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Long-Term Behavior of Yield Curves / Charles R. Nelson, Andrew F. Siegel.
- Format:
- Book
- Author/Creator:
- Nelson, Charles R.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w1789.
- NBER working paper series no. w1789
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1986.
- 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.
- Notes:
- Print version record
- 1986.
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