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Spectral Analysis of the Term Structure of Interest Rates

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  • C. W. J. Granger
  • H. J. B. Rees

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  • C. W. J. Granger & H. J. B. Rees, 1968. "Spectral Analysis of the Term Structure of Interest Rates," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 35(1), pages 67-76.
    • Handle: RePEc:oup:restud:v:35:y:1968:i:1:p:67-76.
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    File URL: http://hdl.handle.net/10.2307/2974408
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    Cited by:

    1. Feng Zhu, 2016. "Understanding the changing equilibrium real interest rates in Asia-Pacific," BIS Working Papers 567, Bank for International Settlements.
    2. Pedro H. Albuquerque, 2020. "Optimal Time Interval Selection in Long-Run Correlation Estimation," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(1), pages 53-79, March.
    3. Feng Zhu, 2005. "The fragility of the Phillips curve: A bumpy ride in the frequency domain," BIS Working Papers 183, Bank for International Settlements.
    4. Assenmacher-Wesche, Katrin & Gerlach, Stefan, 2008. "The term structure of interest rates across frequencies," Working Paper Series 976, European Central Bank.
    5. Lim, G C & Martin, Vance L, 1994. "A Spectral-Temporal Index with an Application to U.S. Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(1), pages 81-93, January.
    6. Gary S. Shea, 1985. "Long memory models of interest rates, the term structure, and variance bounds tests," International Finance Discussion Papers 258, Board of Governors of the Federal Reserve System (U.S.).

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