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The maturity structure of term premia with time-varying expected returns

Authors :
Hooker, Mark A.
Source :
Quarterly Review of Economics and Finance. Fall, 1999, Vol. 39 Issue 3, p391, 17 p.
Publication Year :
1999

Abstract

The traditional belief that intermediate maturity bonds offer the highest returns near the beginnings of recessions is not supported by fact. US Treasury data from 1953-91 show a relatively high return only when interest rates are high and the yield curve is steep.

Subjects

Subjects :
Interest rates -- Analysis
Liquidity (Finance) -- Analysis
Bonds -- Prices and rates
Recessions -- Influence
Business
Economics

Details

ISSN :
10629769
Volume :
39
Issue :
3
Database :
Gale General OneFile
Journal :
Quarterly Review of Economics and Finance
Publication Type :
Academic Journal
Accession number :
edsgcl.58475792

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Authors Abstract Subjects Details