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The Review of Economic Studies

Опубликовано на портале: 16-11-2007
John Y. Campbell, Robert J. Shiller The Review of Economic Studies. 1991.  Vol. 58. No. 3. P. 495-514. 
This paper examines postwar U.S. term structure data and finds that for almost any combination of maturities between one month and ten years, a high yield spread between a longer-term and a shorter-term interest rate forecasts rising shorter-term interest rates over the long term, but a declining yield on the longer-term bond over the short term. This pattern is inconsistent with the expectations theory of the term structure, but is consistent with a model in which the spread is proportional to the value implied by the expectations theory.
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