The Term Structure of Interest Rates: Evidence and Theory

62 Pages Posted: 16 Jul 2004 Last revised: 1 Jan 2023

Date Written: February 1986

Abstract

The term structure of interest rates is an old topic. Over the years, both the hypotheses debated and the research techniques used have changed considerably. Two fairly recent developments which distinguish current research are the widespread adoption of rational expectations and the integration of the term structure with the general theory of asset pricing. This survey reviews previous work from this perspective. The main objective is to catalog available evidence about term premia and to interpret this evidence in light of alternative models of term premia determination.

Suggested Citation

Melino, Angelo, The Term Structure of Interest Rates: Evidence and Theory (February 1986). NBER Working Paper No. w1828, Available at SSRN: https://ssrn.com/abstract=227177

Angelo Melino (Contact Author)

University of Toronto ( email )

Department of Economics
Toronto, Ontario M5S 3E6
Canada
(416)978-6541 (Phone)
(416)978-6713 (Fax)