The Cyclical Behavior of the Term Structure of Interest Rates
Title | The Cyclical Behavior of the Term Structure of Interest Rates PDF eBook |
Author | Reuben A. Kessel |
Publisher | |
Pages | 113 |
Release | 1965 |
Genre | Interest |
ISBN |
Changes in the Cyclical Behavior of Interest Rates
Title | Changes in the Cyclical Behavior of Interest Rates PDF eBook |
Author | Phillip Cagan |
Publisher | |
Pages | 32 |
Release | 1966 |
Genre | Business cycles |
ISBN |
Changes in the Cyclical Behavior of Interest Rates
Title | Changes in the Cyclical Behavior of Interest Rates PDF eBook |
Author | Phillip Cagan |
Publisher | |
Pages | 32 |
Release | 1966 |
Genre | |
ISBN |
Changes in the Cyclical Behavior of Interest Rates. Distributed by Columbia University Press, New York
Title | Changes in the Cyclical Behavior of Interest Rates. Distributed by Columbia University Press, New York PDF eBook |
Author | Phillip Cagan |
Publisher | |
Pages | 32 |
Release | 1966 |
Genre | Business cycles |
ISBN |
The Cyclical Behavior of Interest Rates
Title | The Cyclical Behavior of Interest Rates PDF eBook |
Author | Kenneth Jan Singleton |
Publisher | |
Pages | 34 |
Release | 1976 |
Genre | Interest and usury |
ISBN |
Changes in the Cyclical Behavior of Interest Rates [by] Phillip Cagan
Title | Changes in the Cyclical Behavior of Interest Rates [by] Phillip Cagan PDF eBook |
Author | National Bureau of Economic Research Staff |
Publisher | |
Pages | 40 |
Release | |
Genre | |
ISBN | 9780598229311 |
The Cyclical Behavior of Interest Rates
Title | The Cyclical Behavior of Interest Rates PDF eBook |
Author | Antonio Roma |
Publisher | |
Pages | 0 |
Release | 1997 |
Genre | |
ISBN |
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.