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The origins of yield curve theory: Irving Fisher and John Maynard Keynes

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  • BRILLANT, Lucy

Abstract

The purpose of the paper is to rescue Irving Fisher’s theorizing of the yield curve (1896, 1907, 1930) from relative obscurity and to contrast it with the better known and equally pioneering theory of John Maynard Keynes (1930, 1936). The paper also adduces evidence that Fed economists and the U.S. monetary experience in the 1920s greatly influenced these authors, both of whom were concerned with the management of the long-term interest rate.

Suggested Citation

  • BRILLANT, Lucy, 2024. "The origins of yield curve theory: Irving Fisher and John Maynard Keynes," SocArXiv 9hf8z, Center for Open Science.
    • Handle: RePEc:osf:socarx:9hf8z
    DOI: 10.31219/osf.io/9hf8z
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    References listed on IDEAS

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    1. Robert W. Dimand, 1999. "Irving Fisher and the Fisher Relation: Setting the Record Straight," Canadian Journal of Economics, Canadian Economics Association, vol. 32(3), pages 744-750, May.
    2. J. M. Culbertson, 1957. "The Term Structure of Interest Rates," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 71(4), pages 485-517.
    3. Brillant, Lucy, 2018. "Limits To Arbitrage And Interest Rates: A Debate Among Keynes, Hawtrey, And Hicks," Journal of the History of Economic Thought, Cambridge University Press, vol. 40(3), pages 335-351, September.
    4. Aspromourgos, Tony, 2018. "Keynes, Public Debt, And The Complex Of Interest Rates," Journal of the History of Economic Thought, Cambridge University Press, vol. 40(4), pages 493-512, December.
    5. R. G. Hawtrey, 1939. "Interest and Bank Rate," Manchester School, University of Manchester, vol. 10(2), pages 144-152, December.
    6. Robert W. Dimand & Rebeca Gomez Betancourt, 2012. "Retrospectives: Irving Fisher's Appreciation and Interest (1896) and the Fisher Relation," Journal of Economic Perspectives, American Economic Association, vol. 26(4), pages 185-196, Fall.
    7. Milton Friedman & Anna J. Schwartz, 1963. "A Monetary History of the United States, 1867–1960," NBER Books, National Bureau of Economic Research, Inc, number frie63-1, May.
    8. Robert W. Dimand, 2014. "James Tobin and Modern Monetary Theory," Center for the History of Political Economy Working Paper Series 2014-5, Center for the History of Political Economy.
    9. Nicholas Kaldor, 1939. "Speculation and Economic Stability," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 7(1), pages 1-27.
    10. Benninga, Simon & Protopapadakis, Aris, 1983. "Real and Nominal Interest Rates under Uncertainty: The Fisher Theorem and the Term Structure," Journal of Political Economy, University of Chicago Press, vol. 91(5), pages 856-867, October.
    11. Lucy Brillant, 2018. "Limits to Arbitrage and Interest Rates: a Debate Between Keynes, Hawtrey and Hicks," Post-Print hal-01696253, HAL.
    12. Luca Fantacci & Maria Cristina Marcuzzo & Eleonora Sanfilippo, 2014. "A note on the notions of risk-premium and liquidity-premium in Hicks's and Keynes's analyses of the term structure of interest rates," The European Journal of the History of Economic Thought, Taylor & Francis Journals, vol. 21(6), pages 1102-1108, December.
    13. Don Patinkin, 1993. "Irving Fisher and his compensated dollar plan," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 1-34.
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