Interest Rate Conundrums in the 21st Century. Samuel Hanson, June 13, 2018, Paper, “A large literature argues that long-term nominal interest rates react far more to high-frequency (daily or monthly) movements in short-term rates than is predicted by the standard expectations hypothesis. We find that, since 2000, this high-frequency sensitivity has grown even stronger in U.S. data. By contrast, the association between low-frequency changes (at 6- or 12-month horizons) in short- and long-term rates, which was equally strong before 2000, has weakened substantially. As a result, “conundrums”—defined as 6- or 12-month periods in which short and long rates move in opposite directions—have become increasingly common.Link