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- W3125232502 abstract "Recent empirical research on the term structure of interest rates has shown that the long-term interest rate is well described by adistributed lag on short-term interest rates, but does not conform to the expectations theory of the term structure. It has been suggested that the long rate overreacts to the short rate. This paper presents aunified taxonomy of risk premia, or deviations from the expectations theory. This enables the hypothesis of overreaction to be formally stated. It is shown that, if anything, the long rate has underreacted to the short rate. However, the independent movement of the long rate is primarily responsible for the failure of the expectations theory." @default.
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- W3125232502 date "1983-09-01" @default.
- W3125232502 modified "2023-10-12" @default.
- W3125232502 title "A Simple Account of the Behavior of Long-Term Interest Rates" @default.
- W3125232502 hasPublicationYear "1983" @default.
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