Advances in Financial Planning and Forecasting, 2008, Volume 3, Pages 21-36.
19 Pages Posted: 23 Jul 2014
Date Written: March 1, 2006
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.
Keywords: Term Structure, Treasury STRIPS
Suggested Citation: Suggested Citation
Jordan, Bradford D. and Jordan, Susan D. and Smolira, Joe and Travis, Denver H., Do Long Interest Rates Ever Fall? (March 1, 2006). Advances in Financial Planning and Forecasting, 2008, Volume 3, Pages 21-36.. Available at SSRN: https://ssrn.com/abstract=2469343