TIME‐TO‐BUILD EFFECTS AND THE TERM STRUCTURE

Jack Strauss; Guofu Zhou

doi:10.1111/j.1475-6803.1995.tb00215.x

TIME‐TO‐BUILD EFFECTS AND THE TERM STRUCTURE

Jack Strauss
, Guofu Zhou

Research output: Contribution to journal › Article › peer-review

Abstract

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.

Original language	English
Pages (from-to)	115-127
Number of pages	13
Journal	Journal of Financial Research
Volume	18
Issue number	1
DOIs	https://doi.org/10.1111/j.1475-6803.1995.tb00215.x
State	Published - 1995

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title = "TIME‐TO‐BUILD EFFECTS AND THE TERM STRUCTURE",

abstract = "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.",

author = "Jack Strauss and Guofu Zhou",

year = "1995",

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AU - Zhou, Guofu

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AB - 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.

UR - https://www.scopus.com/pages/publications/84986462341

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DO - 10.1111/j.1475-6803.1995.tb00215.x

M3 - Article

AN - SCOPUS:84986462341

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VL - 18

SP - 115

EP - 127

JO - Journal of Financial Research

JF - Journal of Financial Research

IS - 1

ER -

TIME‐TO‐BUILD EFFECTS AND THE TERM STRUCTURE

Abstract

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