NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Riding the Yield Curve: Reprise

Robin Grieves, Alan J. Marcus

NBER Working Paper No. 3511
Issued in November 1990
NBER Program(s):   ME

We investigate the efficacy of riding the yield curve. This strategy dictates holding longer-term treasury bills when the yield curve is upwardsloping. We find that the strategy is surprisingly effective. it stochastically dominates buying and holding shorter-term bills for large subperiods, and nearly dominates for the entire sample period, 1949-1988. Our empirical results suggest that abnormal profit opportunities are available from selectively increasing the maturity of a short-term portfolio.

download in pdf format
   (211 K)

email paper

This paper is available as PDF (211 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w3511

Published: JPM, Vol. 18, no. 4 (1992): 67-76.

Users who downloaded this paper also downloaded these:
Campbell w5031 Some Lessons from the Yield Curve
Mishkin w3550 Yield Curve
Chinn and Kucko w16398 The Predictive Power of the Yield Curve across Countries and Time
 
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