The Changing Behavior of the Term Structure of Interest Rates
重新检验了期限结构的预期理论，发现1915年美联储成立前，长短期利差对利率路径有显著预测力，但之后预测力大幅下降，并证明短期利率在美联储成立后近似随机游走，这结合期限溢价的微小变动可解释预期理论表现的变化。
We reexamine the expectations theory of the term structure using data at the short end of the maturity spectrum. We find that prior to the founding of the Federal Reserve System in 1915, the spread between long rates and short rates has substantial predictive power for the path of interest rates; after 1915, however, the spread contains much less predictive power. We then show that the short rate is approximately a random walk after the founding of the Fed but not before. This latter fact, coupled with even slight variation in the term premium, can explain the observed change in 1915 in the performance of the expectations theory. We suggest that the random walk character of the short rate may be attributable to the Federal Reserve's commitment to stabilizing interest rates.