Time-to-Build Effects and the Term Structure

This paper shows that real macroeconomic variables have power to predict movements in the term structure of interest rates. This complements recent evidence that links the term structure to expected stock returns. We find that up to 86 percent of the variation in the term premia are due to the changes in macroeconomic variables. The predictive power can be attributed to the time-to-build effect of investments.

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Year of publication:	1995
Authors:	Strauss, Jack ; Zhou, Guofu
Published in:	Journal of Financial Research. - Southern Finance Association - SFA, ISSN 0270-2592. - Vol. 18.1995, 1, p. 115-27
Publisher:	Southern Finance Association - SFA Southwestern Finance Association - SWFA

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008518660