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PHILLIP CAGAN Changes in the Cyclical Behavior of Interest Rates
STANLEY DILLER The Seasonal Variation of Interest Rates
LongTerm Securities Considered
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arbitrage basis points bond yields borrower call option call price callable callable bonds cent changes Chart CN CN CN column compound probabilities computed corporate correlation coupon rate cycle cyclical decline demand difference direct placements estimates expectations hypothesis Federal Reserve finance company forward rates future short-term rates Hence high coupon higher coupon bonds implies increase independent variable industrials investors lender type level of rates liquidity preference liquidity premiums loan purpose long-term rates long-term securities low coupon Meiselman money supply months mortgage observed one-year rate peak period predicted ratios realized probabilities refunding regression coefficient risk seasonal adjustment seasonal amplitude seasonal factors seasonal pattern simple probabilities spot rates statistics structure of interest term structure term to maturity Treasury bill rates Treasury securities troughs variance variation Weighted Average yield curve yield differentials yield spread yield to maturity