fm3_chapter26, mcculloch term structures

fm3_chapter26, mcculloch term structures - J Huston...

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Unformatted text preview: J. Huston McCulloch [email protected] Economics Dept. voice (614) 292-0382 Ohio State Univ. FAX (614) 292-3906, attn. J.H. McCulloch 1945 N. High St. Columbus, OH 43210 URL: http://econ.ohio-state.edu/jhm/jhm.html UN-15I Term Structures, 1948 2.6 2.4 2.2 2 Pure discount rate % 1.8 1.6 1.4 1.2 1 0.8 0mo 1mo 2mo 3mo 4mo 5mo 6mo 9mo 1yr 2 yr 3yr 4yr 5yr 10yr 15yr 20yr Maturity 1 UN-15I 0.8 0mo 1mo 2mo 3mo 4mo 5mo 6mo 9mo 1yr 2 yr 3yr 4yr 5yr 10yr 15yr 20yr Maturity UN-15J Term Structures, 1981 18 17 16 15 Pure discount rate, % 14 13 12 11 10 9 8 0mo 1mo 2mo 3mo 4mo 5mo 6mo 9mo 1yr 2 yr 3yr 4yr 5yr 10yr 15yr 20yr 25yr Maturity 10 9 UN-15J 8 0mo 1mo 2mo 3mo 4mo 5mo 6mo 9mo 1yr 2 yr 3yr 4yr 5yr 10yr 15yr 20yr 25yr Maturity ...
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