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Expectations, Bond Prices, and the Term Structure of Interest Rates

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  • Burton G. Malkiel

Abstract

Introduction, 197. — The mathematics of bond prices, 199. — Expectations and the term structure of rates, 206. — Altering some of the assumptions, 214. Concluding remarks, 218.

Suggested Citation

  • Burton G. Malkiel, 1962. "Expectations, Bond Prices, and the Term Structure of Interest Rates," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 76(2), pages 197-218.
    • Handle: RePEc:oup:qjecon:v:76:y:1962:i:2:p:197-218.
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    File URL: http://hdl.handle.net/10.2307/1880816
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    Cited by:

    1. Marc Flandreau & Kim Oosterlinck, 2011. "Was the Emergence of the International Gold Standard Expected? Melodramatic Evidence from Indian Government Securities," Working Papers 0005, European Historical Economics Society (EHES).
    2. Lassaâd Mbarek & Hardik A. Marfatia & Sonja Juko, 2018. "Time-varying Response of Treasury Yields to Monetary Policy Shocks: Evidence from the Tunisian Bond Market," Working Papers 1243, Economic Research Forum, revised 23 Oct 2018.
    3. Bachar Fakhry & Christian Richter, 2018. "Does the Federal Constitutional Court Ruling Mean the German Financial Market is Efficient?," European Journal of Business Science and Technology, Mendel University in Brno, Faculty of Business and Economics, vol. 4(2), pages 111-125.
    4. Andrea J. Heuson & Dennis J. Lasser, 1990. "Tax-Timing Options And The Pricing Of Government Bonds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 13(2), pages 93-103, June.
    5. Emma Berenguer-Carceles & Ricardo Gimeno & Juan M. Nave, 2012. "Estimation of the Term Structure of Interest Rates: Methodology and Applications," Working Papers 12.06, Universidad Pablo de Olavide, Department of Financial Economics and Accounting (former Department of Business Administration).
    6. repec:hal:spmain:info:hdl:2441/5221 is not listed on IDEAS
    7. Bruno Ducoudre, 2008. "Structure par terme des taux d’intérêt et anticipations de la politique économique," Sciences Po publications info:hdl:2441/5221, Sciences Po.
    8. Flandreau, Marc & Oosterlinck, Kim, 2012. "Was the emergence of the international gold standard expected? Evidence from Indian Government securities," Journal of Monetary Economics, Elsevier, vol. 59(7), pages 649-669.
    9. Emmanuelle Clément & Christian Gourieroux & Alain Monfort, 1995. "Linear Factor Models and the Term Structure of Interest Rates," Annals of Economics and Statistics, GENES, issue 40, pages 37-65.
    10. Teplova, Tamara V. & Rodina, Victoria A., 2021. "The reinvestment risk premium in the valuation of British and Russian government bonds," Research in International Business and Finance, Elsevier, vol. 55(C).
    11. Miles Livingston, 1987. "Flattening Of Bond Yield Curves," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(1), pages 17-24, March.
    12. Bachar Fakhry & Christian Richter, 2015. "Is the sovereign debt market efficient? Evidence from the US and German sovereign debt markets," International Economics and Economic Policy, Springer, vol. 12(3), pages 339-357, September.
    13. Duane Stock, 1982. "Empirical Analysis Of Municipal Bond Portfolio Structure And Performance," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 5(2), pages 171-180, June.
    14. Gary Anderson & Raymond Chiang, 1987. "Interest Rate Risk Hedging For Due-On-Sale Mortgages With Early Termination," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(2), pages 133-142, June.

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