The Term Structure of Interest Rates

120 Pages Posted: 16 Jul 2004 Last revised: 26 Nov 2022

See all articles by Robert J. Shiller

Robert J. Shiller

Yale University - Cowles Foundation; National Bureau of Economic Research (NBER); Yale University - International Center for Finance

J. Huston Mcculloch

Ohio State University; National Bureau of Economic Research (NBER)

Date Written: August 1987

Abstract

This paper consolidates and interprets the literature on the term structure, as it stands today. Definitions of rates of return, forward rates and holding returns for all time intervals are treated here in a uniform manner and their interrelations, exact or approximate, delineated. The concept of duration is used throughout to simplify mathematical expressions. Continuous compounding is used where possible, to avoid arbitrary distinctions based on compounding assumptions. Both the theoretical and the empirical literature are treated. The attached tables by J. Huston McCulloch give term structure data for U. S. government securities 1946-1987. The tables give discount bond yields, forward rates and par bond yields as defined in the paper. The data relate to the concepts in the paper more precisely than does any previously published data series.

Suggested Citation

Shiller, Robert J. and McCulloch, J. Huston, The Term Structure of Interest Rates (August 1987). NBER Working Paper No. w2341, Available at SSRN: https://ssrn.com/abstract=227271

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J. Huston McCulloch

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