Citations for "The rational expectations hypothesis of the term structure, monetary policy, and time-varying term premia"
by Michael Dotsey & Christopher Otrok
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- Massimo Guidolin & Daniel L. Thornton, 2010.
"Predictions of short-term rates and the expectations hypothesis,"
2010-013, Federal Reserve Bank of St. Louis.
- Roberds, William & Whiteman, Charles H., 1999.
"Endogenous term premia and anomalies in the term structure of interest rates: Explaining the predictability smile,"
Journal of Monetary Economics,
Elsevier, vol. 44(3), pages 555-580, December.
- Thornton, Daniel L., 2006.
"Tests of the Expectations Hypothesis: Resolving the Campbell-Shiller Paradox,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 38(2), pages 511-542, March.
- Bonser-Neal, Catherine & Roley, V. Vance & Sellon, Gordon H., 2000.
"The effect of monetary policy actions on exchange rates under interest-rate targeting,"
Journal of International Money and Finance,
Elsevier, vol. 19(5), pages 601-631, October.
- Michael Lamla & Sarah M. Rupprecht, 2006.
"The Impact of ECB Communication on Financial Market Expectations,"
KOF Working papers
06-135, KOF Swiss Economic Institute, ETH Zurich.
- Glenn D. Rudebusch, 1995.
"Federal Reserve interest rate targeting, rational expectations, and the term structure,"
Working Papers in Applied Economic Theory
95-02, Federal Reserve Bank of San Francisco.
- Philip Lowe & Luci Ellis, 1997.
"The Smoothing of Official Interest Rates,"
RBA Annual Conference Volume,
in: Philip Lowe (ed.), Monetary Policy and Inflation Targeting
Reserve Bank of Australia.
- Hibiki Ichiue, 2004.
"Why Can the Yield Curve Predict Output Growth, Inflation, and Interest Rates? An Analysis with Affine Term Structure Model,"
Econometric Society 2004 Far Eastern Meetings
581, Econometric Society.
- Boero, G. & Torricelli, C., 1998.
"Tests of the Expectations Hypothesis and Policy Reaction to the Term Spread: Some Comparative Evidence,"
The Warwick Economics Research Paper Series (TWERPS)
512, University of Warwick, Department of Economics.
- Jennifer E. Roush, 2001.
"Evidence uncovered: long-term interest rates, monetary policy, and the expectations theory,"
International Finance Discussion Papers
712, Board of Governors of the Federal Reserve System (U.S.).
- John Anderson, 2003.
"A Test of Weak-Form Market Efficiency in Australian Bank Bill Futures Calendar Spreads,"
School of Economics and Finance Discussion Papers and Working Papers Series
134, School of Economics and Finance, Queensland University of Technology.
- Daniel L. Thornton, 2005.
"Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates,"
2004-010, Federal Reserve Bank of St. Louis.
- Hsu, Chiente & Kugler, Peter, 1997.
"The Revival of the Expectations Hypothesis of the US Term Structure of Interest Rates,"
Elsevier, vol. 55(1), pages 115-120, August.
- Alfred A. Haug & Pierre L. Siklos, 2002.
"The Term Spread International Evidence of Non-Linear Adjustment,"
2002_08, York University, Department of Economics, revised Jul 2004.
- Sharon Kozicki & P.A.Tinsley, 2001.
"What do you expect? : imperfect policy credibility and tests of the expectations hypothesis?,"
Research Working Paper
RWP 01-02, Federal Reserve Bank of Kansas City.
- Gianna Boero & Costanza Torricelli, 2002.
"The information in the term structure of German interest rates,"
The European Journal of Finance,
Taylor & Francis Journals, vol. 8(1), pages 21-45.
- Raffaele Passaro, 2007.
"The Predictive Power of Interest Rates Spread for Economic Activity,"
Rivista di Politica Economica,
SIPI Spa, vol. 97(6), pages 81-112, November-.
- Anker, Peter, 1999.
"Uncovered interest parity, monetary policy and time-varying risk premia,"
Journal of International Money and Finance,
Elsevier, vol. 18(6), pages 835-851, December.
- G. Boero & C. Torricelli, 1999.
"The Information in the Term of Structure: further Results for Germany,"
Working Paper CRENoS
199912, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Arturo Estrella, 1997.
"Why do interest rates predict macro outcomes?: A unified theory of inflation, output, interest and policy,"
9717, Federal Reserve Bank of New York.
- Smant, David / D.J.C., 2010.
"Direct tests of the expectations theory of the term structure: Survey expectations, the term premium and coefficient biases,"
19815, University Library of Munich, Germany.
- Jeffrey C. Fuhrer, 1995.
"Modeling long-term nominal interest rates,"
95-7, Federal Reserve Bank of Boston.