We assume that the instantaneous riskless rate reverts toward a central tendency which, in
turn, is changing stochastically over time. As a result, current short-term rates are not …

Standard approaches to building and estimating dynamic term structure models rely on the
assumption that yields can serve as the factors. However, the assumption is neither …

We reexamine the expectations theory of the term structure using data at the short end of the
maturity spectrum. We find that prior to the founding of the Federal Reserve System in 1915 …

We study time variation in expected excess bond returns. We run regressions of one-year
excess returns on initial forward rates. We find that a single factor, a single tent-shaped …

Ho and Lee derive a term structure model that is based on the term structure at a point in
time. The Ho and Lee model is shown to be aa binomial version of Vasicek's model without …

This paper analyses the effect of interest rate uncertainty on the shape of the forward rate
curve. We consider a broad class of term structure models characterized by an affine relation …

This paper is of interest both for its methodological contribution of new tools for analyzing
rational-expectations models and for its substantive conclusions concerning the term …

Expectations theories of asset returns may be interpreted either as stating that risk premia
are zero or that they are constant through time. Under the former interpretation, different …

Contrary to the predictions of the rational expectations hypothesis of the term structure of
interest rates, empirical evidence suggests that the term spread between long and short …

Recent evidence indicates that using multiple forward rates sharply predicts future excess
returns on US Treasury Bonds, with the R 2's being around 30%. The projection coefficients …