Working Paper: NBER ID: w1828
Authors: Angelo Melino
Abstract: 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.
Keywords: term structure; interest rates; term premia; rational expectations
JEL Codes: E43; G12
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| central bank actions (E58) | short-term interest rates (E43) |
| term premia (G19) | bond pricing (G12) |
| maturity (D25) | term premia (G19) |
| expectations about future short rates (E43) | yield curve (E43) |
| information arrival (D83) | yield adjustments (G12) |
| holding premia on long bonds (E43) | spread between long and short rates (E43) |