The cyclical behavior of interest rates

• 成果类型: Article
• 署名作者: Roma, A; Torous, W
• 署名单位: University of California System; University of California Los Angeles
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2329445
• 发表日期: 1997
• 页码: 1519-1542
• 关键词: economic time-series; term structure; stochastic trends; asset prices; consumption; real; models; inflation; GROWTH

摘要

This article investigates the behavior of the term structure of interest rates over the business cycle. In contrast to prior studies that measure the business cycle by the simple growth in aggregate economic activity, we consider the deviation of aggregate economic activity from its potentially stochastic trend. We show that incorporating both an independent trend and cyclical component in consumption improves the efficiency in estimating consumption-based asset pricing models. We also find that the term spread is more informative about future changes in stochastically detrended real gross domestic product (GDP) than future growth rates in real GDP.