Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
The expectations hypothesis of the term structure implies a nonlinear relationship between short- and long-term rates if nominal interest rates are constrained by the zero lower bound (ZLB). This note finds limited evidence for such nonlinearities in the US term structure. The sensitivity of medium-term yields to short rate movements declined, but there is no evidence for asymmetric responses to positive versus negative short rate changes.