Interest Rates - Welcome, please register to post topics or comment! https://cyclesresearchinstitute.org/community/interest-rates/ Harmonics and Cycles Forum for scientific discussion and the pursuit and sharing of knowledge on all things harmonics and cycles. Please register and confirm your email if you wish to comment or post topics. en-US Wed, 02 Sep 2026 08:01:09 +0000 wpForo 60 Interest Rates and Bonds https://cyclesresearchinstitute.org/community/interest-rates/interest-rates-and-bonds/ Sat, 18 Jul 2026 21:29:03 +0000 For cycles studies of interest rates, bond yields and the like. Please state clearly which bond or interest rate you are dealing with.

]]> Interest Rates RayTomes https://cyclesresearchinstitute.org/community/interest-rates/interest-rates-and-bonds/ A Sinusoidal Hull-White Model for Interest Rate Dynamics: Capturing Long-Term Periodicity in U.S. Treasury Yields https://cyclesresearchinstitute.org/community/interest-rates/a-sinusoidal-hull-white-model-for-interest-rate-dynamics-capturing-long-term-periodicity-in-u-s-treasury-yields/ Sat, 18 Jul 2026 05:25:09 +0000 A Sinusoidal Hull-White Model for Interest Rate Dynamics: Capturing Long-Term Periodicity in U.S. Treasury Yields

First published: 2025

Brief summary

Extends the standard Hull-White interest rate model with a sinusoidal, time-varying mean reversion term calibrated to a 22-year cycle identified via Fourier Transform analysis, built on earlier spectral findings of 5-30 year Treasury yield periodicities.

Article

A Sinusoidal Hull-White Model for Interest Rate Dynamics: Capturing Long-Term Periodicity in U.S. Treasury Yields is a preprint published by arXiv in 2025. It extends the standard Hull-White interest rate model with a sinusoidal, time-varying mean reversion term calibrated to a 22-year cycle identified via Fourier Transform analysis, built on earlier spectral findings of 5-30 year Treasury yield periodicities.

The analysis focuses on 22-year cycle (fitted). It also considers cites Gallant & Tauchen 1996 spectral analysis finding 5-20 year cycles, and Krichene 2006 Fourier analysis finding 10-30 year cycles in Treasury yields. The data source is daily US Treasury yield curves (FRED), 1990-2022. This gives the cycle claim a specific numerical and evidential setting rather than presenting periodicity only as a visual impression.

The article reports the following result: Gallant and Tauchen (1996) apply spectral analysis to U.S. Treasury yields, identifying periodic components with cycles of 5 to 20 years; more recently, Krichene (2006) employs Fourier Transform techniques to detect long-term cycles, finding evidence of 10- to 30-year periodicities. The interpretation is strongest when inflation regimes, monetary-policy changes, non-stationarity and out-of-sample performance are considered.

For cycles researchers, the article brings together hull-white model, treasury yields, 22-year cycle, fourier analysis. It is relevant to interest-rate cycle research because yield movements combine policy regimes, inflation dynamics, business cycles and long-frequency components.

Because it is a preprint, the work should be read alongside later peer-reviewed publications and independent replications. It remains useful because the proposed cycle, dataset and analytical approach are stated clearly enough to be scrutinised.

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]]> Interest Rates CRI https://cyclesresearchinstitute.org/community/interest-rates/a-sinusoidal-hull-white-model-for-interest-rate-dynamics-capturing-long-term-periodicity-in-u-s-treasury-yields/ Rate Cycles https://cyclesresearchinstitute.org/community/interest-rates/rate-cycles/ Sat, 18 Jul 2026 05:25:07 +0000 Rate Cycles

First published: 2024

Brief summary

Systematic empirical framework identifying easing and tightening phases for interest rates across a large set of countries from 1970-2024, finding tightening phases (47 months) are on average much shorter than easing phases (79 months).

Article

Rate Cycles is a peer-reviewed conference paper published by European Central Bank (Sintra Forum paper) in 2024. It focuses on systematic empirical framework identifying easing and tightening phases for interest rates across a large set of countries from 1970-2024, finding tightening phases (47 months) are on average much shorter than easing phases (79 months).

Phase durations: tightening 47 months (average), easing 79 months (average). The data source is global panel of interest rate data 1970-2024, analysed across five sub-periods. This gives the cycle claim a specific numerical and evidential setting rather than presenting periodicity only as a visual impression.

The article reports the following result: Over the full period (1970-2024), tightening phases are much shorter than easing phases on average (47 vs 79 months), with rate cycles further examined across five sub-periods each marking major global economic events. The interpretation is strongest when inflation regimes, monetary-policy changes, non-stationarity and out-of-sample performance are considered.

For cycles researchers, the article brings together interest rate cycles, monetary tightening, monetary easing, global rates. It is relevant to interest-rate cycle research because yield movements combine policy regimes, inflation dynamics, business cycles and long-frequency components.

Because it is a peer-reviewed conference paper, the article is a strong starting point for discussion in the Interest Rates forum, although its conclusions should still be compared with later replications and updated datasets.

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]]> Interest Rates CRI https://cyclesresearchinstitute.org/community/interest-rates/rate-cycles/ The Term Structure of Interest Rates Across Frequencies https://cyclesresearchinstitute.org/community/interest-rates/the-term-structure-of-interest-rates-across-frequencies/ Sat, 18 Jul 2026 05:25:05 +0000 The Term Structure of Interest Rates Across Frequencies

First published: 2008

Brief summary

Analyzes the spectral density of interest rate term spreads, finding persistent low-frequency dynamics, building on the foundational 1968 spectral analysis of the term structure of interest rates by Cargill and Rees.

Article

The Term Structure of Interest Rates Across Frequencies is a peer-reviewed working paper published by European Central Bank Working Paper in 2008. It analyses the spectral density of interest rate term spreads, finding persistent low-frequency dynamics, building on the foundational 1968 spectral analysis of the term structure of interest rates by Cargill and Rees.

The study references foundational spectral methodology: Cargill & Rees (1968) 'Spectral Analysis of the Term Structure of Interest Rates'. The study examines spectral density of 1-month to 1-year term spreads across frequencies. This gives the cycle claim a specific numerical and evidential setting rather than presenting periodicity only as a visual impression.

The article reports the following result: Term spreads are persistent, as evidenced by the high spectral density near the origin; the change in the one-year interest rate has the most power at the lowest frequencies, building on Cargill and Rees's 1968 spectral analysis of the term structure of interest rates. The interpretation is strongest when inflation regimes, monetary-policy changes, non-stationarity and out-of-sample performance are considered.

For cycles researchers, the article brings together yield curve, term structure, interest rate frequencies, spectral density. It is relevant to interest-rate cycle research because yield movements combine policy regimes, inflation dynamics, business cycles and long-frequency components.

Because it is a peer-reviewed working paper, the article is a strong starting point for discussion in the Interest Rates forum, although its conclusions should still be compared with later replications and updated datasets.

Source details and credits

]]> Interest Rates CRI https://cyclesresearchinstitute.org/community/interest-rates/the-term-structure-of-interest-rates-across-frequencies/ Money, Prices, Interest Rates and the Business Cycle https://cyclesresearchinstitute.org/community/interest-rates/money-prices-interest-rates-and-the-business-cycle/ Sat, 18 Jul 2026 05:25:04 +0000 Money, Prices, Interest Rates and the Business Cycle

First published: 2005

Brief summary

Foundational spectral analysis of US monetary and price data finds the spectral peak in price inflation occurs at a periodicity of 51 quarters, notably lower frequency than the 20-quarter periodicity peak found in money growth and real output variables.

Article

Money, Prices, Interest Rates and the Business Cycle is a peer-reviewed working paper published by Princeton University (King & Watson working paper) in 2005. It is a foundational spectral analysis of US monetary and price data that finds the spectral peak in price inflation occurs at a periodicity of 51 quarters, notably lower frequency than the 20-quarter periodicity peak found in money growth and real output variables.

The analysis focuses on 51 quarters (~12.75 years, price inflation spectral peak), 20 quarters (~5 years, money growth/real variable spectral peak). It also considers empirical spectral shape analysis of US monetary data. This gives the cycle claim a specific numerical and evidential setting rather than presenting periodicity only as a visual impression.

The authors observe the typical spectral shape in price inflation; however, the peak in the spectrum of price inflation lies at a lower frequency than does the peak in the spectrum of money growth and real variables: it occurs at a periodicity of 51 quarters rather than 20 quarters. The interpretation is strongest when inflation regimes, monetary-policy changes, non-stationarity and out-of-sample performance are considered.

For cycles researchers, the article brings together interest rate cycles, inflation periodicity, money growth, business cycle. It is relevant to interest-rate cycle research because yield movements combine policy regimes, inflation dynamics, business cycles and long-frequency components.

Because it is a peer-reviewed working paper, the article is a strong starting point for discussion in the Interest Rates forum, although its conclusions should still be compared with later replications and updated datasets.

Source details and credits

]]> Interest Rates CRI https://cyclesresearchinstitute.org/community/interest-rates/money-prices-interest-rates-and-the-business-cycle/ Monetary policy https://cyclesresearchinstitute.org/community/interest-rates/monetary-policy/ Sat, 18 Jul 2026 05:16:44 +0000 Monetary policy

Article

Monetary policy is the process by which a central bank or monetary authority manages interest rates, money, credit, and financial conditions to influence inflation, employment, output, exchange rates, and economic stability.

The most common instrument is a policy interest rate that affects borrowing costs throughout the financial system. Central banks may also use reserve requirements, open-market operations, lending facilities, asset purchases, foreign-exchange intervention, and communication about future policy.

Expansionary monetary policy lowers interest rates or increases liquidity to encourage borrowing, spending, investment, and employment. Contractionary policy raises rates or reduces liquidity to restrain demand and control inflation.

Policy works with delays and its effects depend on banking conditions, expectations, debt levels, exchange rates, asset prices, and the state of the economy. Many central banks operate with an inflation target while also considering employment, financial stability, and economic growth.

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]]> Interest Rates CRI https://cyclesresearchinstitute.org/community/interest-rates/monetary-policy/ Inflation https://cyclesresearchinstitute.org/community/interest-rates/inflation/ Sat, 18 Jul 2026 05:16:43 +0000 Inflation

Article

Inflation is a sustained increase in the general price level of goods and services in an economy. As prices rise, each unit of currency buys fewer goods and services, so the purchasing power of money falls.

Inflation is commonly measured with price indexes such as the consumer price index, which tracks changes in the cost of a representative basket of goods and services. Different indexes may cover consumers, producers, imports, exports, wages, or the broader economy.

Moderate inflation can arise when demand grows faster than productive capacity, when production costs rise, when money and credit expand, or when expectations influence wages and prices. Temporary changes in individual prices are not necessarily inflation unless the increase becomes broad and persistent.

High or unpredictable inflation can distort saving, investment, contracts, interest rates, taxation, and income distribution. Central banks usually aim to keep inflation low and stable through monetary policy, while governments may also influence it through fiscal, regulatory, and supply-side measures.

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]]> Interest Rates CRI https://cyclesresearchinstitute.org/community/interest-rates/inflation/ Kondratieff Cycles and Long Term Interest Rates https://cyclesresearchinstitute.org/community/interest-rates/kondratieff-cycles-and-long-term-interest-rates/ Sat, 18 Jul 2026 05:03:29 +0000 Kondratieff Cycles and Long Term Interest Rates

First published: 2011

Brief summary

CRI blog item discussing Kondratieff cycles and long-term interest rates.

Article

Kondratieff Cycles and Long Term Interest Rates

Posted by Ray Tomes

The post discusses Kondratieff cycles and long term interest rates in the context of long economic waves and related periodicities.

Additional summary

The post includes discussion threads and comments on long-wave timing. It is included as CRI-owned interest-rate cycle source material.

Source details and credits

]]> Interest Rates CRI https://cyclesresearchinstitute.org/community/interest-rates/kondratieff-cycles-and-long-term-interest-rates/ Duration and Interest Rate Risk https://cyclesresearchinstitute.org/community/interest-rates/duration-and-interest-rate-risk/ Sat, 18 Jul 2026 04:58:51 +0000 Duration and Interest Rate Risk

First published: 2014

Brief summary

FINRA guide to bond duration and interest-rate risk.

Article

Duration and Interest Rate Risk is covered by the linked source. FINRA guide to bond duration and interest-rate risk.

The material is published by FINRA and presents the relevant data, definitions or analytical framework.

The topic concerns policy rates, market yields, inflation expectations, credit conditions, bond prices or economic activity, depending on the source.

Results depend on data coverage, assumptions and the policy regime. Historical recurrence does not establish a fixed predictive cycle.

Source details and credits

]]> Interest Rates CRI https://cyclesresearchinstitute.org/community/interest-rates/duration-and-interest-rate-risk/ Inflation Expectations https://cyclesresearchinstitute.org/community/interest-rates/inflation-expectations/ Sat, 18 Jul 2026 04:58:49 +0000 Inflation Expectations

First published: 2011

Brief summary

Cleveland Fed inflation expectations data.

Article

Inflation Expectations is covered by the linked source. Cleveland Fed inflation expectations data.

The material is published by Cleveland Fed and presents the relevant data, definitions or analytical framework.

The topic concerns policy rates, market yields, inflation expectations, credit conditions, bond prices or economic activity, depending on the source.

Results depend on data coverage, assumptions and the policy regime. Historical recurrence does not establish a fixed predictive cycle.

Source details and credits

]]> Interest Rates CRI https://cyclesresearchinstitute.org/community/interest-rates/inflation-expectations/