Term structure economics from A to B
AbstractThe interest rates for bonds of different maturities are related, but the interplay of factors that influence these rates is not easy to tease apart. The author leads the reader through the development of a model of the term structure of interest rates, then works with the model to provide some insights into the interplay of factors, especially the effect of uncertainty on interest rates. His analysis shows how a common simplification known as the expectations hypothesis obscures the significant contribution that uncertainty can make to the determination of interest rates.
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Bibliographic InfoArticle provided by Federal Reserve Bank of Cleveland in its journal Economic Review.
Volume (Year): (1999)
Issue (Month): Q III ()
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- Pamela Labadie, 1991.
"The term structure of interest rates over the business cycle,"
Finance and Economics Discussion Series
159, Board of Governors of the Federal Reserve System (U.S.).
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- Campbell, John, 1986.
"Bond and Stock Returns in a Simple Exchange Model,"
3122544, Harvard University Department of Economics.
- Sun, Tong-sheng, 1992. "Real and Nominal Interest Rates: A Discrete-Time Model and Its Continuous-Time Limit," Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 581-611.
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