: optimal calls, anomalies, and implied volatilities," FRB Atlanta Working Paper 97-1, Federal Reserve Bank of Atlanta.
- P. Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015.
"Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty,"
SIRE Discussion Papers
2015-71, Scottish Institute for Research in Economics (SIRE).
- Byrne, JP & Cao, S & Korobilis, D, 2016. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," Essex Finance Centre Working Papers 18195, University of Essex, Essex Business School.
- Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," MPRA Paper 63844, University Library of Munich, Germany.
- Joseph P. Byrne & Shuo Cao. & Dimitris Korobilis., 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," Working Papers 2015_08, Business School - Economics, University of Glasgow.
- Faust, Jon & Rogers, John H. & Wang, Shing-Yi B. & Wright, Jonathan H., 2007.
"The high-frequency response of exchange rates and interest rates to macroeconomic announcements,"
Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1051-1068, May.
- Jon Faust & John H. Rogers & Shing-Yi Wang & Jonathan H. Wright, 2003. "The high-frequency response of exchange rates and interest rates to macroeconomic announcements," International Finance Discussion Papers 784, Board of Governors of the Federal Reserve System (U.S.).
- C. Emre Alper & Aras Akdemir & Kazim Kazimov, 2004. "Estimating the Term Structure of Government Securities in Turkey," Working Papers 2004/03, Bogazici University, Department of Economics.
- Diebold, Francis X. & Li, Canlin, 2006.
"Forecasting the term structure of government bond yields,"
Journal of Econometrics, Elsevier, vol. 130(2), pages 337-364, February.
- Francis X. Diebold & Canlin Li, 2002. "Forecasting the Term Structure of Government Bond Yields," Center for Financial Institutions Working Papers 02-34, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Francis X. Diebold & Canlin Li, 2003. "Forecasting the Term Structure of Government Bond Yields," NBER Working Papers 10048, National Bureau of Economic Research, Inc.
- Diebold, Francis X. & Li, Canlin, 2003. "Forecasting the term structure of government bond yields," CFS Working Paper Series 2004/09, Center for Financial Studies (CFS).
- Paccagnini, Alessia, 2016.
"The macroeconomic determinants of the US term structure during the Great Moderation,"
Economic Modelling, Elsevier, vol. 52(PA), pages 216-225.
- Alessia Paccagnini, 2014. "The Macroeconomic Determinants of the US Term-Structure during the Great Moderation," Working Papers 274, University of Milano-Bicocca, Department of Economics, revised Jun 2014.
- Alessia Paccagnini, 2016. "The Macroeconomic Determinants of the US Term-Structure During The Great Moderation," Open Access publications 10197/7324, School of Economics, University College Dublin.
- Mr. Rodrigo Cabral & Mr. Richard Munclinger & Mr. Luiz Alves & Mr. Marco Rodriguez Waldo, 2011. "On Brazil’s Term Structure: Stylized Facts and Analysis of Macroeconomic Interactions," IMF Working Papers 2011/113, International Monetary Fund.
- Ales Marsal & Lorant Kaszab & Roman Horvath, 2017.
"Government Spending and the Term Structure of Interest Rates in a DSGE Model,"
Working and Discussion Papers
WP 3/2017, Research Department, National Bank of Slovakia.
- Ales Marsal, 2018. "Government Spending and the Term Structure of Interest Rates in a DSGE Model," 2018 Meeting Papers 107, Society for Economic Dynamics.
- Guidolin, Massimo & Thornton, Daniel L., 2018.
"Predictions of short-term rates and the expectations hypothesis,"
International Journal of Forecasting, Elsevier, vol. 34(4), pages 636-664.
- Massimo Guidolin & Daniel L. Thornton, 2010. "Predictions of short-term rates and the expectations hypothesis," Working Papers 2010-013, Federal Reserve Bank of St. Louis.
- repec:hal:wpaper:hal-01217928 is not listed on IDEAS
- Francis X. Diebold, 2004.
"The Nobel Memorial Prize for Robert F. Engle,"
Scandinavian Journal of Economics, Wiley Blackwell, vol. 106(2), pages 165-185, June.
- Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," NBER Working Papers 10423, National Bureau of Economic Research, Inc.
- Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," PIER Working Paper Archive 04-010, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Diebold, Francis X., 2004. "The Nobel Memorial Prize for Robert F. Engle," CFS Working Paper Series 2004/11, Center for Financial Studies (CFS).
- P. Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-71, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Yallup, Peter J., 2012. "Models of the yield curve and the curvature of the implied forward rate function," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 121-135.
- Schich, Sebastian T., 1996. "Alternative Spezifikationen der deutschen Zinsstrukturkurve und ihr Informationsgehalt hinsichtlich der Inflation," Discussion Paper Series 1: Economic Studies 1996,08, Deutsche Bundesbank.
- Daniel L. Thornton, 2005.
"Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates,"
Working Papers
2004-010, Federal Reserve Bank of St. Louis.
- Guidolin, Massimo & Thornton, Daniel L., 2008. "Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates," Working Paper Series 977, European Central Bank.
- Mabelle Sayah, 2016. "Analyzing and Comparing Basel's III Sensitivity Based Approach for the interest rate risk in the trading book," Post-Print hal-01217928, HAL.
- Almeida, Caio & Lund, Bruno, 2014. "Immunization of Fixed-Income Portfolios Using an Exponential Parametric Model," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 34(2), November.
- Madura, J. & Wiley, M. K. & Zarruk, E. R., 1998. "Cointegration of term structure premiums across countries," Journal of Multinational Financial Management, Elsevier, vol. 8(4), pages 393-412, November.
- Cem Çakmakli, 2012. "Bayesian Semiparametric Dynamic Nelson-Siegel Model," Working Paper series 59_12, Rimini Centre for Economic Analysis, revised Sep 2012.
- Byrne, Joseph P. & Cao, Shuo & Korobilis, Dimitris, 2017. "Forecasting the term structure of government bond yields in unstable environments," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 209-225.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Kau, James B. & Keenan, Donald C., 1999. "Patterns of rational default," Regional Science and Urban Economics, Elsevier, vol. 29(6), pages 765-785, November.
- Robert R. Bliss & Ehud I. Ronn, 1997. "Callable U.S. Treasury bonds: optimal calls, anomalies, and implied volatilities," FRB Atlanta Working Paper 97-1, Federal Reserve Bank of Atlanta.
- Andrea J. Heuson, 1988. "The Term Premia Relationship Implicit In The Term Structure Of Treasury Bills," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(1), pages 13-20, March.
- Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742.
- John Y. Campbell, 1986.
"Bond and Stock Returns in a Simple Exchange Model,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 101(4), pages 785-803.
- John Y. Campbell, 1984. "Bond and Stock Returns in a Simple Exchange Model," NBER Working Papers 1509, National Bureau of Economic Research, Inc.
- Campbell, John, 1986. "Bond and Stock Returns in a Simple Exchange Model," Scholarly Articles 3122544, Harvard University Department of Economics.
- Tzavalis, Elias & Wickens, Michael, 1998. "A Re-examination of the Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence from Long-Run and Short-Run Tests," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 3(3), pages 229-239, July.
- Josep Perell'o & Miquel Montero & Jaume Masoliver & J. Doyne Farmer & John Geanakoplos, 2019. "Statistical analysis and stochastic interest rate modelling for valuing the future with implications in climate change mitigation," Papers 1910.01928, arXiv.org, revised Feb 2020.
- Gollier, Christian, 2016.
"Gamma discounters are short-termist,"
Journal of Public Economics, Elsevier, vol. 142(C), pages 83-90.
- Gollier, Christian, 2014. "Gamma discounters are short-termist," TSE Working Papers 14-499, Toulouse School of Economics (TSE), revised Oct 2014.
- Gollier, Christian, 2014. "Gamma discounters are short-termist," IDEI Working Papers 828, Institut d'Économie Industrielle (IDEI), Toulouse, revised Oct 2014.
- Dunn, Kenneth B. & Singleton, Kenneth J., 1986.
"Modeling the term structure of interest rates under non-separable utility and durability of goods,"
Journal of Financial Economics, Elsevier, vol. 17(1), pages 27-55, September.
- Kenneth B. Dunn & Kenneth J. Singleton, 1984. "Modeling the Term Structure of Interest Rates Under Nonseparable Utilityand Duriability of Goods," NBER Working Papers 1415, National Bureau of Economic Research, Inc.
- J. Doyne Farmer & John Geanakoplos & Matteo G. Richiardi & Miquel Montero & Josep Perelló & Jaume Masoliver, 2024.
"Discounting the Distant Future: What Do Historical Bond Prices Imply about the Long-Term Discount Rate?,"
Mathematics, MDPI, vol. 12(5), pages 1-25, February.
- Matteo Richiardi & J. Doyne Farmer & John Geanakoplos & Jaume Masoliver & Miquel Montero & Josep Perellò, 2017. "Discounting the distant future: What do historical bond prices imply about the long term discount rate?," LABORatorio R. Revelli Working Papers Series 156, LABORatorio R. Revelli, Centre for Employment Studies.
- J. Doyne Farmer & John Geanakoplos & Matteo G. Richiardi & Miquel Montero & Josep Perell'o & Jaume Masoliver, 2023. "Discounting the distant future: What do historical bond prices imply about the long term discount rate?," Papers 2312.17157, arXiv.org.
- Panagiotis T. Konstantinou, 2005. "The Expectations Hypothesis of the Term Structure : A Look at the Polish Interbank Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 41(3), pages 70-91, May.
- Frachot, Antoine, 1996. "A reexamination of the uncovered interest rate parity hypothesis," Journal of International Money and Finance, Elsevier, vol. 15(3), pages 419-437, June.
- Johannes W. Fedderke & Neryvia Pillay Bell, 2007. "A Theoretically Defensible Measure of Risk: Using Financial Market Data from a Middle Income Context," Working Papers 064, Economic Research Southern Africa.
- Tanweer Akram & Syed Al-Helal Uddin, 2021. "An empirical analysis of long-term Brazilian interest rates," PLOS ONE, Public Library of Science, vol. 16(9), pages 1-20, September.
- repec:adr:anecst:y:1998:i:52:p:01 is not listed on IDEAS
- Bronsard, C. & Rosenwald, F. & Salvas-Bronsard, L., 1994. "Evidence on Corporate Private Debt Finance and the Term Structure of Interest Rates," Cahiers de recherche 9405, Universite de Montreal, Departement de sciences economiques.
- Tzavalis, Elias & Wickens, Michael R, 1997. "Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(3), pages 364-380, August.
- Freeman, Mark C. & Groom, Ben, 2016.
"How certain are we about the certainty-equivalent long term social discount rate?,"
Journal of Environmental Economics and Management, Elsevier, vol. 79(C), pages 152-168.
- Mark C. Freeman & Ben Groom, 2013. "How certain are we about the certainty-equivalent long term social discount rate?," GRI Working Papers 138, Grantham Research Institute on Climate Change and the Environment.
- Freeman, Mark C. & Groom, Ben & Panopoulou, Ekaterini & Pantelidis, Theologos, 2015.
"Declining discount rates and the Fisher Effect: Inflated past, discounted future?,"
Journal of Environmental Economics and Management, Elsevier, vol. 73(C), pages 32-49.
- Mark C. Freeman & Ben Groom & Ekaterini Panopoulou & Theologos Pantelidis, 2013. "Declining discount rates and the Fisher Effect: Inflated past, discounted future?," GRI Working Papers 109, Grantham Research Institute on Climate Change and the Environment.
- Mark C. Greeman & Ben Groom & Ekaterini Panopoulou & Theologos Pantelidis, 2015. "Declining discount rates and the ‘Fisher Effect’: Inflated past, discounted future?," Discussion Paper Series 2015_01, Department of Economics, University of Macedonia, revised Jan 2015.
- Freeman, Mark C. & Groom, Ben & Panopoulou, Ekaterini & Pantelidis, Theologos, 2015. "Declining discount rates and the Fisher Effect: inflated past, discounted future?," LSE Research Online Documents on Economics 64143, London School of Economics and Political Science, LSE Library.
- Bharati, Rakesh & Nanisetty, Prasad & So, Jacky, 2006. "Dynamic gap transformations: Are banks asset - transformers or brokers? or both?," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(1), pages 36-52, February.
- Sanjay K. Nawalkha & Xiaoyang Zhuo, 2020. "A Theory of Equivalent Expectation Measures for Contingent Claim Returns," Papers 2006.15312, arXiv.org, revised May 2022.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:jfinqa:v:23:y:1988:i:01:p:105-110_01. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/jfq .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.