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Modelling the Yield Curve

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Author Info
Mark P. Taylor

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Abstract

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Publisher Info
Paper provided by International Monetary Fund in its series IMF Working Papers with number 91/134.

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Date of creation: 01 Dec 1991
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Handle: RePEc:imf:imfwpa:91/134

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Related research
Keywords: Interest rates ; Economic models ;

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  1. Silva Lopes, Artur C. & Monteiro, Olga Susana, 2007. "The Expectations Hypothesis of the Term Structure: Some Empirical Evidence for Portugal," MPRA Paper 6310, University Library of Munich, Germany, revised 14 Dec 2007. [Downloadable!]
    Other versions:
  2. Anonymous, 1993. "Expectations and the term structure of interest rates," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 56, December. [Downloadable!]
  3. Erdenebat Bataa & Dong H. Kim & Denise R. Osborn, 2006. "A Further Examination of the Expectations Hypothesis for the Term Structure," The School of Economics Discussion Paper Series 0611, Economics, The University of Manchester. [Downloadable!]
    Other versions:
  4. Chung-Hua Shen, 1998. "The Term Structure Of Taiwan Money Market Rates And Rational Expectation," International Economic Journal, Korean International Economic Association, vol. 12(1), pages 105-119, April. [Downloadable!] (restricted)
  5. Markku Lanne, 2000. "Near unit roots, cointegration, and the term structure of interest rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 513-529. [Downloadable!]
  6. Bredin, Don, 2001. "Alternative Tests of the Expectations Hypothesis of the Term Structure of Interest Rates," Research Technical Papers 2/RT/01, Central Bank & Financial Services Authority of Ireland (CBFSAI). [Downloadable!]
  7. Bredin, Don & Cuthbertson, Keith, 2000. "Risk Premia and Long Rates in Ireland," Research Technical Papers 2/RT/00, Central Bank & Financial Services Authority of Ireland (CBFSAI). [Downloadable!]
    Other versions:
  8. Silva Lopes, Artur C. B. da & Monteiro, Olga Susana, 2008. "Short and long run tests of the expectations hypothesis: the Portuguese case," MPRA Paper 12001, University Library of Munich, Germany. [Downloadable!]
  9. Eric Jondeau, 2001. "La théorie des anticipations de la structure par terme permet-elle de rendre compte de l'évolution des taux d'intérêt sur euro-devise ?," Annales d'Economie et de Statistique, ADRES, issue 62, pages 08, Avril-Jui. [Downloadable!]
  10. A. Arize & J. Malindretos & Z. Obi, 2002. "Long- and short-term interest rates in 19 countries: Tests of cointegration and parameter instability," Atlantic Economic Journal, International Atlantic Economic Society, vol. 30(2), pages 105-120, June. [Downloadable!] (restricted)
  11. 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!]
  12. Keith Cuthbertson & Don Bredin, 2000. "The Expectations Hypothesis of the Term Structure - The Case of Ireland," The Economic and Social Review, Economic and Social Studies, vol. 31(3), pages 267-281. [Downloadable!]
    Other versions:
  13. Stefan Gerlach, 1996. "Monetary policy and the behaviour of interest rates: are long rates excessively volatile?," BIS Working Papers 34, Bank for International Settlements. [Downloadable!]
  14. David S. Bieri & Ludwig B. Chincarini, 2004. "Riding the Yield Curve: Diversification of Strategies," Finance 0410002, EconWPA. [Downloadable!]
Statistics
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