- Martin D. D. Evans & Richard K. Lyons, 2006.
"Understanding order flow,"
International Journal of Finance & Economics,
John Wiley & Sons, Ltd., vol. 11(1), pages 3-23.
[Downloadable!]
Other versions: See citations under working paper version above.
- Martin D. D. Evans & Richard K. Lyons, 2005.
"Meese-Rogoff Redux: Micro-Based Exchange-Rate Forecasting,"
American Economic Review,
American Economic Association, vol. 95(2), pages 405-414, May.
[Downloadable!]
Other versions: See citations under working paper version above.
- Martin D. D. Evans, 2005.
"Where Are We Now? Real-Time Estimates of the Macroeconomy,"
International Journal of Central Banking,
International Journal of Central Banking, vol. 1(2), September.
[Downloadable!]
Other versions:
- Evans, Martin D.D., 2005.
"Where Are We Now? Real-Time Estimates of the Macro Economy,"
CEPR Discussion Papers
5270, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
- Martin D.D. Evans, 2005.
"Where Are We Now? Real-Time Estimates of the Macro Economy,"
NBER Working Papers
11064, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
- Evans, Martin D, 2005.
"Where Are We Now? Real-Time Estimates of the Macroeconomy,"
MPRA Paper
831, University Library of Munich, Germany.
[Downloadable!]
- Martin D. D. Evans(Georgetown University and NBER), .
"Where Are We Now? Real-time Estimates of the Macro Economy,"
Working Papers
gueconwpa~05-05-02, Georgetown University, Department of Economics.
[Downloadable!]
See citations under working paper version above.
- Evans, Martin D.D. & Lyons, Richard K., 2005.
"Do currency markets absorb news quickly?,"
Journal of International Money and Finance,
Elsevier, vol. 24(2), pages 197-217, March.
[Downloadable!] (restricted)
Other versions: See citations under working paper version above.
- Martin D. D. Evans, 2003.
"Real risk, inflation risk, and the term structure,"
Economic Journal,
Royal Economic Society, vol. 113(487), pages 345-389, 04.
[Downloadable!] (restricted)
Cited by:
- Peter S. Spiro, 2003.
"Evidence on inflation expectations from Canadian real return bonds,"
Macroeconomics
0312004, EconWPA.
[Downloadable!]
- Andrew Ang & Geert Bekaert, 2004.
"The term structure of real rates and expected inflation,"
Proceedings,
Federal Reserve Bank of San Francisco, issue Mar.
[Downloadable!]
Other versions:- Ang, Andrew & Bekaert, Geert, 2004.
"The Term Structure of Real Rates and Expected Inflation,"
CEPR Discussion Papers
4518, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
- Andrew Ang & Geert Bekaert & Min Wei, 2008.
"The Term Structure of Real Rates and Expected Inflation,"
Journal of Finance,
American Finance Association, vol. 63(2), pages 797-849, 04.
[Downloadable!] (restricted)
- Andrew Ang & Geert Bekaert & Min Wei, 2007.
"The Term Structure of Real Rates and Expected Inflation,"
NBER Working Papers
12930, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
- Tobias Adrian & Emanuel Moench, 2008.
"Pricing the term structure with linear regressions,"
Staff Reports
340, Federal Reserve Bank of New York.
[Downloadable!]
- Stefania D'Amico & Don H. Kim & Min Wei, 2008.
"Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices,"
Finance and Economics Discussion Series
2008-30, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
- Tobias Adrian & Hao Wu, 2009.
"The term structure of inflation expectations,"
Staff Reports
362, Federal Reserve Bank of New York.
[Downloadable!]
- Peter Hordahl & Oreste Tristani & David Vestin, 2004.
"A joint econometric model of macroeconomic and term structure dynamics,"
Money Macro and Finance (MMF) Research Group Conference 2003
48, Money Macro and Finance Research Group.
[Downloadable!]
Other versions:- Hordahl, Peter & Tristani, Oreste & Vestin, David, 2006.
"A joint econometric model of macroeconomic and term-structure dynamics,"
Journal of Econometrics,
Elsevier, vol. 131(1-2), pages 405-444.
[Downloadable!] (restricted)
- Peter Hoerdahl & Oreste Tristani, 2004.
"A joint econometric model of macroeconomic and term structure dynamics,"
Econometric Society 2004 North American Summer Meetings
379, Econometric Society.
[Downloadable!]
- Peter Hördahl & Oreste Tristani & David Vestin, 2004.
"A joint econometric model of macroeconomic and term structure dynamics,"
Working Paper Series
405, European Central Bank.
[Downloadable!]
- Peter Hördahl & Oreste Tristani & David Vestin, 2006.
"The term structure of inflation risk premia and macroeconomic dynamics,"
Computing in Economics and Finance 2006
203, Society for Computational Economics.
[Downloadable!]
- Hasseltoft, Henrik, 2007.
"The Long-run Risk Model: Dynamics and Cyclicality of Interest Rates,"
SIFR Research Report Series
58, Institute for Financial Research.
[Downloadable!]
- Hoi Wong & Tsz Wong, 2007.
"Reduced-form Models with Regime Switching: An Empirical Analysis for Corporate Bonds,"
Asia-Pacific Financial Markets,
Springer, vol. 14(3), pages 229-253, September.
[Downloadable!] (restricted)
- Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2007.
"A Reduced Form Model of Default Spreads with Markov Switching Macroeconomic Factors,"
Cahiers de recherche
0741, CIRPEE.
[Downloadable!]
- Yong Zeng & Shu Wu, 2004.
"A General Equilibrium Model of the Term Structure of Interest Rates under Regime-switching Risk,"
Econometric Society 2004 North American Summer Meetings
304, Econometric Society.
[Downloadable!]
- Bikbov, Ruslan & Chernov, Mikhail, 2008.
"Monetary Policy Regimes and the Term Structure of Interest Rates,"
CEPR Discussion Papers
7096, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
- Mauricio Larraín, 2007.
"Inflation Compensation and Inflation Expectations in Chile,"
Working Papers Central Bank of Chile
421, Central Bank of Chile.
[Downloadable!]
- Peter Hördahl, 2008.
"The inflation risk premium in the term structure of interest rates,"
BIS Quarterly Review,
Bank for International Settlements, September.
[Downloadable!]
- Christiansen, Charlotte, 2002.
"Regime Switching in the Yield Curve,"
Finance Working Papers
02-13, University of Aarhus, Aarhus School of Business, Department of Business Studies.
[Downloadable!]
- Jardet, C. & Monfort, A. & Pegoraro, F., 2009.
"No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth,"
Documents de Travail
234, Banque de France.
[Downloadable!]
- Peter Hördahl & Oreste Tristani, 2007.
"Mortage interest rate dispersion in the euro area,"
Working Paper Series
734, European Central Bank.
[Downloadable!]
- João Libório, 2005.
"Dynamic bond portfolio choice in a model with Gaussian diffusion regimes,"
European Journal of Finance,
Taylor and Francis Journals, vol. 11(3), pages 259-270, June.
[Downloadable!] (restricted)
- Monfort, A. & Pegoraro, F., 2007.
"Switching VARMA Term Structure Models - Extended Version,"
Documents de Travail
191, Banque de France.
[Downloadable!]
Other versions:
- Evans, Martin D. D. & Lyons, Richard K., 2002.
"Time-varying liquidity in foreign exchange,"
Journal of Monetary Economics,
Elsevier, vol. 49(5), pages 1025-1051, July.
[Downloadable!] (restricted)
Cited by:
- Michael Melvin & Lukas Menkhoff & Maik Schmeling, 2008.
"Automating Exchange Rate Target Zones: Intervention via an Electronic Limit Order Book,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo Group Munich.
[Downloadable!]
- Ingrid Lo & Stephen G. Sapp, 2005.
"Order Submission: The Choice between Limit and Market Orders,"
Working Papers
05-42, Bank of Canada.
[Downloadable!]
- Kathryn M. E. Dominguez, 2003.
"When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements?,"
Working Papers
506, Research Seminar in International Economics, University of Michigan.
[Downloadable!]
Other versions:- Dominguez, Kathryn M.E., 2006.
"When do central bank interventions influence intra-daily and longer-term exchange rate movements?,"
Journal of International Money and Finance,
Elsevier, vol. 25(7), pages 1051-1071, November.
[Downloadable!] (restricted)
- Kathryn M.E. Dominguez, 2003.
"When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements?,"
NBER Working Papers
9875, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
- Joshua V. Rosenberg & Leah G. Traub, 2006.
"Price discovery in the foreign currency futures and spot market,"
Staff Reports
262, Federal Reserve Bank of New York.
[Downloadable!]
- Agnes S. Joseph & Jan F. Kiviet, 2004.
"Viewing the Relative Efficiency of IV Estimators in Models with Lagged and Instantaneous Feedbacks,"
Tinbergen Institute Discussion Papers
04-056/4, Tinbergen Institute.
[Downloadable!]
Other versions: - Hau, Harald & Massa, Massimo & Peress, Joël, 2005.
"Do Demand Curves for Currencies Slope Down? Evidence from the MSCI Global Index Change,"
CEPR Discussion Papers
4862, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
- Martin D. D. Evans & Richard K. Lyons, 2003.
"Are Different-Currency Assets Imperfect Substitutes?,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo Group Munich.
[Downloadable!]
- Martin D. D. Evans & Richard K. Lyons, 2003.
"How is Macro News Transmitted to Exchange Rates?,"
NBER Working Papers
9433, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: - Eric Hillebrand & Gunther Schnabl, 2008.
"A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility,"
International Economics and Economic Policy,
Springer, vol. 5(4), pages 389-401, December.
[Downloadable!] (restricted)
Other versions: - Antonio Scalia, 2006.
"Is foreign exchange intervention effective? Some micro-analytical evidence from the Czech Republic,"
Temi di discussione (Economic working papers)
579, Bank of Italy, Economic Research Department.
[Downloadable!]
- Menkhoff, Lukas & Schmeling, Maik, 2007.
"Whose trades convey information? Evidence from a cross-section of traders,"
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover
dp-357, Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
[Downloadable!]
- Michael Melvin & Lukas Menkhoff & Maik Schmeling, 2009.
"Exchange Rate Management in Emerging Markets: Intervention via an Electronic Limit Order Book,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo Group Munich.
[Downloadable!]
Other versions: - Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2009.
"Carry Trades and Global FX Volatility,"
MPRA Paper
14728, University Library of Munich, Germany.
[Downloadable!]
- Evans, Martin D. D. & Lyons, Richard K., 2002.
"Informational integration and FX trading,"
Journal of International Money and Finance,
Elsevier, vol. 21(6), pages 807-831, November.
[Downloadable!] (restricted)
Cited by:
- Martin D.D. Evans & Richard K. Lyons, 2004.
"A New Micro Model of Exchange Rate Dynamics,"
NBER Working Papers
10379, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: - Chris D'Souza, 2007.
"Where Does Price Discovery Occur in FX Markets?,"
Working Papers
07-52, Bank of Canada.
[Downloadable!]
- Philippe Bacchetta & Eric Van Wincoop, 2006.
"Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?,"
American Economic Review,
American Economic Association, vol. 96(3), pages 552-576, June.
[Downloadable!]
Other versions:- Bacchetta, Philippe & van Wincoop, Eric, 2003.
"Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?,"
CEPR Discussion Papers
3808, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
- Philippe Bacchetta & Eric van Wincoop, 2003.
"Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?,"
Working Papers
03.02, Swiss National Bank, Study Center Gerzensee.
[Downloadable!]
- Eric van Wincoop & Philippe Bacchetta, 2003.
"Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?,"
NBER Working Papers
9498, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
- Eric van Wincoop & Philippe Bacchetta, 2004.
"Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?,"
Econometric Society 2004 North American Winter Meetings
628, Econometric Society.
[Downloadable!]
- Angelo Ranaldo & Paul Söderlind, 2007.
"Safe Haven Currencies,"
University of St. Gallen Department of Economics working paper series 2007
2007-22, Department of Economics, University of St. Gallen.
[Downloadable!]
Other versions:- Ranaldo, Angelo & Soederlind, Paul, 2007.
"Safe Haven Currencies,"
Working Papers
2007-17, Swiss National Bank.
[Downloadable!]
- Ranaldo, Angelo & Söderlind, Paul, 2009.
"Safe Haven Currencies,"
CEPR Discussion Papers
7249, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
- Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2009.
"Exchange Rate Forecasting, Order Flow and Macroeconomic Information,"
CEPR Discussion Papers
7225, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions: - M. Martin Boyer & Simon van Norden, 2006.
"Exchange Rates and Order Flow in the Long Run,"
CIRANO Working Papers
2006s-07, CIRANO.
[Downloadable!]
Other versions: - Martin D. D. Evans & Richard K. Lyons, 2005.
"Understanding Order Flow,"
NBER Working Papers
11748, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:- Martin D. D. Evans & Richard K. Lyons, 2006.
"Understanding order flow,"
International Journal of Finance & Economics,
John Wiley & Sons, Ltd., vol. 11(1), pages 3-23.
[Downloadable!]
- Martin D. D. Evans (Georgetown University), .
"Understanding Order Flow,"
Working Papers
gueconwpa~05-05-19, Georgetown University, Department of Economics.
[Downloadable!]
- Joshua V. Rosenberg & Leah G. Traub, 2006.
"Price discovery in the foreign currency futures and spot market,"
Staff Reports
262, Federal Reserve Bank of New York.
[Downloadable!]
- Hau, Harald & Massa, Massimo & Peress, Joël, 2005.
"Do Demand Curves for Currencies Slope Down? Evidence from the MSCI Global Index Change,"
CEPR Discussion Papers
4862, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
- Michael J. Sager & Mark P. Taylor, 2006.
"Under the microscope: the structure of the foreign exchange market,"
International Journal of Finance & Economics,
John Wiley & Sons, Ltd., vol. 11(1), pages 81-95.
[Downloadable!]
- Martin D.D. Evans & Richard K. Lyons, 2005.
"Do Currency Markets Absorb News Quickly?,"
NBER Working Papers
11041, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: - Vargas, Gregorio A., 2008.
"What Drives the Dynamic Conditional Correlation of Foreign Exchange and Equity Returns?,"
MPRA Paper
7174, University Library of Munich, Germany.
[Downloadable!]
- Antonio Scalia, 2006.
"Is foreign exchange intervention effective? Some micro-analytical evidence from the Czech Republic,"
Temi di discussione (Economic working papers)
579, Bank of Italy, Economic Research Department.
[Downloadable!]
- Ingmar Nolte & Sandra Lechner, 2007.
"Customer Trading in the Foreign Exchange Market: Empirical Evidence from an Internet Trading Platform,"
CoFE Discussion Paper
07-03, Center of Finance and Econometrics, University of Konstanz.
[Downloadable!]
- Q. Farooq Akram, & Dagfinn Rime & Lucio Sarno, 2005.
"Arbitrage in the foreign exchange market: Turning on the microscope,"
Working Paper
2005/12, Norges Bank.
[Downloadable!]
Other versions:- Akram, Qaisar Farooq & Rime, Dagfinn & Sarno, Lucio, 2008.
"Arbitrage in the Foreign Exchange Market: Turning on the Microscope,"
CEPR Discussion Papers
6878, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
- Akram, Q. Farooq & Rime, Dagfinn & Sarno, Lucio, 2006.
"Arbitrage in the Foreign Exchange Market: Turning on the Microscope,"
SIFR Research Report Series
42, Institute for Financial Research.
[Downloadable!]
- Akram, Q. Farooq & Rime, Dagfinn & Sarno, Lucio, 2008.
"Arbitrage in the foreign exchange market: Turning on the microscope,"
Journal of International Economics,
Elsevier, vol. 76(2), pages 237-253, December.
[Downloadable!] (restricted)
- Martin D. D. Evans, 2002.
"FX Trading and Exchange Rate Dynamics,"
Journal of Finance,
American Finance Association, vol. 57(6), pages 2405-2447, December.
[Downloadable!] (restricted)
Other versions: See citations under working paper version above.
- Martin D. D. Evans & Richard K. Lyons, 2002.
"Order Flow and Exchange Rate Dynamics,"
Journal of Political Economy,
University of Chicago Press, vol. 110(1), pages 170-180, February.
[Downloadable!] (restricted)
Other versions:
- Martin D. D. Evans and Richard K. Lyons., 1999.
"Order Flow and Exchange Rate Dynamics,"
Research Program in Finance Working Papers
RPF-288, University of California at Berkeley.
[Downloadable!]
- Martin Evans & Richard Lyons, 1999.
"Order Flow and Exchange Rate Dynamics,"
Research Program in Finance, Working Paper Series
1007, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley.
[Downloadable!]
- Martin D.D. Evans & Richard K. Lyons, 1999.
"Order Flow and Exchange Rate Dynamics,"
NBER Working Papers
7317, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
See citations under working paper version above.
- Evans, Martin D D, 1998.
"Dividend Variability and Stock Market Swings,"
Review of Economic Studies,
Blackwell Publishing, vol. 65(4), pages 711-40, October.
[Downloadable!] (restricted)
Other versions: See citations under working paper version above.
- Martin D. D. Evans, 1998.
"Real Rates, Expected Inflation, and Inflation Risk Premia,"
Journal of Finance,
American Finance Association, vol. 53(1), pages 187-218, 02.
[Downloadable!] (restricted)
Cited by:
- Peter S. Spiro, 2003.
"Evidence on inflation expectations from Canadian real return bonds,"
Macroeconomics
0312004, EconWPA.
[Downloadable!]
- Andrew Ang & Geert Bekaert, 2004.
"The term structure of real rates and expected inflation,"
Proceedings,
Federal Reserve Bank of San Francisco, issue Mar.
[Downloadable!]
Other versions:- Ang, Andrew & Bekaert, Geert, 2004.
"The Term Structure of Real Rates and Expected Inflation,"
CEPR Discussion Papers
4518, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
- Andrew Ang & Geert Bekaert & Min Wei, 2008.
"The Term Structure of Real Rates and Expected Inflation,"
Journal of Finance,
American Finance Association, vol. 63(2), pages 797-849, 04.
[Downloadable!] (restricted)
- Andrew Ang & Geert Bekaert & Min Wei, 2007.
"The Term Structure of Real Rates and Expected Inflation,"
NBER Working Papers
12930, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
- William R. Emmons, 2000.
"The information content of Treasury inflation-indexed securities,"
Review,
Federal Reserve Bank of St. Louis, issue Nov, pages 25-38.
[Downloadable!]
- Christensen, Ian & Frédéric Dion & Christopher Reid, 2004.
"Real Return Bonds, Inflation Expectations, and the Break-Even Inflation Rate,"
Working Papers
04-43, Bank of Canada.
[Downloadable!]
- Prakash Kannan, 2008.
"Perspectives on High Real Interest Rates in Turkey,"
IMF Working Papers
08/251, International Monetary Fund.
[Downloadable!]
- Marielle de Jong & Gilbert Cette, 2008.
"The rocky ride of break-even inflation rates,"
Economics Bulletin,
Economics Bulletin, vol. 5(31), pages 1-8.
[Downloadable!]
Other versions: - Juha Ilmari Seppala, 2000.
"The Term Structure of Real Interest Rates: Theory and Evidence from the U.K. Index-Linked Bonds,"
Econometric Society World Congress 2000 Contributed Papers
0245, Econometric Society.
[Downloadable!]
- J. Huston McCulloch, 2001.
"The Inflation Premium implicit in the US Real and Nominal,"
Computing in Economics and Finance 2001
210, Society for Computational Economics.
[Downloadable!]
- Alvarez, Fernando & Jermann, Urban J., 2001.
"The Size of the Permanent Component of Asset Pricing Kernels,"
Working Papers
01-4, University of Pennsylvania, Wharton School, Weiss Center.
[Downloadable!]
Other versions: - Peter Hördahl & Oreste Tristani & David Vestin, 2006.
"The term structure of inflation risk premia and macroeconomic dynamics,"
Computing in Economics and Finance 2006
203, Society for Computational Economics.
[Downloadable!]
- Jeffrey R. Brown & Olivia S. Mitchell & James M. Poterba, 1999.
"The Role of Real Annuities and Indexed Bonds in an Individual Accounts Retirement Program,"
NBER Working Papers
7005, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:- Jeffrey R. Brown & Olivia S. Mitchell & James M. Poterba, 2001.
"The Role of Real Annuities and Indexed Bonds in an Individual Accounts Retirement Program,"
NBER Chapters,
in: Risk Aspects of Investment-Based Social Security Reform, pages 321-370
National Bureau of Economic Research, Inc.
[Downloadable!]
- Jeffrey R. Brown & Olivia S. Mitchell & James M. Poterba, .
"The Role of Real Annuities and Indexed Bonds In An Individual Accounts Retirement Program,"
Pension Research Council Working Papers
99-2, Wharton School Pension Research Council, University of Pennsylvania.
[Downloadable!]
- Jeffrey R. Brown & Olivia S. Mitchell & James M. Poterba, 1999.
"The Role of Real Annuities and Indexed Bonds in an Individual Accounts Retirement Program,"
Center for Financial Institutions Working Papers
99-18, Wharton School Center for Financial Institutions, University of Pennsylvania.
[Downloadable!]
- Hasseltoft, Henrik, 2007.
"The Long-run Risk Model: Dynamics and Cyclicality of Interest Rates,"
SIFR Research Report Series
58, Institute for Financial Research.
[Downloadable!]
- Neil Arnwine, 2004.
"Fisher Equation and Output Growth,"
Departmental Working Papers
0408, Bilkent University, Department of Economics.
[Downloadable!]
- Brückner, Markus & Gerling, Kerstin & Grüner, Hans Peter, 2007.
"Wealth Inequality and Credit Markets: Evidence from Three Industrialized Countries,"
CEPR Discussion Papers
6485, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
- Nicola Anderson & John Sleath, .
"New estimates of the UK real and nominal yield curves,"
Bank of England working papers
126, Bank of England.
[Downloadable!]
- Francisco Alonso & Roberto Blanco & Ana del Río, 2001.
"Estimating Inflation Expectations using French Government Inflation-Indexed Bonds,"
Banco de España Working Papers
0111, Banco de España.
[Downloadable!]
- Mauricio Larraín, 2007.
"Inflation Compensation and Inflation Expectations in Chile,"
Working Papers Central Bank of Chile
421, Central Bank of Chile.
[Downloadable!]
- Ravi Bansal & Amir Yaron, 2000.
"Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles,"
NBER Working Papers
8059, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: - Jacob Ejsing & Juan Angel García & Thomas Werner, 2007.
"The term structure of euro area break-even inflation rates - the impact of seasonality,"
Working Paper Series
830, European Central Bank.
[Downloadable!]
- Peter N Smith & Michael R Wickens, .
"Asset Pricing with Observable Stochastic Discount Factors,"
Discussion Papers
02/03, Department of Economics, University of York.
[Downloadable!]
Other versions: - Hakan Berument & Kamuran Malatyali, 1999.
"Determinants of interest rates in Turkey,"
Discussion Papers
9902, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
[Downloadable!]
- Ravi Bansal & Dana Kiku & Amir Yaron, 2009.
"An Empirical Evaluation of the Long-Run Risks Model for Asset Prices,"
NBER Working Papers
15504, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
- Juan Angel Garcia & Adrian van Rixtel, 2007.
"Inflation-linked bonds from a central bank perspective,"
Banco de España Occasional Papers
0705, Banco de España.
[Downloadable!]
Other versions: - Christophe Chamley, 2006.
"Complementarities in information acquisition with short-term trades,"
Boston University - Department of Economics - Working Papers Series
WP2006-042, Boston University - Department of Economics.
[Downloadable!]
- Chernov, Mikhail & Mueller, Philippe, 2008.
"The Term Structure of Inflation Expectations,"
CEPR Discussion Papers
6809, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
- Geert Bekaert & Min Wei & Yuhang Xing, 2002.
"Uncovered Interest Rate Parity and the Term Structure,"
NBER Working Papers
8795, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: - Peter Hördahl & Oreste Tristani, 2007.
"Mortage interest rate dispersion in the euro area,"
Working Paper Series
734, European Central Bank.
[Downloadable!]
- Monika Piazzesi & Martin Schneider, 2006.
"Equilibrium Yield Curves,"
NBER Working Papers
12609, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
- Adrien Verdelhan, 2006.
"A Habit-Based Explanation of the Exchange Rate Risk Premium,"
Boston University - Department of Economics - Working Papers Series
WP2006-047, Boston University - Department of Economics.
[Downloadable!]
Other versions: - Shaun K. Roache & Alexander P. Attie, 2009.
"Inflation Hedging for Long-Term Investors,"
IMF Working Papers
09/90, International Monetary Fund.
[Downloadable!]
- Dong Fu, 2007.
"Inflation expectations, real interest rate and risk premiums -- evidence from bond market and consumer survey data,"
Working Papers
0705, Federal Reserve Bank of Dallas.
[Downloadable!]
- Ayelet Balsam & Shmuel Kandel & Ori Levy, .
"Ex-Ante Real Rates and Inflation Risk Premiums: A Consumption-Based Approach,"
Rodney L. White Center for Financial Research Working Papers
22-98, Wharton School Rodney L. White Center for Financial Research.
[Downloadable!]
- Evans, Martin D D & Lewis, Karen K, 1995.
"Do Long-Term Swings in the Dollar Affect Estimates of the Risk Premia?,"
Review of Financial Studies,
Oxford University Press for Society for Financial Studies, vol. 8(3), pages 709-42.
[Downloadable!] (restricted)
Other versions:
- Martin D.D. Evans & Karen K. Lewis, 1993.
"Do Long-Term Swings in the Dollar Affect Estimates of the Risk Premia?,"
Working Papers
93-12, New York University, Leonard N. Stern School of Business, Department of Economics.
- Lewis, K. & Evans, M.D.D., 1993.
"Do Long-Term Swings in the Dollar Affect Estimates of the Risk Premia?,"
Weiss Center Working Papers
93-12, Wharton School - Weiss Center for International Financial Research.
See citations under working paper version above.
- Evans, Martin D D & Lewis, Karen K, 1995.
" Do Expected Shifts in Inflation Affect Estimates of the Long-Run Fisher Relation?,"
Journal of Finance,
American Finance Association, vol. 50(1), pages 225-53, March.
[Downloadable!] (restricted)
Other versions: See citations under working paper version above.
- Evans, Martin D D, 1994.
" Expected Returns, Time-Varying Risk, and Risk Premia,"
Journal of Finance,
American Finance Association, vol. 49(2), pages 655-79, June.
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Other versions: See citations under working paper version above.
- Evans, Martin D. D. & Lewis, Karen K., 1994.
"Do stationary risk premia explain it all?: Evidence from the term structure,"
Journal of Monetary Economics,
Elsevier, vol. 33(2), pages 285-318, April.
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Other versions: See citations under working paper version above.
- Martin Evans & Paul Wachtel, 1993.
"Inflation regimes and the sources of inflation uncertainty,"
Proceedings,
Federal Reserve Bank of Cleveland, pages 475-520.
Cited by:
- J. Peter Ferderer, 1999.
"Credibility of the Interwar Gold Standard, Uncertainty, and the Great Depression,"
Macroeconomics
9907002, EconWPA.
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- Alison Tarditi, 1996.
"Modelling the Australian Exchange Rate, Long Bond Yield and Inflationary Expectations,"
RBA Research Discussion Papers
rdp9608, Reserve Bank of Australia.
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- Funda Telatar & Erdinc Telatar, 2003.
"The relationship between inflation and different sources of inflation uncertainty in Turkey,"
Applied Economics Letters,
Taylor and Francis Journals, vol. 10(7), pages 431-435, May.
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- Andrew Ang & Geert Bekaert, 2004.
"The term structure of real rates and expected inflation,"
Proceedings,
Federal Reserve Bank of San Francisco, issue Mar.
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Other versions:- Ang, Andrew & Bekaert, Geert, 2004.
"The Term Structure of Real Rates and Expected Inflation,"
CEPR Discussion Papers
4518, C.E.P.R. Discussion Papers.
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- Andrew Ang & Geert Bekaert & Min Wei, 2008.
"The Term Structure of Real Rates and Expected Inflation,"
Journal of Finance,
American Finance Association, vol. 63(2), pages 797-849, 04.
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- Andrew Ang & Geert Bekaert & Min Wei, 2007.
"The Term Structure of Real Rates and Expected Inflation,"
NBER Working Papers
12930, National Bureau of Economic Research, Inc.
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- David Smant, 1996.
"Re-examining the cyclical behaviour of prices and output,"
Review of World Economics (Weltwirtschaftliches Archiv),
Springer, vol. 132(4), pages 651-674, December.
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- Paul Castillo & Alberto Humala & Vicente Tuesta, 2007.
"Monetary Policy, Regime Shifts, and Inflation Uncertainty in Peru (1949-2006),"
Working Papers
2007-005, Banco Central de Reserva del Perú.
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- Michael D. Bordo & Joseph G. Haubrich, 2004.
"The yield curve, recessions, and the credibility of the monetary regime: long-run evidence, 1875-1997,"
Working Paper
0402, Federal Reserve Bank of Cleveland.
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Other versions: - Sharon Kozicki & P.A. Tinsley, 2003.
"Permanent and Transitory Policy Shocks in an Empirical Macro Model with Asymmetric Information,"
CFS Working Paper Series
2003/41, Center for Financial Studies.
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Other versions:- P.A. Tinsley & Sharon Kozicki, 2004.
"Permanent and Transitory Policy Shocks in an Empirical Macro Model with Asymmetric Information,"
Computing in Economics and Finance 2004
146, Society for Computational Economics.
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- Kozicki, Sharon & Tinsley, P.A., 2005.
"Permanent and transitory policy shocks in an empirical macro model with asymmetric information,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 29(11), pages 1985-2015, November.
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- Sharon Kozicki & P.A. Tinsley, 2003.
"Permanent and transitory policy shocks in an empirical macro model with asymmetric information,"
Research Working Paper
RWP 03-09, Federal Reserve Bank of Kansas City.
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- Sharon Kozicki & Peter Tinsley, 2004.
"Permanent and transitory policy shocks in an empirical macro model with asymmetric information,"
Proceedings,
Federal Reserve Bank of San Francisco, issue Mar.
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- O'Reilly, B., 1998.
"The Benefits of Low Inflation: Taking Shock "A nickel ain't worth a dime any more" [Yogi Berra],"
Technical Reports
83, Bank of Canada.
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- Harashima, Taiji, 2007.
"Hyperinflation, disinflation, deflation, etc.: A unified and micro-founded explanation for inflation,"
MPRA Paper
3836, University Library of Munich, Germany.
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- John Simon, 1996.
"A Markov-Switching Model of Inflation in Australia,"
RBA Research Discussion Papers
rdp9611, Reserve Bank of Australia.
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- Lawrence Goldberg & James Lothian & John Okunev, 2003.
"Has International Financial Integration Increased?,"
Open Economies Review,
Springer, vol. 14(3), pages 299-317, July.
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Other versions: - Guglielmo Maria Caporale & Alexandros Kontonikas, 2006.
"The Euro And Inflation Uncertainty In The European Monetary Union,"
Economics and Finance Discussion Papers
06-01, Economics and Finance Section, School of Social Sciences, Brunel University.
[Downloadable!]
Other versions:- Caporale, Guglielmo Maria & Kontonikas, Alexandros, 2009.
"The Euro and inflation uncertainty in the European Monetary Union,"
Journal of International Money and Finance,
Elsevier, vol. 28(6), pages 954-971, October.
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- Guglielmo Maria Caporale & Alexandros Kontonikas, 2006.
"The Euro and Inflation Uncertainty in the European Monetary Union,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo Group Munich.
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- Guglielmo Maria, Caporale & Alexandros , Kontonikas, 2007.
"The Euro and Inflation Uncertainty in the European Monetary Union,"
CELPE Discussion Papers
101, CELPE (Centre of Labour Economics and Economic Policy), University of Salerno, Italy.
[Downloadable!]
- da Silva Filho, Tito Nícias Teixeira, 2005.
"Is There Too Much Certainty When Measuring Uncertainty,"
MPRA Paper
16383, University Library of Munich, Germany.
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- Juan Carlos Echeverry G., 1996.
"The Rise And Perpetuation Of A Moderate Inflation, Colombia 1970-1991,"
BORRADORES DE ECONOMIA
003621, BANCO DE LA REPÚBLICA.
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Other versions: - Gregory Gadzinski & Fabrice Orlandi, 2004.
"Inflation persistence in the European Union, the euro area, and the United States,"
Working Paper Series
414, European Central Bank.
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- Luca Benati, .
"UK monetary regimes and macroeconomic stylised facts,"
Bank of England working papers
290, Bank of England.
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Other versions: - Andrew T. Levin & Jeremy M. Piger, 2003.
"Is inflation persistence intrinsic in industrial economies?,"
Working Papers
2002-023, Federal Reserve Bank of St. Louis.
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Other versions: - Chan G. Huh & Kevin J. Lansing, 1998.
"Expectations, credibility, and disinflation in a small macroeconomic model,"
Working Papers in Applied Economic Theory and Econometrics
98-01, Federal Reserve Bank of San Francisco.
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Other versions:- Chan G. Huh & Kevin J. Lansing, 1997.
"Expectations, credibility, and disinflation in a small macroeconomic model,"
Working Paper
9713, Federal Reserve Bank of Cleveland.
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- Huh, Chan G. & Lansing, Kevin J., 2000.
"Expectations, credibility, and disinflation in a small macroeconomic model,"
Journal of Economics and Business,
Elsevier, vol. 52(1-2), pages 51-86.
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- Giordani, Paolo & Soderlind, Paul, 2000.
"Inflation Forecast Uncertainty,"
Working Paper Series in Economics and Finance
384, Stockholm School of Economics, revised 09 Oct 2000.
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Other versions:- Söderlind, Paul, 2000.
"Inflation Forecast Uncertainty,"
CEPR Discussion Papers
2499, C.E.P.R. Discussion Papers.
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- Giordani, Paolo & Soderlind, Paul, 2003.
"Inflation forecast uncertainty,"
European Economic Review,
Elsevier, vol. 47(6), pages 1037-1059, December.
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- John Ammer, 1994.
"Inflation, inflation risk, and stock returns,"
International Finance Discussion Papers
464, Board of Governors of the Federal Reserve System (U.S.).
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- Richard D. Farmer, 2006.
"Risk-Smoothing Across Time and the Demand for Inventories: A Mean-Variance Approach,"
Eastern Economic Journal,
Eastern Economic Association, vol. 32(4), pages 699-722, Fall.
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- Taner Yigit, 2007.
"Inflation Targeting : An Indirect Approach to Assess the Direct Impact,"
Departmental Working Papers
0706, Bilkent University, Department of Economics.
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- Crawford, A & Kasumovich, M, 1996.
"Does Inflation Uncertainty Vary with the Level of Inflation?,"
Working Papers
96-09, Bank of Canada.
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- Sharon Kozicki & Peter A. Tinsley, .
"Moving Endpoints in Macrofinance,"
Computing in Economics and Finance 1996
_058, Society for Computational Economics.
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- Julia Lendvai, 2006.
"Inflation dynamics and regime shifts,"
Working Paper Series
684, European Central Bank.
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- Remzi Uctum, 2007.
"Econométrie des modèles à changements de régimes: un essai de synthèse,"
Post-Print
halshs-00174034_v1, HAL.
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- Fung, Ben & Mitnick, Scott & Remolona, Eli, 1999.
"Uncovering Inflation Expectations and Risk Premiums From Internationally Integrated Financial Markets,"
Working Papers
99-6, Bank of Canada.
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- Grand Nathalie & Dropsy Vincent, 2005.
"Exchange Rate And Inflation Targeting In Morocco And Tunisia,"
Macroeconomics
0507018, EconWPA.
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- Lieven Baele & Geert Bekaert & Koen Inghelbrecht, 2009.
"The Determinants of Stock and Bond Return Comovements,"
NBER Working Papers
15260, National Bureau of Economic Research, Inc.
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Other versions: - Taner Yigit, 2002.
"Effects of Moments on Aggregation and Long Memory in Inflation,"
Departmental Working Papers
0210, Bilkent University, Department of Economics.
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Other versions: - Fushang Liu & Kajal Lahiri, 2006.
"Modelling multi-period inflation uncertainty using a panel of density forecasts,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 21(8), pages 1199-1219.
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Other versions: - George Hondroyiannis & Sophia Lazaretou, 2007.
"Inflation persistence during periods of structural change: an assessment using Greek data,"
Empirica,
Springer, vol. 34(5), pages 453-475, December.
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Other versions: - John W. Galbraith & Greg Tkacz, 2007.
"How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables,"
Working Papers
07-1, Bank of Canada.
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- Silvia Sgherri & Tamim Bayoumi, 2004.
"Deconstructing the Art of Central Banking,"
IMF Working Papers
04/195, International Monetary Fund.
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Other versions: - Harashima, Taiji, 2008.
"A Microfounded Mechanism of Observed Substantial Inflation Persistence,"
MPRA Paper
10668, University Library of Munich, Germany.
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- Andreea Halunga & Denise Osborn & Marianne Sensier, 2007.
"Changes in the order of integration of US and UK inflation,"
The School of Economics Discussion Paper Series
0715, Economics, The University of Manchester.
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Other versions: - Sharon Kozicki & Barak Hoffman, 1999.
"Implications of rounding and rebasing for empirical analysis using consumer price inflation,"
Research Working Paper
99-08, Federal Reserve Bank of Kansas City.
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- Gwen Eudey & Roberto Perli, 1999.
"Regime-switching in expectations over the business cycle,"
Working Papers
99-17, Federal Reserve Bank of Philadelphia.
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- Ragan, Christopher, 1998.
"On the Believable Benefits of Low Inflation,"
Working Papers
98-15, Bank of Canada.
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- Fernando Alexandre & John Drifill & Fabio Spagniolo, 2001.
"Inflation Targeting and Exchange Rate Co-ordination,"
NIPE Working Papers
9/2001, NIPE - Universidade do Minho.
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- Andrew Ang & Geert Bekaert & Min Wei, 2006.
"Do macro variables, asset markets, or surveys forecast inflation better?,"
Finance and Economics Discussion Series
2006-15, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Other versions:- Andrew Ang & Geert Bekaert & Min Wei, 2005.
"Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?,"
NBER Working Papers
11538, National Bureau of Economic Research, Inc.
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- Ang, Andrew & Bekaert, Geert & Wei, Min, 2007.
"Do macro variables, asset markets, or surveys forecast inflation better?,"
Journal of Monetary Economics,
Elsevier, vol. 54(4), pages 1163-1212, May.
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- C.S. Bos & S.J. Koopman & M. Ooms, 2007.
"Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks,"
Tinbergen Institute Discussion Papers
07-099/4, Tinbergen Institute.
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Other versions: - Gerald Stuber, 2001.
"Implications of Uncertainty about Long-Run Inflation and the Price Level,"
Working Papers
01-16, Bank of Canada.
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- Carmen Broto & Esther Ruiz, 2008.
"Testing for conditional heteroscedasticity in the components of inflation,"
Banco de España Working Papers
0812, Banco de España.
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Other versions: - Benjamin D. Keen & Evan F. Koenig, 2009.
"How robust are popular models of nominal frictions?,"
Working Papers
0903, Federal Reserve Bank of Dallas.
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- Tsyplakov Alexander, 2001.
"Does Lower Inflation Imply Lower Price Uncertainty?,"
EERC Working Paper Series
2k-06e, EERC Research Network, Russia and CIS.
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- Evans, Martin D. D. & Lewis, Karen K., 1993.
"Trends in excess returns in currency and bond markets,"
European Economic Review,
Elsevier, vol. 37(5), pages 1005-1019, June.
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Cited by:
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"Cointegration and Forward and Spot Exchange Rate Regressions,"
Econometrics
9812001, EconWPA.
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- Avik Chakraborty, 2004.
"Learning, the Forward Premium Puzzle and Market Efficiency,"
University of Oregon Economics Department Working Papers
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"Table of Contents, List of Contributors, and Introduction to NONLINEAR TIME SERIES ANALYSIS OF ECONOMIC AND FINANCIAL DATA, Kluwer Academic Press, edited,"
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9812, East Carolina University, Department of Economics.
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- Nelson C. Mark & Yangru Wu, 1996.
"Risk, Policy Rules, and Noise: Rethinking Deviations From Uncovered Interest Parity,"
Working Papers
014, Ohio State University, Department of Economics.
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Other versions: - Godbout, M.J. & Van Norden, S., 1996.
"Unit-Root Test and Excess Returns,"
Working Papers
96-10, Bank of Canada.
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- Nelson Mark & Yangru Wu, 1998.
"Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise,"
Working Papers
98-05, Ohio State University, Department of Economics.
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Other versions: - Charles Nelson & Jeremy Piger & Eric Zivot, 1999.
"Unit Root Tests in the Presence of Markov Regime-Switching,"
Working Papers
0040, University of Washington, Department of Economics.
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Other versions: - Natalya Delcoure & John T. Barkoulas & Christopher F. Baum & Atreya Chakraborty, 2000.
"The Forward Rate Unbiasedness Hypothesis Revisited: Evidence from a New Test,"
Boston College Working Papers in Economics
464, Boston College Department of Economics.
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"Econometrics of the forward premium puzzle,"
University of Oregon Economics Department Working Papers
2005-18, University of Oregon Economics Department.
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- Evans, Martin & Wachtel, Paul, 1993.
"Were price changes during the Great Depression anticipated? : Evidence from nominal interest rates,"
Journal of Monetary Economics,
Elsevier, vol. 32(1), pages 3-34, August.
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Other versions: See citations under working paper version above.
- Evans, Martin & Wachtel, Paul, 1993.
"Inflation Regimes and the,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 25(3), pages 475-511, August.
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Cited by:
- Guerrieri, Luca, 2002.
"Persistent Issues in Inflation Persistence,"
Review on Economic Cycles,
International Association of Economic Cycles, vol. 5(1), December.
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- Andrew Ang & Geert Bekaert & Min Wei, 2005.
"Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?,"
NBER Working Papers
11538, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:- Ang, Andrew & Bekaert, Geert & Wei, Min, 2007.
"Do macro variables, asset markets, or surveys forecast inflation better?,"
Journal of Monetary Economics,
Elsevier, vol. 54(4), pages 1163-1212, May.
[Downloadable!] (restricted)
- Andrew Ang & Geert Bekaert & Min Wei, 2006.
"Do macro variables, asset markets, or surveys forecast inflation better?,"
Finance and Economics Discussion Series
2006-15, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
- Luca Guerrieri, 2002.
"The inflation persistence of staggered contracts,"
International Finance Discussion Papers
734, Board of Governors of the Federal Reserve System (U.S.).
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Other versions: - Carl Chiarella & Peter Flaschel & Reiner Franke & Willi Semmler, 2002.
"Stability Analysis of a High-Dimensional Macrodynamic Model of Real-Financial Interaction: A Cascade of Matrices Approach,"
Working Paper Series
123, School of Finance and Economics, University of Technology, Sydney.
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- Christopher J. Erceg & Andrew T. Levin, 2001.
"Imperfect credibility and inflation persistence,"
Finance and Economics Discussion Series
2001-45, Board of Governors of the Federal Reserve System (U.S.).
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Other versions:- Christopher J. Erceg and Andrew T. Levin, 2001.
"Imperfect Credibility and Inflation Persistence,"
Computing in Economics and Finance 2001
19, Society for Computational Economics.
- Erceg, Christopher J. & Levin, Andrew T., 2003.
"Imperfect credibility and inflation persistence,"
Journal of Monetary Economics,
Elsevier, vol. 50(4), pages 915-944, May.
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- Michael S. Dueker & Andreas M. Fischer, 1996.
"Are federal funds rate changes consistent with price stability? Results from an indicator model,"
Review,
Federal Reserve Bank of St. Louis, issue Jan, pages 45-51.
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- David K. Backus & Stanley E. Zin, 1993.
"Long-memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates,"
NBER Technical Working Papers
0133, National Bureau of Economic Research, Inc.
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Other versions:- David K. Backus, 1993.
"Long-Memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates,"
Working Papers
93-04, New York University, Leonard N. Stern School of Business, Department of Economics.
- Backus, David K & Zin, Stanley E, 1993.
"Long-Memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 25(3), pages 681-700, August.
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- David K. Backus & Stanley E. Zin, 1993.
"Long-memory inflation uncertainty: evidence from the term structure of interest rates,"
Proceedings,
Federal Reserve Bank of Cleveland, pages 681-708.
- Vasco J. Gabriel & Luis F. Martins, 2000.
"The Forecast Performance of Long Memory and Markov Switching Models,"
NIPE Working Papers
2/2000, NIPE - Universidade do Minho.
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- Juan Ayuso & Graciela L. Kaminsky & David López-Salido, 2003.
"Inflation regimes and stabilisation policies: Spain 1962-2001,"
Investigaciones Economicas,
Fundación SEPI, vol. 27(3), pages 615-631, September.
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- Carl Chiarella & Peter Flaschel & Reiner Franke & Willi Semmler, 2001.
"Real-Financial Interaction: Integrating Supply Side Wage-Price Dynamics and the Stock Market,"
Working Paper Series
112, School of Finance and Economics, University of Technology, Sydney.
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- J. Ayuso & G.L. Kaminsky & D. López Salido, .
"Inflation regimes and stabilization policies, Spain 1962-1997,"
Studies on the Spanish Economy
10, FEDEA.
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- Steffen Henzel, 2008.
"Learning Trend Inflation – Can Signal Extraction Explain Survey Forecasts?,"
Ifo Working Paper Series
Ifo Working Paper No. 55, Ifo Institute for Economic Research at the University of Munich.
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- Evans, Martin D. D. & Lothian, James R., 1993.
"The response of exchange rates to permanent and transitory shocks under floating exchange rates,"
Journal of International Money and Finance,
Elsevier, vol. 12(6), pages 563-586, December.
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Other versions: See citations under working paper version above.
- Evans, Martin & Wachtel, Paul, 1992.
"Interpreting the Movements in Short-Term Interest Rates,"
Journal of Business,
University of Chicago Press, vol. 65(3), pages 395-429, July.
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- Mauricio Larraín, 2007.
"Inflation Compensation and Inflation Expectations in Chile,"
Working Papers Central Bank of Chile
421, Central Bank of Chile.
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- Karen K. Lewis & Martin D. Evans, 1992.
"Do Expected Shifts in Inflation Policy Affect Real Rates?,"
NBER Working Papers
4134, National Bureau of Economic Research, Inc.
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Other versions: - Christian Mose Nielsen, 2005.
"The information content of the term structure of interest rates about future inflation – an illustration of the importance of accounting for a time-varying real interest rate and inflation risk prem,"
Money Macro and Finance (MMF) Research Group Conference 2005
86, Money Macro and Finance Research Group.
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- Ali Kutan & Tansu Aksoy, 2003.
"Public Information Arrival and the Fisher Effect in Emerging Markets: Evidence from Stock and Bond Markets in Turkey,"
Journal of Financial Services Research,
Springer, vol. 23(3), pages 225-239, June.
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- Ayelet Balsam & Shmuel Kandel & Ori Levy, .
"Ex-Ante Real Rates and Inflation Risk Premiums: A Consumption-Based Approach,"
Rodney L. White Center for Financial Research Working Papers
22-98, Wharton School Rodney L. White Center for Financial Research.
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"Discovering the Link between Inflation Rates and Inflation Uncertainty,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 23(2), pages 169-84, May.
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Cited by:
- Funda Telatar & Erdinc Telatar, 2003.
"The relationship between inflation and different sources of inflation uncertainty in Turkey,"
Applied Economics Letters,
Taylor and Francis Journals, vol. 10(7), pages 431-435, May.
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- Paul Castillo & Alberto Humala & Vicente Tuesta, 2007.
"Monetary Policy, Regime Shifts, and Inflation Uncertainty in Peru (1949-2006),"
Working Papers
2007-005, Banco Central de Reserva del Perú.
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- Carlos Fernández, 2001.
"Further Evidence on Friedman's Hypothesis,"
Cuadernos de Economía (Latin American Journal of Economics),
Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 38(115), pages 257-273.
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- Guglielmo Maria Caporale & Alexandros Kontonikas, 2006.
"The Euro And Inflation Uncertainty In The European Monetary Union,"
Economics and Finance Discussion Papers
06-01, Economics and Finance Section, School of Social Sciences, Brunel University.
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Other versions:- Caporale, Guglielmo Maria & Kontonikas, Alexandros, 2009.
"The Euro and inflation uncertainty in the European Monetary Union,"
Journal of International Money and Finance,
Elsevier, vol. 28(6), pages 954-971, October.
[Downloadable!] (restricted)
- Guglielmo Maria Caporale & Alexandros Kontonikas, 2006.
"The Euro and Inflation Uncertainty in the European Monetary Union,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo Group Munich.
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- Guglielmo Maria, Caporale & Alexandros , Kontonikas, 2007.
"The Euro and Inflation Uncertainty in the European Monetary Union,"
CELPE Discussion Papers
101, CELPE (Centre of Labour Economics and Economic Policy), University of Salerno, Italy.
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- Bill RUSSELL & Jonathan EVANS & Bruce PRESTON, 2002.
"The Impact of Inflation and Uncertainty on the Optimum Markup Set by Firms,"
Economics Working Papers
ECO2002/02, European University Institute.
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- Alejandro Rodriguez & Esther Ruiz, 2008.
"Bootstrap prediction intervals in State Space models,"
Statistics and Econometrics Working Papers
ws081104, Universidad Carlos III, Departamento de Estadística y Econometría.
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- da Silva Filho, Tito Nícias Teixeira, 2005.
"Is There Too Much Certainty When Measuring Uncertainty,"
MPRA Paper
16383, University Library of Munich, Germany.
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- Steven Holland, 1994.
"Inflation and Wage Indexation in the Postwar U.S,"
Macroeconomics
9402001, EconWPA.
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- A. Kontonikas, 2002.
"Inflation and Inflation Uncertainty in the United Kingdom: Evidence from GARCH modelling,"
Economics and Finance Discussion Papers
02-28, Economics and Finance Section, School of Social Sciences, Brunel University.
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Other versions:- Kontonikas, A., 2004.
"Inflation and inflation uncertainty in the United Kingdom, evidence from GARCH modelling,"
Economic Modelling,
Elsevier, vol. 21(3), pages 525-543, May.
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- A. Kontonikas, 2002.
"Inflation and Inflation Uncertainty in the United Kingdom: Evidence from GARCH modelling,"
Public Policy Discussion Papers
02-28, Economics and Finance Section, School of Social Sciences, Brunel University.
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- Don Kim, 2008.
"Challenges in macro-finance modeling,"
Finance and Economics Discussion Series
2008-06, Board of Governors of the Federal Reserve System (U.S.).
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- Silvia Sgherri & Tamim Bayoumi, 2004.
"Monetary Magic? How the Fed Improved the Supply Side of the Economy,"
Econometric Society 2004 Far Eastern Meetings
422, Econometric Society.
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Other versions: - Don H. Kim, 2009.
"Challenges in macro-finance modeling,"
Review,
Federal Reserve Bank of St. Louis, issue Sep, pages 519-544.
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- Crawford, A & Kasumovich, M, 1996.
"Does Inflation Uncertainty Vary with the Level of Inflation?,"
Working Papers
96-09, Bank of Canada.
[Downloadable!]
- Karen K. Lewis & Martin D. Evans, 1992.
"Do Expected Shifts in Inflation Policy Affect Real Rates?,"
NBER Working Papers
4134, National Bureau of Economic Research, Inc.
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Other versions: - Guglielmo maria Coporale & Alexandros Kontonikas, 2006.
"The EURO and Inflation Uncertainty In The EMU,"
Working Papers
2005_13, Department of Economics, University of Glasgow.
[Downloadable!]
- Silvia Sgherri & Tamim Bayoumi, 2004.
"Monetary Magic? How the Fed Improved the Flexibility of the U.S. Economy,"
IMF Working Papers
04/24, International Monetary Fund.
[Downloadable!]
- Fushang Liu & Kajal Lahiri, 2006.
"Modelling multi-period inflation uncertainty using a panel of density forecasts,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 21(8), pages 1199-1219.
[Downloadable!]
Other versions: - WenShwo Fang & Stephen M. Miller & Chih-Chuan Yeh, 2009.
"Does a Threshold Inflation Rate Exist? Quantile Inferences for Inflation and Its Variability,"
Working Papers
0921, University of Nevada, Las Vegas , Department of Economics.
[Downloadable!]
Other versions: - Kenneth M. Emery, 1992.
"Inflation and its variability: a note?,"
Research Paper
9205, Federal Reserve Bank of Dallas.
[Downloadable!]
- Sharon Kozicki & Barak Hoffman, 1999.
"Implications of rounding and rebasing for empirical analysis using consumer price inflation,"
Research Working Paper
99-08, Federal Reserve Bank of Kansas City.
[Downloadable!]
- Timothy Cogley, 1995.
"Inflation uncertainty and excess returns on stocks and banks,"
Economic Review,
Federal Reserve Bank of San Francisco, pages 21-29.
[Downloadable!]
- Guler, Bulent & Ozlale, Umit, 2004.
"Is there a flight to quality due to inflation uncertainty?,"
MPRA Paper
7929, University Library of Munich, Germany.
[Downloadable!]
- Ester Ruiz & Fernando Lorenzo, 1998.
"The relation between the level and uncertainty of inflation,"
Documentos de Trabajo (working papers)
0698, Department of Economics - dECON.
[Downloadable!]
- Stilianos Fountas & Menelaos Karanasos & Marika Karanassou, .
"A GARCH Model of Inflation and Inflation Uncertainty with Simultaneous Feedback,"
Discussion Papers
00/24, Department of Economics, University of York.
[Downloadable!]
Other versions:- Stilianos Fountas & Menelaos Karanasos & Marika Karanassou, 2000.
"A GARCH Model of Inflation and Inflation Uncertainty with Simultaneous Feedback,"
Working Papers
414, Queen Mary, University of London, Department of Economics.
[Downloadable!]
- Fountas, S. & Karanasos, M. & Karanassou, M., 2000.
"GARCH Model of Inflation and Inflation Uncertainty with Simultaneous Feedback,"
Department of Economics
47, National University of Ireland, Galway - Department of Economics.
- Carmen Broto & Esther Ruiz, 2008.
"Testing for conditional heteroscedasticity in the components of inflation,"
Banco de España Working Papers
0812, Banco de España.
[Downloadable!]
Other versions: - Tsyplakov Alexander, 2001.
"Does Lower Inflation Imply Lower Price Uncertainty?,"
EERC Working Paper Series
2k-06e, EERC Research Network, Russia and CIS.
[Downloadable!]