Sen Dong
Personal Details
First Name: | Sen |
Middle Name: | |
Last Name: | Dong |
Suffix: | |
RePEc Short-ID: | pdo68 |
| |
http://www.columbia.edu/~sd2068 | |
Affiliation
Finance and Economics Department
Graduate School of Business
Columbia University
New York City, New York (United States)http://www.gsb.columbia.edu/finance
RePEc:edi:feclbus (more details at EDIRC)
Research output
Jump to: ArticlesArticles
- Andrew Ang & Sen Dong & Monika Piazzesi, 2005.
"No-arbitrage Taylor rules,"
Proceedings, Federal Reserve Bank of San Francisco.
- Andrew Ang & Sen Dong, 2005. "No-Arbitrage Taylor Rules," 2005 Meeting Papers 22, Society for Economic Dynamics.
- Andrew Ang & Sen Dong & Monika Piazzesi, 2007. "No-Arbitrage Taylor Rules," NBER Working Papers 13448, National Bureau of Economic Research, Inc.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Articles
- Andrew Ang & Sen Dong & Monika Piazzesi, 2005.
"No-arbitrage Taylor rules,"
Proceedings, Federal Reserve Bank of San Francisco.
- Andrew Ang & Sen Dong, 2005. "No-Arbitrage Taylor Rules," 2005 Meeting Papers 22, Society for Economic Dynamics.
- Andrew Ang & Sen Dong & Monika Piazzesi, 2007. "No-Arbitrage Taylor Rules," NBER Working Papers 13448, National Bureau of Economic Research, Inc.
Cited by:
- Matsumura, Marco & Moreira, Ajax & Vicente, José, 2011. "Forecasting the yield curve with linear factor models," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 237-243.
- Dominique Guegan & Florian Ielpo, 2007. "Further evidence on the impact of economic news on interest rates," Post-Print halshs-00188331, HAL.
- Favero, Carlo A. & Sala, Luca & Niu, Linlin, 2007.
"Term Structure Forecasting: No-Arbitrage Restrictions vs Large Information Set,"
CEPR Discussion Papers
6206, C.E.P.R. Discussion Papers.
- Carlo A. Favero & Linlin Niu & Luca Sala, 2007. "Term Structure Forecasting: No-arbitrage Restrictions vs. Large Information Set," Working Papers 318, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Mehmet Pasaogullari, 2015. "Forecasts from Reduced-form Models under the Zero-Lower-Bound Constraint," Working Papers (Old Series) 1512, Federal Reserve Bank of Cleveland.
- Marco Matsumara & Ajax R.B. Moreira, 2005. "Can Macroeconomic Variables Account for the Term Structure of Sovereign Spreads? Studying the Brazilian Case," Discussion Papers 1106, Instituto de Pesquisa Econômica Aplicada - IPEA.
- Michiel De Pooter & Francesco Ravazzolo & Dick van Dijk, 2010.
"Term structure forecasting using macro factors and forecast combination,"
International Finance Discussion Papers
993, Board of Governors of the Federal Reserve System (U.S.).
- Michiel de Pooter & Francesco Ravazzolo & Dick van Dijk, 2010. "Term structure forecasting using macro factors and forecast combination," Working Paper 2010/01, Norges Bank.
- Don H. Kim, 2008. "Challenges in macro-finance modeling," Finance and Economics Discussion Series 2008-06, Board of Governors of the Federal Reserve System (U.S.).
- Michael D. Bauer & Glenn D. Rudebusch, 2014.
"The Signaling Channel for Federal Reserve Bond Purchases,"
International Journal of Central Banking, International Journal of Central Banking, vol. 10(3), pages 233-289, September.
- Michael D. Bauer & Glenn D. Rudebusch, 2011. "The signaling channel for Federal Reserve bond purchases," Working Paper Series 2011-21, Federal Reserve Bank of San Francisco.
- Taboga, Marco & Pericoli, Marcello, 2008.
"Bond risk premia, macroeconomic fundamentals and the exchange rate,"
MPRA Paper
9523, University Library of Munich, Germany.
- Marcello Pericoli & Marco Taboga, 2009. "Bond risk premia, macroeconomic fundamentals and the exchange rate," Temi di discussione (Economic working papers) 699, Bank of Italy, Economic Research and International Relations Area.
- Pericoli, Marcello & Taboga, Marco, 2012. "Bond risk premia, macroeconomic fundamentals and the exchange rate," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 42-65.
- Jotikasthira, Chotibhak & Le, Anh & Lundblad, Christian, 2015. "Why do term structures in different currencies co-move?," Journal of Financial Economics, Elsevier, vol. 115(1), pages 58-83.
- Peter Aling & Dr. Shakill Hassan, 2012.
"NoArbitrage OneFactor Models of the South African TermStructure of Interest Rates,"
Working Papers
4946, South African Reserve Bank.
- Peter Aling & Shakill Hassan, 2012. "No-Arbitrage One-Factor Models Of The South African Term Structure Of Interest Rates," South African Journal of Economics, Economic Society of South Africa, vol. 80(3), pages 301-318, September.
- Peter Aling & Shakill Hassan, 2011. "No-Arbitrage One-Factor Models of the South African Term-Structure of Interest Rates," Working Papers 246, Economic Research Southern Africa.
- Marco S. Matsumura, 2015. "Impact of Macro Shocks on Sovereign Default Probabilities," Discussion Papers 0173, Instituto de Pesquisa Econômica Aplicada - IPEA.
- Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014.
"Bond Return Predictability: Economic Value and Links to the Macroeconomy,"
Working Papers
75, Brandeis University, Department of Economics and International Business School.
- Timmermann, Allan & Pettenuzzo, Davide & Gargano, Antonio, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," CEPR Discussion Papers 10104, C.E.P.R. Discussion Papers.
- Antonio Gargano & Davide Pettenuzzo & Allan Timmermann, 2019. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Management Science, INFORMS, vol. 65(2), pages 508-540, February.
- Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Working Papers 75R, Brandeis University, Department of Economics and International Business School, revised Jul 2016.
- Andrew Atkeson & Patrick J. Kehoe, 2008.
"On the Need for a New Approach to Analyzing Monetary Policy,"
NBER Working Papers
14260, National Bureau of Economic Research, Inc.
- Andrew Atkeson & Patrick J. Kehoe, 2008. "On the need for a new approach to analyzing monetary policy," Working Papers 662, Federal Reserve Bank of Minneapolis.
- Andrew Atkeson & Patrick J. Kehoe, 2008. "On the need for a new approach to analyzing monetary policy," Staff Report 412, Federal Reserve Bank of Minneapolis.
- Andrew Atkeson & Patrick J. Kehoe, 2009. "On the Need for a New Approach to Analyzing Monetary Policy," NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 389-425, National Bureau of Economic Research, Inc.
- Mr. Calixte Ahokpossi & Pilar Garcia Martinez & Laurent Kemoe, 2016. "Monetary and Fiscal Policies and the Dynamics of the Yield Curve in Morocco," IMF Working Papers 2016/103, International Monetary Fund.
- Ulrich, Maxim, 2013. "Inflation ambiguity and the term structure of U.S. Government bonds," Journal of Monetary Economics, Elsevier, vol. 60(2), pages 295-309.
- Joseph P. Byrne & Shuo Cao. & Dimitris Korobilis., 2015.
"Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty,"
Working Papers
2015_08, Business School - Economics, University of Glasgow.
- P. Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," SIRE Discussion Papers 2015-71, Scottish Institute for Research in Economics (SIRE).
- Byrne, JP & Cao, S & Korobilis, D, 2016. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," Essex Finance Centre Working Papers 18195, University of Essex, Essex Business School.
- Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," MPRA Paper 63844, University Library of Munich, Germany.
- Giuseppe Ferrero & Andrea Nobili, 2008. "Short-term interest rate futures as monetary policy forecasts," Temi di discussione (Economic working papers) 681, Bank of Italy, Economic Research and International Relations Area.
- Josephine M. Smith & John B. Taylor, 2007. "The Long and the Short End of the Term Structure of Policy Rules," NBER Working Papers 13635, National Bureau of Economic Research, Inc.
- Mathias Drehmann & Steffen Sorensen & Marco Stringa, 2007. "Integrating credit and interest rate risk: A theoretical framework and an application to banks' balance sheets," Money Macro and Finance (MMF) Research Group Conference 2006 151, Money Macro and Finance Research Group.
- Marcello Pericoli & Marco Taboga, 2008.
"Canonical Term-Structure Models with Observable Factors and the Dynamics of Bond Risk Premia,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(7), pages 1471-1488, October.
- Marcello Pericoli & Marco Taboga, 2008. "Canonical Term‐Structure Models with Observable Factors and the Dynamics of Bond Risk Premia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(7), pages 1471-1488, October.
- Marcello Pericoli & Marco Taboga, 2006. "Canonical term-structure models with observable factors and the dynamics of bond risk premiums," Temi di discussione (Economic working papers) 580, Bank of Italy, Economic Research and International Relations Area.
- Ireland, Peter N., 2015.
"Monetary policy, bond risk premia, and the economy,"
Journal of Monetary Economics, Elsevier, vol. 76(C), pages 124-140.
- Peter N. Ireland, 2014. "Monetary Policy, Bond Risk Premia, and the Economy," Boston College Working Papers in Economics 852, Boston College Department of Economics.
- Peter N. Ireland, 2015. "Monetary Policy, Bond Risk Premia, and the Economy," NBER Working Papers 21576, National Bureau of Economic Research, Inc.
- René Garcia & Richard Luger, 2005.
"The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach,"
Staff Working Papers
05-36, Bank of Canada.
- René Garcia & Richard Luger, 2007. "The Canadian macroeconomy and the yield curve: an equilibrium-based approach," Canadian Journal of Economics, Canadian Economics Association, vol. 40(2), pages 561-583, May.
- René Garcia & Richard Luger, 2007. "The Canadian macroeconomy and the yield curve: an equilibrium‐based approach," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 40(2), pages 561-583, May.
- Mumtaz, Haroon & Surico, Paolo, 2008.
"Time-Varying Yield Curve Dynamics and Monetary Policy,"
Discussion Papers
23, Monetary Policy Committee Unit, Bank of England.
- Haroon Mumtaz & Paolo Surico, 2009. "Time-varying yield curve dynamics and monetary policy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(6), pages 895-913.
- Andrew Ang & Jean Boivin & Sen Dong & Rudy Loo-Kung, 2009.
"Monetary Policy Shifts and the Term Structure,"
NBER Working Papers
15270, National Bureau of Economic Research, Inc.
- Andrew Ang & Jean Boivin & Sen Dong & Rudy Loo-Kung, 2011. "Monetary Policy Shifts and the Term Structure," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 78(2), pages 429-457.
- Martijn Boons & Frans de Roon & Fernando M. Duarte & Marta Szymanowska, 2013.
"Time-Varying Inflation Risk and Stock Returns,"
Staff Reports
621, Federal Reserve Bank of New York.
- Boons, Martijn & Duarte, Fernando & de Roon, Frans & Szymanowska, Marta, 2020. "Time-varying inflation risk and stock returns," Journal of Financial Economics, Elsevier, vol. 136(2), pages 444-470.
- Lemke, Wolfgang, 2007.
"An affine macro-finance term structure model for the euro area,"
Discussion Paper Series 1: Economic Studies
2007,13, Deutsche Bundesbank.
- Lemke, Wolfgang, 2008. "An affine macro-finance term structure model for the euro area," The North American Journal of Economics and Finance, Elsevier, vol. 19(1), pages 41-69, March.
- Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson†Siegel Models," Working Papers 639, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Kaminska, Iryna & Vayanos, Dimitri & Zinna, Gabriele, 2011.
"Preferred-habitat investors and the US term structure of real rates,"
LSE Research Online Documents on Economics
119074, London School of Economics and Political Science, LSE Library.
- Kaminska, Iryna & Vayanos, Dimitri & Zinna, Gabriele, 2011. "Preferred-habitat investors and the US term structure of real rates," Bank of England working papers 435, Bank of England.
- Iryna Kaminska & Dimitri Vayanos & Gabriele Zinna, 2011. "Preferred-Habitat Investors and the US Term Structure of Real Rates," FMG Discussion Papers dp674, Financial Markets Group.
- David K. Backus & Federico Gavazzoni & Christopher Telmer & Stanley E. Zin, 2010. "Monetary Policy and the Uncovered Interest Parity Puzzle," NBER Working Papers 16218, National Bureau of Economic Research, Inc.
- René Garcia & Richard Luger, 2012.
"Risk aversion, intertemporal substitution, and the term structure of interest rates,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 1013-1036, September.
- René Garcia & Richard Luger, 2009. "Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates," CIRANO Working Papers 2009s-20, CIRANO.
- Halberstadt, Arne & Stapf, Jelena, 2012. "An affine multifactor model with macro factors for the German term structure: Changing results during the recent crises," Discussion Papers 25/2012, Deutsche Bundesbank.
- Francesco Audrino & Marcelo C. Medeiros, 2008. "Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process," University of St. Gallen Department of Economics working paper series 2008 2008-16, Department of Economics, University of St. Gallen.
- Michael F. Gallmeyer & Burton Hollifield & Francisco J. Palomino & Stanley E. Zin, 2007.
"Arbitrage-free bond pricing with dynamic macroeconomic models,"
Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 305-326.
- Michael F. Gallmeyer & Burton Hollifield & Francisco Palomino & Stanley E. Zin, 2007. "Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models," NBER Working Papers 13245, National Bureau of Economic Research, Inc.
- Hong, Zhiwu & Niu, Linlin & Zhang, Chen, 2022.
"Affine arbitrage-free yield net models with application to the euro debt crisis,"
Journal of Econometrics, Elsevier, vol. 230(1), pages 201-220.
- Zhiwu Hong & Linlin Niu & Chen Zhang, 2019. "Affine arbitrage-free yield net models with application to the euro debt crisis," Working Papers 2019-01-30, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, revised 06 Nov 2021.
- Refet S. Gürkaynak & Jonathan H. Wright, 2012.
"Macroeconomics and the Term Structure,"
Journal of Economic Literature, American Economic Association, vol. 50(2), pages 331-367, June.
- Wright, Jonathan & Gürkaynak, Refet, 2010. "Macroeconomics and the Term Structure," CEPR Discussion Papers 8018, C.E.P.R. Discussion Papers.
- Alfonso Mendoza Velázquez & Peter N. Smith, 2013.
"Equity Returns and the Business Cycle: the Role of Supply and Demand Shocks,"
Manchester School, University of Manchester, vol. 81, pages 100-124, September.
- Alfonso Mendoza-Velazquez & Peter N. Smith, 2012. "Equity Returns and the Business Cycle: The Role of Supply and Demand Shocks," Discussion Papers 12/36, Department of Economics, University of York.
- Alfonso Mendoza Velázquez & Peter N. Smith, 2013. "Equity Returns and the Business Cycle: The Role of Supply and Demand Shocks," CAMA Working Papers 2013-22, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Kim, Hwagyun & Park, Hail, 2013. "Term structure dynamics with macro-factors using high frequency data," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 78-93.
- Bruno Feunou & Jean-Sébastien Fontaine, 2012. "Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields," Staff Working Papers 12-37, Bank of Canada.
- Michael D. Bauer, 2015.
"Restrictions on Risk Prices in Dynamic Term Structure Models,"
CESifo Working Paper Series
5241, CESifo.
- Michael D. Bauer, 2011. "Restrictions on Risk Prices in Dynamic Term Structure Models," Working Paper Series 2011-03, Federal Reserve Bank of San Francisco.
- Michael D. Bauer, 2018. "Restrictions on Risk Prices in Dynamic Term Structure Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(2), pages 196-211, April.
- Gallmeyer, Michael F. & Hollifield, Burton & Zin, Stanley E., 2005.
"Taylor rules, McCallum rules and the term structure of interest rates,"
Journal of Monetary Economics, Elsevier, vol. 52(5), pages 921-950, July.
- Michael F. Gallmeyer & Burton Hollifield, 2005. "Taylor Rules, McCallum Rules and the Term Structure of Interest Rates," 2005 Meeting Papers 676, Society for Economic Dynamics.
- Michael Gallmeyer & Burton Hollifield & Stanley E. Zin, 2005. "Taylor Rules, McCallum Rules and the Term Structure of Interest Rates," NBER Working Papers 11276, National Bureau of Economic Research, Inc.
- James D. Hamilton & Seth Pruitt & Scott Borger, 2011.
"Estimating the Market-Perceived Monetary Policy Rule,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 3(3), pages 1-28, July.
- James D. Hamilton & Seth Pruitt & Scott Borger, 2010. "Estimating the Market-Perceived Monetary Policy Rule," NBER Working Papers 16412, National Bureau of Economic Research, Inc.
- John Y. Campbell & Carolin Pflueger & Luis M. Viceira, 2014.
"Macroeconomic Drivers of Bond and Equity Risks,"
NBER Working Papers
20070, National Bureau of Economic Research, Inc.
- John Y. Campbell & Carolin Pflueger & Luis M. Viceira, 2013. "Macroeconomic Drivers of Bond and Equity Risks," Harvard Business School Working Papers 14-031, Harvard Business School, revised Aug 2018.
- John Y. Campbell & Carolin Pflueger & Luis M. Viceira, 2020. "Macroeconomic Drivers of Bond and Equity Risks," Journal of Political Economy, University of Chicago Press, vol. 128(8), pages 3148-3185.
- Kaminska, Iryna, 2008.
"A no-arbitrage structural vector autoregressive model of the UK yield curve,"
Bank of England working papers
357, Bank of England.
- Iryna Kaminska, 2013. "A No-Arbitrage Structural Vector Autoregressive Model of the UK Yield Curve," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(5), pages 680-704, October.
- Lioui, Abraham & Tarelli, Andrea, 2019. "Macroeconomic environment, money demand and portfolio choice," European Journal of Operational Research, Elsevier, vol. 274(1), pages 357-374.
- Glenn Rudebusch & Michael Bauer, 2013. "The Shadow Rate, Taylor Rules, and Monetary Policy Lift-off," 2013 Meeting Papers 691, Society for Economic Dynamics.
- Marcello, Pericoli & Marco, Taboga, 2005. "A specification analysis of discrete-time no-arbitrage term structure models with observable and unobservable factors," MPRA Paper 4969, University Library of Munich, Germany, revised Sep 2007.
- Glenn D. Rudebusch, 2006.
"Monetary Policy Inertia: Fact or Fiction?,"
International Journal of Central Banking, International Journal of Central Banking, vol. 2(4), December.
- Glenn D. Rudebusch, 2005. "Monetary policy inertia: fact or fiction?," Working Paper Series 2005-19, Federal Reserve Bank of San Francisco.
- Luis Viceira & Carolin Pflueger & John Campbell, 2014. "Monetary Policy Drivers of Bond and Equity Risks," 2014 Meeting Papers 137, Society for Economic Dynamics.
- Zhao, Guo, 2014.
"Dynamic Production Theory under No-Arbitrage Constraints,"
MPRA Paper
56091, University Library of Munich, Germany.
- Zhao, Guo, 2014. "Dynamic Production Theory under No-arbitrage Constraints," MPRA Paper 65166, University Library of Munich, Germany.
- Marco S. Matsumura, 2006. "Impact of Macro Shocks on Sovereign Default Probabilities," Discussion Papers 1241, Instituto de Pesquisa Econômica Aplicada - IPEA.
- De Rezende, Rafael B., 2015. "Risks in macroeconomic fundamentals and excess bond returns predictability," Working Paper Series 295, Sveriges Riksbank (Central Bank of Sweden).
- Byrne, Joseph P. & Cao, Shuo & Korobilis, Dimitris, 2015.
"Co-Movement, Spillovers and Excess Returns in Global Bond Markets,"
SIRE Discussion Papers
2015-75, Scottish Institute for Research in Economics (SIRE).
- Joseph P. Byrne & Shuo Cao & Dimitris Korobilis, 2015. "Co-Movement, Spillovers and Excess Returns in Global Bond Markets?," Working Papers 2015_12, Business School - Economics, University of Glasgow.
- Ramón Maria-Dolores & Jesus Vazquez, 2006. "The relative importance of Term Spread, Policy Inertia and Persistent Monetary Policy Shocks in Monetary Policy Rules," Computing in Economics and Finance 2006 6, Society for Computational Economics.
- Bjørn Eraker, 2008. "Affine General Equilibrium Models," Management Science, INFORMS, vol. 54(12), pages 2068-2080, December.
- William T. Gavin & Benjamin D. Keen & Michael R. Pakko, 2007.
"Inflation risk and optimal monetary policy,"
Working Papers
2006-035, Federal Reserve Bank of St. Louis.
- Gavin, William T. & Keen, Benjamin D. & Pakko, Michael R., 2009. "Inflation Risk And Optimal Monetary Policy," Macroeconomic Dynamics, Cambridge University Press, vol. 13(S1), pages 58-75, May.
- Barbedo, Claudio H.S. & de Melo, Eduardo F.L., 2012. "Joint dynamics of Brazilian interest rate yields and macro variables under a no-arbitrage restriction," Journal of Economics and Business, Elsevier, vol. 64(5), pages 364-376.
- Dewachter, Hans & Iania, Leonardo, 2009.
"An Extended Macro-Finance Model with Financial Factors,"
MPRA Paper
18840, University Library of Munich, Germany.
- Dewachter, Hans & Iania, Leonardo, 2009. "An Extended Macro-Finance Model with Financial Factors," MPRA Paper 17634, University Library of Munich, Germany.
- Hans DEWACHTER & Leonardo IANIA, 2009. "An extended macro-finance model with financial factors," Working Papers of Department of Economics, Leuven ces09.19, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- Dewachter, Hans & Iania, Leonardo, 2012. "An Extended Macro-Finance Model with Financial Factors," LIDAM Reprints LFIN 2012001, Université catholique de Louvain, Louvain Finance (LFIN).
- Dewachter, Hans & Iania, Leonardo, 2011. "An Extended Macro-Finance Model with Financial Factors," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(6), pages 1893-1916, December.
- Hans Dewachter & Leonardo Iania, 2010. "An Extended Macro-Finance Model with Financial Factors," CESifo Working Paper Series 2950, CESifo.
- Jerry Tsai, 2013. "Rare Disasters and the Term Structure of Interest Rates," Economics Series Working Papers 665, University of Oxford, Department of Economics.
- Zeno Rotondi, 2006. "The Macroeconomy and the Yield Curve: A Review of the Literature with Some New Evidence," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 65(2), pages 193-224, November.
- Don H Kim, 2007. "Challenges in macro-finance modeling," BIS Working Papers 240, Bank for International Settlements.
- Chernov, Mikhail & Mueller, Philippe, 2012.
"The term structure of inflation expectations,"
Journal of Financial Economics, Elsevier, vol. 106(2), pages 367-394.
- Philippe Mueller & Mikhail Chernov, 2008. "The Term Structure of Inflation Expectations," 2008 Meeting Papers 346, Society for Economic Dynamics.
- Chernov, Mikhail & Mueller, Philippe, 2008. "The Term Structure of Inflation Expectations," CEPR Discussion Papers 6809, C.E.P.R. Discussion Papers.
- Zongwu Cai & Jiazi Chen & Linlin Niu, 2021. "A Semiparametric Model for Bond Pricing with Life Cycle Fundamental," Working Papers 2021-01-06, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Carlo Altavilla & Riccardo Costantini & Raffaella Giacomini, 2013.
"Bond returns and market expectations,"
CeMMAP working papers
20/13, Institute for Fiscal Studies.
- Carlo Altavilla & Riccardo Costantini & Raffaella Giacomini, 2013. "Bond returns and market expectations," CeMMAP working papers CWP20/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Carlo Altavilla & Raffaella Giacomini & Riccardo Costantini, 2014. "Bond Returns and Market Expectations," Journal of Financial Econometrics, Oxford University Press, vol. 12(4), pages 708-729.
- Michiel D. de Pooter & Francesco Ravazzolo & Dick van Dijk, 2007.
"Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information,"
Tinbergen Institute Discussion Papers
07-028/4, Tinbergen Institute.
- De Pooter, Michiel & Ravazzolo, Francesco & van Dijk, Dick, 2006. "Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information," MPRA Paper 2512, University Library of Munich, Germany, revised 03 Mar 2007.
- Eijffinger, S.C.W. & Mahieu, R.J. & Raes, L.B.D., 2010.
"The Bond Yield Conundrum : Alternative Hypotheses and the State of the Economy,"
Other publications TiSEM
8b320ebf-1447-46c9-82e3-c, Tilburg University, School of Economics and Management.
- Eijffinger, Sylvester & Mahieu, Ronald & Raes, Louis, 2010. "The bond yield conundrum: alternative hypotheses and the state of the economy," CEPR Discussion Papers 8063, C.E.P.R. Discussion Papers.
- Eijffinger, S.C.W. & Mahieu, R.J. & Raes, L.B.D., 2010. "The Bond Yield Conundrum : Alternative Hypotheses and the State of the Economy," Discussion Paper 2010-121, Tilburg University, Center for Economic Research.
- Eijffinger, S.C.W. & Mahieu, R.J. & Raes, L.B.D., 2010. "The Bond Yield Conundrum : Alternative Hypotheses and the State of the Economy," Other publications TiSEM b44feba5-acd3-43b8-969e-1, Tilburg University, School of Economics and Management.
- Diebold, Francis X. & Piazzesi, Monica & Rudebusch, Glenn D., 2005.
"Modeling bond yields in finance and macroeconomics,"
CFS Working Paper Series
2005/03, Center for Financial Studies (CFS).
- Francis X. Diebold & Monika Piazzesi & Glenn D. Rudebusch, 2005. "Modeling bond yields in finance and macroeconomics," Working Paper Series 2005-04, Federal Reserve Bank of San Francisco.
- Francis X. Diebold & Monika Piazzesi & Glenn D. Rudebusch, 2005. "Modeling Bond Yields in Finance and Macroeconomics," American Economic Review, American Economic Association, vol. 95(2), pages 415-420, May.
- Francis X. Diebold & Monika Piazzesi & Glenn Rudebusch, 2005. "Modeling Bond Yields in Finance and Macroeconomics," NBER Working Papers 11089, National Bureau of Economic Research, Inc.
- Francis X. Diebold & Monika Piazzesi & Glenn D. Rudebusch, 2005. "Modeling Bond Yields in Finance and Macroeconomics," PIER Working Paper Archive 05-008, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Carlo A. Favero & Arie E. Gozluklu & Haoxi Yang, 2011.
"Demographics and The Behaviour of Interest Rates,"
Working Papers
388, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Carlo A. Favero & Arie E. Gozluklu & Haoxi Yang, 2016. "Demographics and the Behavior of Interest Rates," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 64(4), pages 732-776, November.
- Taeyoung Doh, 2007.
"What does the yield curve tell us about the Federal Reserve's implicit inflation target?,"
Research Working Paper
RWP 07-10, Federal Reserve Bank of Kansas City.
- Taeyoung Doh, 2012. "What Does the Yield Curve Tell Us about the Federal Reserve’s Implicit Inflation Target?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44, pages 469-486, March.
- Taeyoung Doh, 2012. "What Does the Yield Curve Tell Us about the Federal Reserve’s Implicit Inflation Target?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(2‐3), pages 469-486, March.
- James D. Hamilton & Jing Cynthia Wu, 2012.
"Identification and Estimation of Gaussian Affine Term Structure Models,"
NBER Working Papers
17772, National Bureau of Economic Research, Inc.
- Hamilton, James D. & Wu, Jing Cynthia, 2012. "Identification and estimation of Gaussian affine term structure models," Journal of Econometrics, Elsevier, vol. 168(2), pages 315-331.
- Marco Matsumura & Ajax Moreira, 2011. "Assessing macro influence on Brazilian yield curve with affine models," Applied Economics, Taylor & Francis Journals, vol. 43(15), pages 1847-1863.
- Abdymomunov, Azamat & Gerlach, Jeffrey, 2014. "Stress testing interest rate risk exposure," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 287-301.
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