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More on the Short Cycles of Interest Rates

Published online by Cambridge University Press:  19 October 2009

Arie Melnik  and
Alan Kraus
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Extract

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.

Type
Communications
Information
Journal of Financial and Quantitative Analysis , Volume 6 , Issue 3 , June 1971 , pp. 1047 - 1052
Copyright
Copyright © School of Business Administration, University of Washington 1971

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References

[1]Granger, C. W. J., and Hatanaka, M.. Spectral Analysis of Economic Time Series. Princeton, N. J.: Princeton University Press, 1964.Google Scholar
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[3]Mack, Ruth P. “Notes on Subcycles in Theory and Practice.” American Economic Review, May 1957, pp. 161–174.Google Scholar
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