The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Yield Spreads and Interest Rate Movements: A Bird's Eye View
Open accessAbstract
This paper examines postwar U.S. term structure data and finds that for almost any combination of maturities between one month and ten years, a high yield spread between a longer-term and a shorter-term interest rate forecasts rising shorter-term interest rates over the long term, but a declining yield on the longer-term bond over the short term. This pattern is inconsistent with the expectations theory of the term structure, but is consistent, with a model in which the spread is proportional to the value implied by the expectations theory.
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Citations
Cites
Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement
Hodrick, R. J. (1992) · Review of Financial Studies · doi:10.1093/rfs/5.3.351 · Cited by 1,523
Cited by
Koijen, R. S. J., Moskowitz, T. J., Pedersen, L. H., & Vrugt, E. B. (2018) · Journal of Financial Economics · doi:10.1016/j.jfineco.2017.11.002 · Cited by 286
Bond risk, bond return volatility, and the term structure of interest rates
Viceira, L. M. (2012) · International Journal of Forecasting · doi:10.1016/j.ijforecast.2011.02.018 · Cited by 136
Metadata
- Authors
- Campbell, J. Y., & Shiller, R. J.
- Venue
- The Review of Economic Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 1991-05
- Volume
- 58
- Issue
- 3
- Pages
- 495
- ISSN
- 0034-6527 (ISSN-L)
- OpenAlex
- W2151993164
- Cited by
- 1,776
- References
- 1
- FWCI
- 23.60
- Type
- journal article
- Language
- en
- Open access
- green
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- CoChat. (2026). Citation check: Yield Spreads and Interest Rate Movements: A Bird's Eye View. https://app.cochat.ai/papers/10.2307/2298008
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- Campbell, J. Y., & Shiller, R. J. (1991). Yield Spreads and Interest Rate Movements: A Bird's Eye View. The Review of Economic Studies. https://doi.org/10.2307/2298008
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
