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87 (December 1979), pp.

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Curses on surface parallel to in axis show the term structure for various years.

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of Long-Term Interest Rates and Expectations Models of the Term Structure," Journal of Political Economy, vol. 0000023791 00000 n <>stream 0000000676 00000 n

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0000003513 00000 n In Section 3, we derive and analyze a model which leads to a single factor description of the term structure.

0000004869 00000 n <>/PageLabels<> 1<. INTEREST RATES 387 The plan of our paper is as follows. 0000001393 00000 n The yield curve plots the relationship between interest rates (long-term rates and short-term rates) and terms to maturity. Because, economists and investors believe that the shape of the yield curve reflects the market's future

uuid:0ad4a231-1dd2-11b2-0a00-f0acffffb0ad The term structure of interest rates is a very important research area for economists. 0000003033 00000 n The contribution of this article is the exposition; the article presents no new results from the literature. �X�l��Br%��ѯ�Ni�CmBK@��K��hT05?���-��p�B����'u׸ԟ���� AS����w3�1F�:t��'��B@Г�K�{0H'�{��g�R��0>eR›�������� ���q�^'�"�}�?%ܰ ��3>~�������n��2]H�aH%6�s|�'�M�0 �52Hľcqzv�6�#9���9[T#�~RX��� 0000014911 00000 n 0000001651 00000 n ‘Term structure theories are traditionally stated in terms of nominal or money interest rates. en of June, 1948-85.

Data describe historical changes of American Treasury bill rates with maturities 6 and 12 months as well as American bond yields with maturities 2, 3, 5, 7, 10 and 30 year. 9D�N��l��k�uz��v���?8$,|-S�f>�R������P{U���O�ta������e�X96Mv��1u ��R�Q��Bga3�ު]Y ��?P��lWJ���1/Ю��� n�z����ņ͓0ٮ��z�b��"�@��5��$\v(��ht2�*���qG �:+�LJr��

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Data plotted are par bond yields to maturity, r (t,t+in), against time tand term in, annual data. xref 0000002282 00000 n

Mishkin (1991) and Jorion and Mishkin (1991) use international data. 1See Fama (1975, 1990) and Mishkin (1981, 1990a, 1992) for studies on inflation expectations and the term structure of interest rates using U.S. data. %PDF-1.4 %���� Elsewhere one may find 0000002126 00000 n

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z. Section 2 summarizes the equilibrium model developed in Cox, Ingersoll, and Ross [6] and specializes it for studying the term structure. 0000001312 00000 n %���� 0000001531 00000 n This paper studies the impact of time to build on the term structure of interest rates in an otherwise standard Cox, Ingersoll and Ross (1985a, 1985b, CIR) production economy.

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term structure of interest rates in a discrete-time setting and to do so in a way that is largely inde-pendent of the time step.

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Section 4 shows how this model 1 0 obj 0000013291 00000 n 0 2012-02-03T03:03:38-05:00

109 0 obj <>stream %PDF-1.6 0000003591 00000 n ɐ4;O)��DOZ@��98��' Ya We can ask ourselves that what makes the term structure of interest rates so important.

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2012-02-03T03:03:38-05:00 Adobe PDF Library 7.0 0000000016 00000 n


1 The Term Structure of Interest Rates • The term structure of interest rate is the relationship between the term to maturity and the yield to maturity (YTM) for bonds similar in all respects except their maturities. 0000002783 00000 n

Curves on surface parallel to t axis show pa: %PDF-1.2 structure they need to know the sign and magnitude of the term premia embedded in interest rates. 91 19

0000003268 00000 n <<3882C019A17FA14D8B8D67A10B5A143C>]>> Term structure of interest rate data, are provided by the Federal Reserve statistical release. 1190-1219; Robert J. Shiller, John Y. The Term Structure of Interest Rates.



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