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- W3125271175 abstract "Recent studies have documented the existence of a in the term structure of interest rates: spreads between long maturity rates and short rates predict subsequent movements in interest rates provided the long horizon is three months or less or if the long horizon is two years or more, but not for intermediate maturities. Accounts for portions of the smile involve interest rate smoothing by the Fed, time-varying risk premia, Peso problems, and measurement error. We take a more nearly general equilibrium approach to explaining this phenomenon and show that despite its highly restrictive nature, the Cox-Ingersoll-Ross (1985) model of the term structure can account for the predictability smile." @default.
- W3125271175 created "2021-02-01" @default.
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- W3125271175 date "1996-10-01" @default.
- W3125271175 modified "2023-09-28" @default.
- W3125271175 title "Endogenous Term Premia and Anomalies in the Term Structure of Interest Rates: Explaining the Predictability Smile" @default.
- W3125271175 hasPublicationYear "1996" @default.
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