Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure
发现长期与短期利率的期限利差无法预测长期利率未来变动，但能正确预测短期利率，这一矛盾可由随时间变化的期限溢价与利差相关来解释。
Contrary to the predictions of the rational expectations hypothesis of the term structure of interest rates, empirical evidence suggests that the term spread between long and short rates fails to forecast future movements of long-term rates although its forecasts of future short-term rates are in the correct direction. In this paper, the authors show that this puzzling behavior of the term spread alone can be explained by a time-varying term premium that is correlated with the term spread. Once this is accounted for, neither expression of the expectations hypothesis is against the predictions of the theory. Copyright 1997 by Ohio State University Press.