Hostname: page-component-78c5997874-fbnjt Total loading time: 0 Render date: 2024-11-09T08:39:32.931Z Has data issue: false hasContentIssue false
  • English
  • Français

Short-Run Interest Rate Cycles in the U.S.: 1954–1967**

Published online by Cambridge University Press:  19 October 2009

Arie Melnik  and
Alan Kraus
Get access Rights & Permissions [Opens in a new window]

Extract

It has been observed that when the level of interest rates rises all rates increase, but short-term rates rise systematically more than longterm rates. Over time, therefore, short-term rates experience wider fluctuations than long-term rates. This behavior, however, does not provide any clue as to which interest rate leads the other over the cycle. Most research on term structure of interest rates has focused on the yield curve at a point in time; little has been done to investigate the joint movement of short- and long-term interest rates through time. In this study, we compare the cyclical behavior of short-term and long-term interest rates in the United States during the period 1954–1967. The relationship between the 90-day Treasury bill rate and the 10-year U. S. Government bond rate is analyzed by the cross-spectral method.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 4 , Issue 3 , September 1969 , pp. 291 - 299
Copyright
Copyright © School of Business Administration, University of Washington 1969

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

1.Adelman, I., “Long Cycles — Fact or Artifact?” The American Economic Review, Vol. LV, No. 3 (June 1965), pp. 444–463.Google Scholar
2.Cohen, J. C., Kramer, R. L., and Waugh, H. W., “Regression Yield Curves for U. S. Government Securities”, Management Science, Vol. 13 (December 1966), pp. B–168 - B–175.Google Scholar
3.Fand, D., “A Time Lines Analysis of the Bills-Only Theory of Interest Rates”, The Review of Economics and Statistics, Vol. XLVIII (November 1966), pp. 361–371.Google Scholar
4.Granger, C. W. J., “The Typical Spectral Shape of an Economic Variable”, Econometrica, 34 (1966), pp. 150–161.Google Scholar
5.Granger, C. W. J., and Hatanaka, M., Spectral Analysis of Economic Time Series (Princeton: Princeton University Press, 1964).Google Scholar
6.Granger, C. W. J., and Rees, H. J. B., “Spectral Analysis of the Term Structure of Interest Rates”, The Review of Economic Studies, Vol. XXXV, No. 101 (January 1968), pp. 67–76.Google Scholar
7.Kessel, R. A., The Cyclical Behavior of the Term Structure of Interest Rates, Occasional Paper 91 (New York: National Bureau of Economic Research, 1965).Google Scholar
8.Malkiel, B. G., The Term Structure of Interest Rates (Princeton: Princeton University Press, 1966).Google Scholar
9.Parzen, E., “Mathematical Considerations in the Estimation of Spectra”, Technometrica, Vol. 3, 1961, pp. 167–190.Google Scholar
10.Sargent, J. T., “Interest Rates in the Nineteen-fifties”, The Review of Economics and Statistics, Vol. L, No. 2 (May 1968), pp. 164–172.Google Scholar
11.U. S. Treasury Department, “Market Quotations on Treasury Securities,” Treasury Bulletin (various issues, 1954–1968).Google Scholar
12.Telser, L. G., “A Critique of Some Recent Empirical Research on the Exploration of the Term Structure of Interest Rates”, The Journal of Political Economy, Vol. 75 (No. 4, Part II)(August 1967).Google Scholar
13.Weiss, M., Quantitative Analysis of Egg Price Quotations (an unpublished Ph. D. dissertation, Cornell University, January 1969).Google Scholar