The Cyclical Behavior of the Term Structure of Interest Rates PDF Download
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Author: Reuben A. Kessel
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 132
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Author: Reuben A. Kessel
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 132
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Book Description
Author: Kenneth Jan Singleton
Publisher:
ISBN:
Category :
Languages : en
Pages : 190
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Author: Reuben A. Kessel
Publisher:
ISBN: 9780598269607
Category :
Languages : en
Pages : 125
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Author: Antonio Roma
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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This paper investigates the behavior of the term structure of interest rates over the business cycle. In contrast to prior studies that measure the business cycle by the simple growth in aggregate economic activity, we consider an alternative measure: the deviation of aggregate economic activity from its potentially stochastic trend. We show that incorporating both an independent trend and cyclical component in consumption improves the efficiency in estimating consumption-based asset pricing models. We also find that the term spread is more informative about future changes in stochastically detrended real gross domestic product (GDP) than future growth rates in real GDP.
Author: Reuben A. Kessel
Publisher:
ISBN:
Category :
Languages : en
Pages : 113
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Author: Scott Taylor Jones
Publisher:
ISBN:
Category : Business cycles
Languages : en
Pages : 194
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Author: Phillip Cagan
Publisher:
ISBN:
Category : Business cycles
Languages : en
Pages : 48
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Author: Phillip Cagan
Publisher:
ISBN:
Category :
Languages : en
Pages : 32
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Author: Kenneth Jan Singleton
Publisher:
ISBN:
Category : Interest and usury
Languages : en
Pages : 34
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Author: Phillip Cagan
Publisher:
ISBN:
Category : Business cycles
Languages : en
Pages : 32
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