TY  - JOUR
AU  - Shiller,Robert J.
TI  - Conventional Valuation and the Term Structure of Interest Rates
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 1610
PY  - 1985
Y2  - April 1985
UR  - http://www.nber.org/papers/w1610
L1  - http://www.nber.org/papers/w1610.pdf
N1  - Author contact info:
Robert J. Shiller
Yale University, Cowles Foundation
Box 208281
30 Hillhouse Avenue
New Haven, CT  06520-8281
Tel: 203/432-3708
Fax: 203/432-6167
E-Mail: robert.shiller@yale.edu
AB  - There does not appear to be a general tendency for long-term interest rates either to overreact or to underreact to short-term interest rates relative to a rational expectations model of the term structure. Rather, there appears to be some tendency for markets to set long-term interest rates in terms of a convention or rule of thumb that makes long rates behave as a distributed lag, with gradually declining coefficients, of short-term interest rates. People seem to remember the recent past but blur the mare distant. In some monetary policy regimes this convention implies overreaction, in others underreaction.
ER  -