Interest Rate Innovations and the Volatility of Long-Term Bond Yields
利用期限结构的预期模型，推导并检验了长期债券收益率创新方差的约束条件，发现短期利率的平稳性假设会影响长期利率波动性的判断。
This paper develops and tests restrictions on the variance of innovations in long-term bond yields implied by the expectations model of the term structure. The authors adapt Kenneth D. West's (1988) stock-price volatility tests to the case of long but finite maturity bonds. Their approximate equality restriction does not require short-term rates to be stationary and, hence, provides a unified framework for volatility testing. When short rates are modeled as stationary, long-rate innovations appear excessively volatile. When short rates are modeled as difference stationary, long-rate innovations appear excessively smooth. Copyright 1994 by Ohio State University Press.