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More on the Short Cycles of Interest Rates
Published online by Cambridge University Press: 19 October 2009
Extract
In an article published earlier in this journal [4], we studied the term structure of interest fates in a dynamic context. Instead of focusing on the yield curve at a point in time, we investigated the joint movement of short and long-term interest rates through time. We compared the cyclical behavior of the ninety-day Treasury bill rate and the ten-year U.S. government bond rate by using cross-spectral analysis. The data used for the analysis were obtained from regression-fitted yield curves. These fitted yield curves enabled us to obtain the monthly yields of securities of prespecified term to maturity. The derivation was done in a precise manner which at the same time is in line with most of the previous term structure studies.
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- Copyright © School of Business Administration, University of Washington 1971
References
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