Hanson, Samuel G.; Lucca, David O.; Wright, Jonathan H. - 2017
A large literature argues that long-term interest rates appear to react far more to high-frequency (for example, daily … or monthly) movements in short-term interest rates than is predicted by the standard expectations hypothesis. We find …-month horizon) in short- and long-term interest rates, which was quite strong before 2000, has weakened substantially in recent …