The Cyclical Behavior of Interest Rates
研究利率期限结构在商业周期中的行为，通过将消费分解为趋势和周期成分来改进消费资产定价模型的估计，并发现期限利差对随机去趋势后的实际GDP变化比增长率更有预测力。
ABSTRACT This article investigates the behavior of the term structure of interest rates over the business cycle. In contrast to prior studies that measure the business cycle by the simple growth in aggregate economic activity, we consider the deviation of aggregate economic activity from its potentially stochastic trend. We show that incorporating both an independent trend and cyclical component in consumption improves the efficiency in estimating consumption‐based asset pricing models. We also find that the term spread is more informative about future changes in stochastically detrended real gross domestic product (GDP) than future growth rates in real GDP.