Journal of Financial and Quantitative Analysis Vol. 6 No. 3 1971
More on the Short Cycles of Interest Rates
Abstract
In an article published earlier in this journal [4], we studied the term structure of interest fates in a dynamic context. Instead of focusing on the yield curve at a point in time, we investigated the joint movement of short and long-term interest rates through time. We compared the cyclical behavior of the ninety-day Treasury bill rate and the ten-year U.S. government bond rate by using cross-spectral analysis. The data used for the analysis were obtained from regression-fitted yield curves. These fitted yield curves enabled us to obtain the monthly yields of securities of prespecified term to maturity. The derivation was done in a precise manner which at the same time is in line with most of the previous term structure studies.
- DOI
- 10.2307/2329921
- Volume
- 6
- Issue
- 3
- Pages
- 1047
- Sources
- openalex crossref