|No, Excel does not have a function to do that. I can't even imagine why they would.|
You are going to need a macro.
This might work:
With the early year (e.g. 1997) in A1 and the later year (e.g. 2001) in A2, this will put your desired result in A3:
Dim yearDif, nxtYear As Integer
Dim tmpString As String
'Subtract A1 from A2
yearDif = Sheets(1).Range("A2") - Sheets(1).Range("A1")
'Set Temporary String = A1
tmpString = Sheets(1).Range("A1")
'Build String by looping
For nxtYear = 1 To yearDif
tmpString = tmpString & ", " & Sheets(1).Range("A1") + nxtYear
'Place Complete String in A3
Sheets(1).Range("A3") = tmpString
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