An analysis of the term structure of interest rates, January 1980-March, 1994

The purpose of this study is to describe and analyze the behavior of the term structure of interest rates on a daily basis between January 2, 1980, and March 31, 1994, especially with respect to the synchronization and the relative amplitude of change of different maturities in the term structure.

Results reveal a high degree of synchronization of the elements of the yield curve during this period. Volatility was found to vary inversely with maturity during this time.

The characteristics seen in the daily term structure of this period are consistent with observations in prior studies, including a study of 1901-1954 annual data by Dr. David I. Meiselman and a study of 1955-1989 monthly data by Maj-Lis A. Voss.