Do Long Interest Rates Ever Fall?

Bradford D. Jordan ； Susan D. Jordan ； Joseph C. Smolira ； Denver H. Travis

《Advances in Financial Planning and Forecasting》 3期 (2008/03) Pp. 21-35

https://doi.org/10.6292/AFPF.2008.03.02

並列摘要

Theoretical considerations in Dybvig, Ingersoll, and Ross (1996) lead the authors to conclude that long forward and zero-coupon rates can never fall. We examine this conjecture empirically using monthly U.S. Treasury STRIPS data over the period 1990-2000. Based on the Cox, Ingersoll, and Ross (1985) term structure model and a constant-drift adaptation of that model, we find that, contrary to predictions, implied long maturity zero-coupon rates did fall substantially during the last half of this period.

並列關鍵字

Interest rates ； Term structure theory ； Term structure of interest

參考文獻

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Dybvig, P. H.,Ingersoll, J. E.,Ross, S. A.(1996).Long forward and zerocoupon rates can never fall.Journal of Business.69,1-25.

Dybvig, P. H.,Marshall, W. J.(1996).Pricing long bonds: Pitfalls and opportunities.Financial Analysts Journal.January-February,32-39.