Department of Economics, Princeton University. This paper is based on Chapter 2 of my Yale Ph.D. Dissertation, Asset Duration and Time-Varying Risk Premia. I am grateful to Ed Kane, Pete Kyle, Huston McCulloch, Kermit Schoenholtz, Robert Shiller, and an anonymous referee for helpful correspondence and discussions, and particularly to Pete Kyle for showing me how to fill an important gap in the argument. I am responsible for any remaining errors.
A Defense of Traditional Hypotheses about the Term Structure of Interest Rates
Version of Record online: 30 APR 2012
© 1986 the American Finance Association
The Journal of Finance
Volume 41, Issue 1, pages 183–193, March 1986
How to Cite
CAMPBELL, J. Y. (1986), A Defense of Traditional Hypotheses about the Term Structure of Interest Rates. The Journal of Finance, 41: 183–193. doi: 10.1111/j.1540-6261.1986.tb04498.x
- Issue online: 30 APR 2012
- Version of Record online: 30 APR 2012
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