Estimation of Term Premiums from Average Yield Differentials in the Term Structure of Interest Rates
根据利率期限结构中的平均收益率差估计期限溢价
The fact that long term interest rates have been higher on average than short rates in the twentieth century has often been interpreted in the term structure literature as evidence of the existence of positive or term premiums. The purpose of this paper is to point out that an average differential between long and short rates does not necessarily represent a differential between returns realized by holders of long versus short term bonds. In particular, it is shown that if…