Bordo, Michael D. (contributor); … - 2004 - [Elektronische Ressource]
expectations theory of the term structure then
implies that the long rate is
(3) R
L
=(R
1
+R
2
)/2.
Substituting (2) into (3 … proposed theory, regimes with low credibility (high persistence of
inflation) tend to have better predictability.
JEL … using a consistent long series on both interest rate spreads and real activity at
quarterly frequency.
We then proceed to …