Long-Term Behavior of Yield Curves:
The flattening of yield curves at long-term maturities is proven to be approximately proportional to the reciprocal of the time to maturity under general conditions. This is a consequence of the persistence of earlier forward rates in the averaging process which produces yields from forward rates. T...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge, Mass.
National Bureau of Economic Research
1986
|
| Series: | NBER Working paper series
Nr. 1789 |
| Subjects: | |
| Summary: | The flattening of yield curves at long-term maturities is proven to be approximately proportional to the reciprocal of the time to maturity under general conditions. This is a consequence of the persistence of earlier forward rates in the averaging process which produces yields from forward rates. This relationship suggests the use of a"reciprocal maturity yield curve" which significantly facilitates the interpretation of the behavior of long-term yields by linearizing them for display over a shorter interval. This is illustrated using a yield curve for U.S. Treasury bills |
| Physical Description: | 8 S |
Staff View
MARC
| LEADER | 00000nam a2200000 cb4500 | ||
|---|---|---|---|
| 001 | BV043452074 | ||
| 003 | DE-604 | ||
| 005 | 00000000000000.0 | ||
| 007 | t | ||
| 008 | 160311s1986 |||| 00||| eng d | ||
| 035 | |a (OCoLC)959288163 | ||
| 035 | |a (DE-599)BVBBV043452074 | ||
| 040 | |a DE-604 |b ger |e rakwb | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-188 | ||
| 100 | 1 | |a Siegel, Andrew F. |d 1950- |e Verfasser |0 (DE-588)129753777 |4 aut | |
| 245 | 1 | 0 | |a Long-Term Behavior of Yield Curves |c Charles R. Nelson, Andrew F. Siegel |
| 264 | 1 | |a Cambridge, Mass. |b National Bureau of Economic Research |c 1986 | |
| 300 | |a 8 S | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a NBER Working paper series |v Nr. 1789 | |
| 520 | |a The flattening of yield curves at long-term maturities is proven to be approximately proportional to the reciprocal of the time to maturity under general conditions. This is a consequence of the persistence of earlier forward rates in the averaging process which produces yields from forward rates. This relationship suggests the use of a"reciprocal maturity yield curve" which significantly facilitates the interpretation of the behavior of long-term yields by linearizing them for display over a shorter interval. This is illustrated using a yield curve for U.S. Treasury bills | ||
| 650 | 4 | |a Interest rates / Mathematical models | |
| 650 | 4 | |a Treasury bills / Mathematical models | |
| 650 | 7 | |a Interest rates / Mathematical models |2 fast | |
| 650 | 7 | |a Treasury bills / Mathematical models |2 fast | |
| 650 | 4 | |a Mathematisches Modell | |
| 700 | 1 | |a Nelson, Charles R. |e Verfasser |4 aut | |
| 830 | 0 | |a NBER Working paper series |v Nr. 1789 |w (DE-604)BV002801238 |9 Nr. 1789 | |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-028869459 | ||
Record in the Search Index
| _version_ | 1804176061326426112 |
|---|---|
| any_adam_object | |
| author | Siegel, Andrew F. 1950- Nelson, Charles R. |
| author_GND | (DE-588)129753777 |
| author_facet | Siegel, Andrew F. 1950- Nelson, Charles R. |
| author_role | aut aut |
| author_sort | Siegel, Andrew F. 1950- |
| author_variant | a f s af afs c r n cr crn |
| building | Verbundindex |
| bvnumber | BV043452074 |
| ctrlnum | (OCoLC)959288163 (DE-599)BVBBV043452074 |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01764nam a2200349 cb4500</leader><controlfield tag="001">BV043452074</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">00000000000000.0</controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">160311s1986 |||| 00||| eng d</controlfield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)959288163</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV043452074</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-188</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Siegel, Andrew F.</subfield><subfield code="d">1950-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)129753777</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Long-Term Behavior of Yield Curves</subfield><subfield code="c">Charles R. Nelson, Andrew F. Siegel</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Cambridge, Mass.</subfield><subfield code="b">National Bureau of Economic Research</subfield><subfield code="c">1986</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">8 S</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">NBER Working paper series</subfield><subfield code="v">Nr. 1789</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">The flattening of yield curves at long-term maturities is proven to be approximately proportional to the reciprocal of the time to maturity under general conditions. This is a consequence of the persistence of earlier forward rates in the averaging process which produces yields from forward rates. This relationship suggests the use of a"reciprocal maturity yield curve" which significantly facilitates the interpretation of the behavior of long-term yields by linearizing them for display over a shorter interval. This is illustrated using a yield curve for U.S. Treasury bills</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Interest rates / Mathematical models</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Treasury bills / Mathematical models</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Interest rates / Mathematical models</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Treasury bills / Mathematical models</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Mathematisches Modell</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Nelson, Charles R.</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="830" ind1=" " ind2="0"><subfield code="a">NBER Working paper series</subfield><subfield code="v">Nr. 1789</subfield><subfield code="w">(DE-604)BV002801238</subfield><subfield code="9">Nr. 1789</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-028869459</subfield></datafield></record></collection> |
| id | DE-604.BV043452074 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:26:11Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028869459 |
| oclc_num | 959288163 |
| open_access_boolean | |
| owner | DE-188 |
| owner_facet | DE-188 |
| physical | 8 S |
| publishDate | 1986 |
| publishDateSearch | 1986 |
| publishDateSort | 1986 |
| publisher | National Bureau of Economic Research |
| record_format | marc |
| series | NBER Working paper series |
| series2 | NBER Working paper series |
| spelling | Siegel, Andrew F. 1950- Verfasser (DE-588)129753777 aut Long-Term Behavior of Yield Curves Charles R. Nelson, Andrew F. Siegel Cambridge, Mass. National Bureau of Economic Research 1986 8 S txt rdacontent n rdamedia nc rdacarrier NBER Working paper series Nr. 1789 The flattening of yield curves at long-term maturities is proven to be approximately proportional to the reciprocal of the time to maturity under general conditions. This is a consequence of the persistence of earlier forward rates in the averaging process which produces yields from forward rates. This relationship suggests the use of a"reciprocal maturity yield curve" which significantly facilitates the interpretation of the behavior of long-term yields by linearizing them for display over a shorter interval. This is illustrated using a yield curve for U.S. Treasury bills Interest rates / Mathematical models Treasury bills / Mathematical models Interest rates / Mathematical models fast Treasury bills / Mathematical models fast Mathematisches Modell Nelson, Charles R. Verfasser aut NBER Working paper series Nr. 1789 (DE-604)BV002801238 Nr. 1789 |
| spellingShingle | Siegel, Andrew F. 1950- Nelson, Charles R. Long-Term Behavior of Yield Curves NBER Working paper series Interest rates / Mathematical models Treasury bills / Mathematical models Interest rates / Mathematical models fast Treasury bills / Mathematical models fast Mathematisches Modell |
| title | Long-Term Behavior of Yield Curves |
| title_auth | Long-Term Behavior of Yield Curves |
| title_exact_search | Long-Term Behavior of Yield Curves |
| title_full | Long-Term Behavior of Yield Curves Charles R. Nelson, Andrew F. Siegel |
| title_fullStr | Long-Term Behavior of Yield Curves Charles R. Nelson, Andrew F. Siegel |
| title_full_unstemmed | Long-Term Behavior of Yield Curves Charles R. Nelson, Andrew F. Siegel |
| title_short | Long-Term Behavior of Yield Curves |
| title_sort | long term behavior of yield curves |
| topic | Interest rates / Mathematical models Treasury bills / Mathematical models Interest rates / Mathematical models fast Treasury bills / Mathematical models fast Mathematisches Modell |
| topic_facet | Interest rates / Mathematical models Treasury bills / Mathematical models Mathematisches Modell |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT siegelandrewf longtermbehaviorofyieldcurves AT nelsoncharlesr longtermbehaviorofyieldcurves |