1. A TIME SERIES ANALYSIS OF POST-ACCORD INTEREST RATES.
- Author
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SMITH, V. KERRY and MARCIS, RICHARD G.
- Subjects
BONDS (Finance) ,INTEREST rates ,MUNICIPAL bonds ,CORPORATE bonds ,GOVERNMENT securities - Abstract
This paper presents more detailed evidence on the behavior and relationships of various interest rates in the United States since the Accord of March, 1951. Spectral analytic techniques are utilized in examining (1) how rates of return on different securities of specific maturity vary through time, and (2) how rates on securities with different terms to maturity appear to be related. Spectral analysis appears especially well suited to examination of interest rate relationships since it is a mathematical tool equipped to deal specifically with the mixture of randomness and regularity typically contained in an interest rate series. As such, it yields more insights into interest rate movements and relationships than conventional techniques of analysis which depend on specified periodicities. [ABSTRACT FROM AUTHOR]
- Published
- 1972
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