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- W227714977 abstract "Theoretical considerations in Dybvig, Ingersoll, and Ross (1996) lead them to conclude that long forward and zero-coupon rates can never fall. We examine this conjecture empirically using monthly U.S. Treasury STRIPS data over the period 1990-2000. Based on the Cox, Ingersoll, and Ross (1985) term structure model and a constant-drift adaptation of that model, we find that, contrary to predictions, implied long maturity zero-coupon rates did fall substantially during the last half of this period." @default.
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- W227714977 date "2006-03-01" @default.
- W227714977 modified "2023-09-23" @default.
- W227714977 title "Do Long Interest Rates Ever Fall" @default.
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