The relation between default-free interest rates and expected economic growth is stronger than you think

• 成果类型: Article
• 署名作者: Kamara, A
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.1997.tb01126.x
• 发表日期: 1997
• 页码: 1681-1694
• 关键词: ASSET PRICING MODEL; REAL INTEREST-RATES; FUTURES MARKETS; STOCHASTIC CONSUMPTION; term structure; inflation; returns; tests; COSTS; RISK

摘要

The relation between default-free interest rates and expected economic growth is substantially stronger than suggested by extant literature. Futures-implied Treasury bill yield spreads are more highly correlated with future real consumption, investment, and GNP growth than spot spreads. This stronger relation arises because using futures removes a component of the spot term structure that covaries negatively with real economic growth. Treasury forward rates from spot bills contain a premium for the risk that short-sellers will default. This risk premium is negatively related to expected economic growth.