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
- Source / publisher: European Central Bank Working Paper
- Source type: Peer-reviewed working paper
- URL type: PDF
- Credits: European Central Bank Working Paper
- URL: