NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

The Term Structure of Interest Rates

Robert J. Shiller, J. Huston McCulloch

NBER Working Paper No. 2341
Issued in August 1987
NBER Program(s):   ME

This paper consolidates and interprets the literature on the term structure, as it stands today. Definitions of rates of return, forward rates and holding returns for all time intervals are treated here in a uniform manner and their interrelations, exact or approximate, delineated. The concept of duration is used throughout to simplify mathematical expressions. Continuous compounding is used where possible, to avoid arbitrary distinctions based on compounding assumptions. Both the theoretical and the empirical literature are treated. The attached tables by J. Huston McCulloch give term structure data for U. S. government securities 1946-1987. The tables give discount bond yields, forward rates and par bond yields as defined in the paper. The data relate to the concepts in the paper more precisely than does any previously published data series.

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Document Object Identifier (DOI): 10.3386/w2341

Published:

  • Benjamin Friedman and Frank Hahn, eds., Handbook of Monetary Economics, North Holland 1980
  • Shiller, Robert J. & Huston McCulloch, J., 1990. "The term structure of interest rates," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 13, pages 627-722 Elsevier.
  • The Term Structure of Interest Rates, Joseph W. Conard. in The Behavior of Interest Rates: A Progress Report, Conard. 1966

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