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- Title
Spectral Analysis of the Term Structure of Interest Rates.
- Authors
Granger, C.W.J.; Rees, H.J.B.
- Abstract
In this paper we examine how the rate of return on a bond of specific maturity changes through time and how the rates for bonds of different lengths of maturity appear to be interrelated. The study is mainly descriptive and does not attempt to construct a complete model of the system. It is hoped that by isolating certain characteristics of the bond market, comments can be made concerning the adequacy of current theories of the term structure and relationships will be found that future theories will need to explain.
- Subjects
BONDS (Finance); ECONOMETRICS; RATE of return; BOND market; MATHEMATICAL decomposition; MATURITY (Finance); RATES; CAPITAL market; PROFIT
- Publication
Review of Economic Studies, 1968, Vol 35, Issue 1, p67
- ISSN
0034-6527
- Publication type
Article
- DOI
10.2307/2974408