Advanced Search
MyIDEAS: Login

Long Forward and Zero-Coupon Rates Can Never Fall

Contents:

Author Info

  • Jonathan E. Ingersoll Jr.

    ()
    (School of Management)

  • Philip H. Dybvig

    ()
    (John M. Olin School of Business)

  • Stephen A. Ross

    ()
    (Sloan School of Management)

Abstract

In frictionless markets having no arbitrage, the asymptotic zero-coupon rate never falls. The same is true of the long forward rate. The long par-coupon rate can rise and fall due to forward rate movements at short maturities. This paper relates the three types of interest rate and formalizes and proves the impossibility results for falling asymptotic rates. These results can be tested in a parametric term structure specification that is rich enough to identify a time series of long rates. The results show that it is not possible to specify arbitrarily the long forward or zero-coupon rate process.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=6765
Our checks indicate that this address may not be valid because: 503 Service Unavailable. If this is indeed the case, please notify ()
Download Restriction: no

Bibliographic Info

Paper provided by Yale School of Management in its series Yale School of Management Working Papers with number ysm45.

as in new window
Length:
Date of creation: 22 Aug 1998
Date of revision:
Handle: RePEc:ysm:somwrk:ysm45

Contact details of provider:
Web page: http://icf.som.yale.edu/
More information through EDIRC

Related research

Keywords:

Other versions of this item:

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ysm:somwrk:ysm45. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().

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 references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.