NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Long-Term Behavior of Yield Curves

Charles R. Nelson, Andrew F. Siegel

NBER Working Paper No. 1789
Issued in 1986
NBER Program(s):   ME

The flattening of yield curves at long-term maturities is proven to be approximately proportional to the reciprocal of the time to maturity under general conditions. This is a consequence of the persistence of earlier forward rates in the averaging process which produces yields from forward rates. This relationship suggests the use of a"reciprocal maturity yield curve" which significantly facilitates the interpretation of the behavior of long-term yields by linearizing them for display over a shorter interval. This is illustrated using a yield curve for U.S.Treasury bills.

download in pdf format
   (62 K)

email paper

This paper is available as PDF (62 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w1789

Published: Nelson, Charles R. and Andrew F. Seigel. "Long-Term Behavior of Yield Curves," Journal of Financial and Quantitative Analysis, Vol. 23, No. 1, March 1988, pp. 105-110. citation courtesy of

Users who downloaded this paper also downloaded these:
Nelson and Siegel w1594 Parsimoneous Modeling of Yield Curves for U.S. Treasury Bills
Campbell w5031 Some Lessons from the Yield Curve
Mishkin w3550 Yield Curve
Diebold, Li, and Yue w13588 Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach
Ang, Piazzesi, and Wei w10672 What Does the Yield Curve Tell us about GDP Growth?
 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us