The Cyclical Behavior of Interest Rates
用更合适的商业周期度量方法（GDP随机去趋势）研究利率期限结构在周期中的行为，发现能显著提升期限利差对未来经济活动的预测能力，并探讨了消费周期成分对消费资产定价模型估计的改进。
This paper investigates the behavior of the term structure of interest rates over the business cycle. In contrast to the simple change in aggregate economic activity used in previous research, we use a more appropiate measure of the business cycle: the deviation of aggregate economic activity from its potentially stochastic trend. Stochastically detrending Gross Domestic Product (GDP) by Watson's [1986] UC-ARMA methodology significantly improves the term spread's informativeness regarding future economic activity. We also investigage the implications of the UC-ARIMA representation of aggregate consumption dynamics for a linear consumption based model of the term structure. The presence of an unobserved by independent cyclical component in aggregate consumption also allows for the more efficient estimation of consumption asset pricing models.