The Central Tendency: A Second Factor in Bond Yields
提出无风险利率会向一个随时间随机变化的中心趋势回归，并利用长期债券收益率作为中心趋势的代理变量，构建两因子期限结构模型，发现该模型比假设中心趋势不变的模型能更好预测一个月期利率。
We assume that the instantaneous riskless rate reverts toward a central tendency which, in turn, is changing stochastically over time. As a result, current short-term rates are not sufficient to predict future short-term rate movements, as it would be the case if the central tendency were constant. However, since longer maturity bond prices incorporate information about the central tendency, longer maturity bond yields can be used to predict future short-term rate movements. We develop a two-factor model of the term structure which implies that a linear combination of any two rates can be used as a proxy for the central tendency. Based on this central-tendency proxy, we estimate a model of the one-month rate that performs better than models which assume the central tendency to be constant. © 1998 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology