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On the Random Walk Characteristics of Short- and Long-Term Interest Rates in an Efficient Market

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  • Pesando, James E

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Bibliographic Info

Article provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.

Volume (Year): 11 (1979)
Issue (Month): 4 (November)
Pages: 457-66

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Handle: RePEc:mcb:jmoncb:v:11:y:1979:i:4:p:457-66

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879

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Cited by:
  1. Yvon Fauvel & Alain Paquet & Christian Zimmermann, 1999. "A Survey on Interest Rate Forecasting," Cahiers de recherche CREFE / CREFE Working Papers 87, CREFE, Université du Québec à Montréal.
  2. Kelly, Logan, 2007. "Measuring the Economic Stock of Money," MPRA Paper 4914, University Library of Munich, Germany.
  3. V. Vance Roley & Carl E. Walsh, 1984. "Unanticipated Money and Interest Rates," NBER Working Papers 1278, National Bureau of Economic Research, Inc.
  4. Bauer, Dietmar & Wagner, Martin, 2009. "Using subspace algorithm cointegration analysis: Simulation performance and application to the term structure," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1954-1973, April.
  5. Baghestani, Hamid, 2009. "Forecasting in efficient bond markets: Do experts know better?," International Review of Economics & Finance, Elsevier, vol. 18(4), pages 624-630, October.
  6. Baghestani, Hamid, 2008. "A random walk approach to predicting US 30-year home mortgage rates," Journal of Housing Economics, Elsevier, vol. 17(3), pages 225-233, September.
  7. Chiang, Thomas C. & Chiang, Jeanette Jin, 1995. "Emperical analysis of short-term eurocurrency rates: Evidence from a transfer function error correction model," Journal of Economics and Business, Elsevier, vol. 47(4), pages 335-351, October.
  8. V. Vance Roley, 1982. "The Response of Short-Term Interest Rates to Weekly Money Announcements," NBER Working Papers 1001, National Bureau of Economic Research, Inc.
  9. Hamid Hasan, 1999. "Fisher Effect in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 38(2), pages 153-166.
  10. Deaves, Richard & Melino, Angelo & Pesando, James E., 1987. "The response of interest rates to the Federal Reserve's weekly money announcements : The 'puzzle' of anticipated money," Journal of Monetary Economics, Elsevier, vol. 19(3), pages 393-404, May.
  11. Douglas Fisher & Adrian Fleisseg & Apostolos Serletis, . "Monetary Aggregation, Rational Expectations, and the Demand for Money in the United States," Working Paper Series 01, North Carolina State University, Department of Economics.
  12. Zhongliang Tuo, 2013. "Hedging Against the Interest-rate Risk by Measuring the Yield-curve Movement," Papers 1312.6841, arXiv.org.
  13. Kelly, Logan J, 2008. "The Currency Equivalent Index and the Current Stock of Money," MPRA Paper 7176, University Library of Munich, Germany.

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