NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

The Term Structure of Interest Rates: Evidence and Theory

Angelo Melino

NBER Working Paper No. 1828
Issued in February 1986
NBER Program(s):   ME

The term structure of interest rates is an old topic. Over the years, both the hypotheses debated and the research techniques used have changed considerably. Two fairly recent developments which distinguish current research are the widespread adoption of rational expectations and the integration of the term structure with the general theory of asset pricing. This survey reviews previous work from this perspective. The main objective is to catalog available evidence about term premia and to interpret this evidence in light of alternative models of term premia determination.

download in pdf format
   (369 K)

email paper

This paper is available as PDF (369 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w1828

Published: Journal of Economic Surveys, vol 2, no. 4, pp 335-366. (1988) citation courtesy of

Users who downloaded this paper also downloaded these:
Kessel EXPLANATIONS OF THE TERM STRUCTURE OF INTEREST RATES
Shiller and McCulloch w2341 The Term Structure of Interest Rates
Vayanos and Vila w15487 A Preferred-Habitat Model of the Term Structure of Interest Rates
Kessel The Cyclical Behavior of the Term Structure of Interest Rates
Mishkin w2626 What Does the Term Structure Tell Us About Future Inflation?
 
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