Abstract

Previous articleNext article No AccessInterest-Rate Risk and the Term Structure of Interest RatesJames Van HorneJames Van Horne Search for more articles by this author PDFPDF PLUS Add to favoritesDownload CitationTrack CitationsPermissionsReprints Share onFacebookTwitterLinkedInRedditEmail SectionsMoreDetailsFiguresReferencesCited by Journal of Political Economy Volume 73, Number 4Aug., 1965 Article DOIhttps://doi.org/10.1086/259035 Views: 11Total views on this site Citations: 30Citations are reported from Crossref Copyright 1965 The University of ChicagoPDF download Crossref reports the following articles citing this article:Tamara V. Teplova, Victoria A. Rodina The reinvestment risk premium in the valuation of British and Russian government bonds, Research in International Business and Finance (Aug 2020): 101319.https://doi.org/10.1016/j.ribaf.2020.101319Pasquale De Luca Debt Valuation, (Nov 2018): 399–450.https://doi.org/10.1007/978-3-319-93551-5_10Amir Kia Monetary policy transparency in a forward-looking market: Evidence from the United States, The North American Journal of Economics and Finance 42 (Nov 2017): 597–617.https://doi.org/10.1016/j.najef.2017.08.013Serhat Yuksel, Sinemis Zengin Identifying the Determinants of Interest Rate Risk of the Banks, International Journal of Research in Business and Social Science (2147- 4478) 5, no.66 (Oct 2016): 12–28.https://doi.org/10.20525/ijrbs.v5i6.569Magnus Dahlquist, Henrik Hasseltoft International Bond Risk Premia, (Apr 2016): 169–190.https://doi.org/10.1002/9781118709207.ch9Yao Jin The Study of Chinese Real Estate Enterprises Issuing Perpetual Bonds Financing: Advantage and Risk, American Journal of Industrial and Business Management 04, no.1212 (Jan 2014): 709–715.https://doi.org/10.4236/ajibm.2014.412076Gregory R. Duffee Bond Pricing and the Macroeconomy, (Jan 2013): 907–967.https://doi.org/10.1016/B978-0-44-459406-8.00013-5Gregory Duffee Forecasting Interest Rates, (Jan 2013): 385–426.https://doi.org/10.1016/B978-0-444-53683-9.00007-4Sadeeptha S. Jayathilaka Principal Component Analysis of the UK Term Structure & Its Application to Immunisation Strategies, SSRN Electronic Journal (Jan 2010).https://doi.org/10.2139/ssrn.1678844John A. Anderson, Steven Li Calendar Spread Trading and the Efficiency of Australian Bank Accepted Bill Futures Market, Review of Pacific Basin Financial Markets and Policies 10, no.0202 (Jun 2007): 157–172.https://doi.org/10.1142/S0219091507001033Chikashi Tsuji Are investors rational in international bond markets?, Applied Financial Economics Letters 1, no.33 (May 2005): 169–175.https://doi.org/10.1080/17446540500102026Francis In, Jonathan Batten, Sangbae Kim What drives the term and risk structure of Japanese bonds?, The Quarterly Review of Economics and Finance 43, no.33 (Sep 2003): 518–541.https://doi.org/10.1016/S1062-9769(02)00193-XNoor A. Ghazali, Soo-Wah Low The expectation hypothesis in emerging financial markets: the case of Malaysia, Applied Economics 34, no.99 (Jun 2002): 1147–1156.https://doi.org/10.1080/00036840110074123Farrokh Nourzad, R. Scott Grennier Cointegration analysis of the expectations theory of the term structure, Journal of Economics and Business 47, no.33 (Aug 1995): 281–292.https://doi.org/10.1016/0148-6195(95)00012-GPami Dua Survey evidence on the term structure of interest rates, Journal of Economics and Business 43, no.22 (May 1991): 133–142.https://doi.org/10.1016/0148-6195(91)90013-MRobert Jarrow The error learning hypothesis: The evidence reexamined, Journal of Economics and Business 36, no.22 (May 1984): 177–188.https://doi.org/10.1016/0148-6195(84)90030-4J. Colin Dodds The Term Structure of Interest Rates: a Survey of the Theories and Empirical Evidence, Managerial Finance 8, no.22 (Feb 1982): 22–31.https://doi.org/10.1108/eb013503Robert A. Jarrow Liquidity premiums and the expectations hypothesis, Journal of Banking & Finance 5, no.44 (Dec 1981): 539–546.https://doi.org/10.1016/S0378-4266(81)80007-6JOHN C. COX, JONATHAN E. INGERSOLL, STEPHEN A. ROSS A Re-examination of Traditional Hypotheses about the Term Structure of Interest Rates, The Journal of Finance 36, no.44 (Apr 2012): 769–799.https://doi.org/10.1111/j.1540-6261.1981.tb04884.xEDWARD J. KANE Market Incompleteness and Divergences Between Forward and Futures Interest Rates*, The Journal of Finance 35, no.22 (Apr 2012): 221–234.https://doi.org/10.1111/j.1540-6261.1980.tb02150.xSteven W. Dobson, Richard C. Sutch, David E. Vanderford AN EVALUATION OF ALTERNATIVE EMPIRICAL MODELS OF THE TERM STRUCTURE OF INTEREST RATES*, The Journal of Finance 31, no.44 (Apr 2012): 1035–1065.https://doi.org/10.1111/j.1540-6261.1976.tb01959.x J. Huston McCulloch An Estimate of the Liquidity Premium, Journal of Political Economy 83, no.11 (Oct 2015): 95–119.https://doi.org/10.1086/260308J. L. Carr, P. J. Halpern, J. S. McCallum CORRECTING THE YIELD CURVE: A RE-INTERPRETATION OF THE DURATION PROBLEM, The Journal of Finance 29, no.44 (Apr 2012): 1287–1294.https://doi.org/10.1111/j.1540-6261.1974.tb03105.x Charles R. Nelson Testing a Model of the Term Structure of Interest Rates in an Error-learning Framework, Journal of Political Economy 80, no.66 (Oct 2015): 1259–1270.https://doi.org/10.1086/259969Charles R. Nelson Testing a Model of the Term Structure of Interest Rates by Simulation of Market Forecasts, Journal of the American Statistical Association 65, no.331331 (Sep 1970): 1163–1179.https://doi.org/10.1080/01621459.1970.10481152 Burton G. Malkiel , and Edward J. Kane Expectations and Interest Rates: A Cross-sectional Test of the Error-learning Hypothesis, Journal of Political Economy 77, no.4, Part 14, Part 1 (Oct 2015): 453–470.https://doi.org/10.1086/259532Herschel I. Grossman RISK AVERSION, FINANCIAL INTERMEDIATION, AND THE TERM STRUCTURE OF INTEREST RATES, The Journal of Finance 22, no.44 (Apr 2012): 611–622.https://doi.org/10.1111/j.1540-6261.1967.tb00296.x L. G. Telser A Critique of Some Recent Empirical Research on the Explanation of the Term Structure of Interest Rates, Journal of Political Economy 75, no.4, Part 24, Part 2 (Sep 2015): 546–561.https://doi.org/10.1086/259331 Richard Roll Interest-Rate Risk and the Term Structure of Interest Rates: Comment, Journal of Political Economy 74, no.66 (Oct 2015): 629–631.https://doi.org/10.1086/259225 James C. Van Horne Interest-Rate Risk and the Term Structure of Interest Rates: Reply, Journal of Political Economy 74, no.66 (Oct 2015): 632–634.https://doi.org/10.1086/259226

Full Text
Published version (Free)

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call