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Expectations and the term structure of interest rates

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  • Anonymous

    (Reserve Bank of New Zealand)

Abstract

A discussion aimed at students of economics, of evidence on the determinants of interest rates and yield curve.

Suggested Citation

  • Anonymous, 1993. "Expectations and the term structure of interest rates," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 56, December.
    • Handle: RePEc:nzb:nzbbul:december1993:4
    as

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    File URL: http://www.rbnz.govt.nz/-/media/ReserveBank/Files/Publications/Bulletins/1993/1993dec56-4Economics.pdf
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    References listed on IDEAS

    as
    1. Melino, Angelo, 1988. "The Term Structure of Interest Rates: Evidence and Theory," Journal of Economic Surveys, Wiley Blackwell, vol. 2(4), pages 335-366.
    2. MacDonald, Ronald & Speight, Alan E H, 1988. "The Term Structure of Interest Rates in the UK," Bulletin of Economic Research, Wiley Blackwell, vol. 40(4), pages 287-299, October.
    3. N. Gregory Mankiw & Lawrence H. Summers, 1984. "Do Long-Term Interest Rates Overreact to Short-Term Interest Rates?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 15(1), pages 223-248.
    4. repec:bla:jfinan:v:44:y:1989:i:2:p:283-305 is not listed on IDEAS
    5. Dua, Pami, 1991. "Survey evidence on the term structure of interest rates," Journal of Economics and Business, Elsevier, vol. 43(2), pages 133-142, May.
    6. Frederick R. Macaulay, 1938. "Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yields and Stock Prices in the United States since 1856," NBER Books, National Bureau of Economic Research, Inc, number maca38-1.
    7. Zuliu Hu, 1993. "The Yield Curve and Real Activity," IMF Working Papers 1993/019, International Monetary Fund.
    8. Taylor, Mark P, 1992. "Modelling the Yield Curve," Economic Journal, Royal Economic Society, vol. 102(412), pages 524-537, May.
    9. Shiller, Robert J. & Huston McCulloch, J., 1990. "The term structure of interest rates," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 13, pages 627-722, Elsevier.
    10. Shea, Gary S, 1992. "Benchmarking the Expectations Hypothesis of the Interest-Rate Term Structure: An Analysis of Cointegration Vectors," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 347-366, July.
    11. N. Gregory Mankiw, 1986. "The Term Structure of Interest Rates Revisited," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 17(1), pages 61-110.
    12. Robert J. Shiller & John Y. Campbell & Kermit L. Schoenholtz, 1983. "Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 14(1), pages 173-224.
    13. repec:cdl:ucsbec:13-89 is not listed on IDEAS
    14. Shiller, Robert J, 1979. "The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure," Journal of Political Economy, University of Chicago Press, vol. 87(6), pages 1190-1219, December.
    15. Fama, Eugene F., 1990. "Term-structure forecasts of interest rates, inflation and real returns," Journal of Monetary Economics, Elsevier, vol. 25(1), pages 59-76, January.
    16. Lucas, Robert Jr., 1972. "Expectations and the neutrality of money," Journal of Economic Theory, Elsevier, vol. 4(2), pages 103-124, April.
    17. John Y. Campbell & Robert J. Shiller, 1991. "Yield Spreads and Interest Rate Movements: A Bird's Eye View," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(3), pages 495-514.
    18. Friedman, Benjamin M, 1979. "Interest Rate Expectations versus Forward Rates: Evidence from an Expectations Survey," Journal of Finance, American Finance Association, vol. 34(4), pages 965-973, September.
    19. LeRoy, Stephen F, 1989. "Efficient Capital Markets and Martingales," Journal of Economic Literature, American Economic Association, vol. 27(4), pages 1583-1621, December.
    20. Zuliu Hu, 1993. "The Yield Curve and Real Activity," IMF Staff Papers, Palgrave Macmillan, vol. 40(4), pages 781-806, December.
    21. Fama, Eugene F & Bliss, Robert R, 1987. "The Information in Long-Maturity Forward Rates," American Economic Review, American Economic Association, vol. 77(4), pages 680-692, September.
    22. De Bondt, Werner F. M. & Bange, Mary M., 1992. "Inflation Forecast Errors and Time Variation in Term Premia," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(4), pages 479-496, December.
    23. Pesando, James E, 1975. "Determinants of Term Premiums in the Market for United States Treasury Bills," Journal of Finance, American Finance Association, vol. 30(5), pages 1317-1327, December.
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    2. Andrew Fung & Bryan Chapple, 1994. "The yield curve as an indicator of monetary conditions," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 57, March.

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