| Article ID: | iaor201522830 |
| Volume: | 8 |
| Issue: | 4 |
| Start Page Number: | 297 |
| End Page Number: | 306 |
| Publication Date: | Dec 1985 |
| Journal: | Journal of Financial Research |
| Authors: | Thies Clifford F |
| Keywords: | finance & banking, simulation, statistics: inference |
New estimates of the term structures of interest rates for the inter‐war period are constructed using a McCulloch‐type bond pricing model. The new estimates are compared to the Durand Basic Yields. The Basic Yields are found to be poor estimates: being oversmoothed, wiping out humped term structures, and emasculating the liquidity premium. In contrast, the new estimates appear to behave very much like post‐war term structures: exhibiting humps at cyclic peaks and evidence of a liquidity premium.