%0 Journal Article %1 citeulike:1110077 %A Siegel, Andrew F. %A Nelson, Charles R. %D 1988 %J The Journal of Financial and Quantitative Analysis %K finmath, yield-curve %N 1 %P 105--110 %T Long-Term Behavior of Yield Curves %U http://www.jstor.org/stable/2331027 %V 23 %X The flattening of yield curves at long-term maturities is proven to be approximately proportional to the reciprocal of the time to maturity under general conditions. This is a consequence of the persistence of earlier forward rates in the averaging process, which produces yields from forward rates. This relationship suggests the use of a "reciprocal maturity yield curve," which significantly facilitates the interpretation of the behavior of long-term yields by linearizing them for display over a shorter interval. This is illustrated using a yield curve for U.S. Treasury bills.

@article{citeulike:1110077, abstract = {{The flattening of yield curves at long-term maturities is proven to be approximately proportional to the reciprocal of the time to maturity under general conditions. This is a consequence of the persistence of earlier forward rates in the averaging process, which produces yields from forward rates. This relationship suggests the use of a \"reciprocal maturity yield curve,\" which significantly facilitates the interpretation of the behavior of long-term yields by linearizing them for display over a shorter interval. This is illustrated using a yield curve for U.S. Treasury bills.}}, added-at = {2019-06-18T20:47:03.000+0200}, author = {Siegel, Andrew F. and Nelson, Charles R.}, biburl = {https://www.bibsonomy.org/bibtex/2928fbb026927bf7b1a85cbff3da9e183/alexv}, citeulike-article-id = {1110077}, citeulike-attachment-1 = {siegel_88_longterm_24354.pdf; /pdf/user/alexv/article/1110077/24354/siegel_88_longterm_24354.pdf; e388c68b7cce1d0b1b6d312f9bcc7a616fb9e12e}, citeulike-linkout-0 = {http://www.jstor.org/stable/2331027}, file = {siegel_88_longterm_24354.pdf}, interhash = {95c83086df5ed55a7905aa496d786d56}, intrahash = {928fbb026927bf7b1a85cbff3da9e183}, journal = {The Journal of Financial and Quantitative Analysis}, keywords = {finmath, yield-curve}, number = 1, pages = {105--110}, posted-at = {2007-02-16 20:10:24}, priority = {2}, timestamp = {2019-06-18T20:47:03.000+0200}, title = {{Long-Term Behavior of Yield Curves}}, url = {http://www.jstor.org/stable/2331027}, volume = 23, year = 1988 }