Speculative dynamics in the term structure of interest rates

When long maturity bonds are traded frequently and traders have non-nestedinformation sets, speculative behavior in the sense of Harrison and Kreps (1978) arises.Using a term structure model displaying such speculative behavior, this paper proposesa conceptually and observationally distinct new mechanism generating time varying predictableexcess returns. It is demonstrated that (i) dispersion of expectations about futureshort rates is sufficient for individual traders to systematically predict excess returns and(ii) the new term structure dynamics driven by speculative trade is orthogonal to publicinformation in real time, but (iii) can nevertheless be quantified using only publicly availableyield data. The model is estimated using monthly data on US short to medium termTreasuries from 1964 to 2007 and it provides a good fit of the data. Speculative dynamicsare found to be quantitatively important, potentially accounting for a substantial fractionof the variation of bond yields and appears to be more important at long maturities.

Iowa Leading Indicators Index Report, October 2006

The Iowa Leading Indicators Index (ILII) is a tool for monitoring the future direction of the Iowa economy and State revenues. Its eight components include an agricultural futures price index, an Iowa stock market index, average weekly manufacturing hours in Iowa, initial unemployment claims in Iowa, an Iowa new orders index, diesel fuel consumption in Iowa, residential building permits in Iowa, and the national yield spread.

Iowa Leading Indicators Index Report, November 2006

The Iowa Leading Indicators Index (ILII) is a tool for monitoring the future direction of the Iowa economy and State revenues. Its eight components include an agricultural futures price index, an Iowa stock market index, average weekly manufacturing hours in Iowa, initial unemployment claims in Iowa, an Iowa new orders index, diesel fuel consumption in Iowa, residential building permits in Iowa, and the national yield spread.

Iowa Leading Indicators Index Report, December 2006

The Iowa Leading Indicators Index (ILII) is a tool for monitoring the future direction of the Iowa economy and State revenues. Its eight components include an agricultural futures price index, an Iowa stock market index, average weekly manufacturing hours in Iowa, initial unemployment claims in Iowa, an Iowa new orders index, diesel fuel consumption in Iowa, residential building permits in Iowa, and the national yield spread.

Iowa Leading Indicators Index Report, January 2007

The Iowa Leading Indicators Index (ILII) is a tool for monitoring the future direction of the Iowa economy and State revenues. Its eight components include an agricultural futures price index, an Iowa stock market index, average weekly manufacturing hours in Iowa, initial unemployment claims in Iowa, an Iowa new orders index, diesel fuel consumption in Iowa, residential building permits in Iowa, and the national yield spread.

Iowa Leading Indicators Index Report, February 2007

The Iowa Leading Indicators Index (ILII) is a tool for monitoring the future direction of the Iowa economy and State revenues. Its eight components include an agricultural futures price index, an Iowa stock market index, average weekly manufacturing hours in Iowa, initial unemployment claims in Iowa, an Iowa new orders index, diesel fuel consumption in Iowa, residential building permits in Iowa, and the national yield spread.

Iowa Leading Indicators Index Report, March 2007

The Iowa Leading Indicators Index (ILII) is a tool for monitoring the future direction of the Iowa economy and State revenues. Its eight components include an agricultural futures price index, an Iowa stock market index, average weekly manufacturing hours in Iowa, initial unemployment claims in Iowa, an Iowa new orders index, diesel fuel consumption in Iowa, residential building permits in Iowa, and the national yield spread.

Iowa Leading Indicators Index Report, April 2007

The Iowa Leading Indicators Index (ILII) is a tool for monitoring the future direction of the Iowa economy and State revenues. Its eight components include an agricultural futures price index, an Iowa stock market index, average weekly manufacturing hours in Iowa, initial unemployment claims in Iowa, an Iowa new orders index, diesel fuel consumption in Iowa, residential building permits in Iowa, and the national yield spread.

Iowa Leading Indicators Index Report, May 2007

The Iowa Leading Indicators Index (ILII) is a tool for monitoring the future direction of the Iowa economy and State revenues. Its eight components include an agricultural futures price index, an Iowa stock market index, average weekly manufacturing hours in Iowa, initial unemployment claims in Iowa, an Iowa new orders index, diesel fuel consumption in Iowa, residential building permits in Iowa, and the national yield spread.

Iowa Leading Indicators Index Report, June 2007

The Iowa Leading Indicators Index (ILII) is a tool for monitoring the future direction of the Iowa economy and State revenues. Its eight components include an agricultural futures price index, an Iowa stock market index, average weekly manufacturing hours in Iowa, initial unemployment claims in Iowa, an Iowa new orders index, diesel fuel consumption in Iowa, residential building permits in Iowa, and the national yield spread.

Iowa Leading Indicators Index Report, July 2007

The Iowa Leading Indicators Index (ILII) is a tool for monitoring the future direction of the Iowa economy and State revenues. Its eight components include an agricultural futures price index, an Iowa stock market index, average weekly manufacturing hours in Iowa, initial unemployment claims in Iowa, an Iowa new orders index, diesel fuel consumption in Iowa, residential building permits in Iowa, and the national yield spread.

Iowa Leading Indicators Index Report, August 2007

The Iowa Leading Indicators Index (ILII) is a tool for monitoring the future direction of the Iowa economy and State revenues. Its eight components include an agricultural futures price index, an Iowa stock market index, average weekly manufacturing hours in Iowa, initial unemployment claims in Iowa, an Iowa new orders index, diesel fuel consumption in Iowa, residential building permits in Iowa, and the national yield spread.

Iowa Leading Indicators Index Report, September 2007

The Iowa Leading Indicators Index (ILII) is a tool for monitoring the future direction of the Iowa economy and State revenues. Its eight components include an agricultural futures price index, an Iowa stock market index, average weekly manufacturing hours in Iowa, initial unemployment claims in Iowa, an Iowa new orders index, diesel fuel consumption in Iowa, residential building permits in Iowa, and the national yield spread.

Iowa Leading Indicators Index Report, October 2007

The Iowa Leading Indicators Index (ILII) is a tool for monitoring the future direction of the Iowa economy and State revenues. Its eight components include an agricultural futures price index, an Iowa stock market index, average weekly manufacturing hours in Iowa, initial unemployment claims in Iowa, an Iowa new orders index, diesel fuel consumption in Iowa, residential building permits in Iowa, and the national yield spread.

Iowa Leading Indicators Index Report, November 2007

The Iowa Leading Indicators Index (ILII) is a tool for monitoring the future direction of the Iowa economy and State revenues. Its eight components include an agricultural futures price index, an Iowa stock market index, average weekly manufacturing hours in Iowa, initial unemployment claims in Iowa, an Iowa new orders index, diesel fuel consumption in Iowa, residential building permits in Iowa, and the national yield spread.