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Explaining the increased variability in long-term interest rates
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Cited by:
- Marianne Sensier & Dick van Dijk, 2004.
"Testing for Volatility Changes in U.S. Macroeconomic Time Series,"
The Review of Economics and Statistics, MIT Press, vol. 86(3), pages 833-839, August.
- M Sensier & D van Dijk, 2003. "Testing for Volatility Changes in US Macroeconomic Time Series," Centre for Growth and Business Cycle Research Discussion Paper Series 36, Economics, The University of Manchester.
- Atiq-ur-Rehman, 2011.
"Impact of Model Specification Decisions on Unit Root Tests,"
International Econometric Review (IER), Econometric Research Association, vol. 3(2), pages 22-33, September.
- Atiq-ur-Rehman, Atiq-ur-Rehman & Zaman, Asad, 2009. "Impact of Model Specification Decisions on Unit Root Tests," MPRA Paper 19963, University Library of Munich, Germany.
- Cendejas Bueno, José Luis & Castañeda, Juan Enrique & Muñoz, Félix, 2015. "Business cycles and monetary regimes in the U.S. (1960 – 2014): A plea for monetary stability," Working Papers in Economic Theory 2015/05, Universidad Autónoma de Madrid (Spain), Department of Economic Analysis (Economic Theory and Economic History).
- Patilea, V. & Raïssi, H., 2013. "Corrected portmanteau tests for VAR models with time-varying variance," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 190-207.
- Cheng, Xu & Phillips, Peter C.B., 2012.
"Cointegrating rank selection in models with time-varying variance,"
Journal of Econometrics, Elsevier, vol. 169(2), pages 155-165.
- Xu Cheng & Peter C. B. Phillips, 2009. "Cointegrating Rank Selection in Models with Time-Varying Variance," Cowles Foundation Discussion Papers 1688, Cowles Foundation for Research in Economics, Yale University.
- Alexander L. Wolman, 2006. "Bond price premiums," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 92(Fall), pages 317-336.
- Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010.
"Testing for co-integration in vector autoregressions with non-stationary volatility,"
Journal of Econometrics, Elsevier, vol. 158(1), pages 7-24, September.
- Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2007. "Testing for co-integration in vector autoregressions with non-stationary volatility," Discussion Papers 07/02, University of Nottingham, Granger Centre for Time Series Econometrics.
- Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2008. "Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility," CREATES Research Papers 2008-50, Department of Economics and Business Economics, Aarhus University.
- Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2008. "Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility," Discussion Papers 08-34, University of Copenhagen. Department of Economics.
- Michael Woodford, 1999.
"Optimal Monetary Policy Inertia,"
Manchester School, University of Manchester, vol. 67(s1), pages 1-35.
- Michael Woodford, 1999. "Optimal monetary policy inertia," Proceedings, Federal Reserve Bank of San Francisco.
- Woodford, Michael, 1999. "Optimal monetary policy inertia," CFS Working Paper Series 1999/09, Center for Financial Studies (CFS).
- Woodford, Michael, 2000. "Optimal Monetary Policy Inertia," Seminar Papers 666, Stockholm University, Institute for International Economic Studies.
- Woodford, M., 1999. "Optimal Monetary Policy Inertia.," Papers 666, Stockholm - International Economic Studies.
- Michael Woodford, 1999. "Optimal Monetary Policy Inertia," NBER Working Papers 7261, National Bureau of Economic Research, Inc.
- James A. Kahn & Margaret M. McConnell & Gabriel Perez-Quiros, 2002. "On the causes of the increased stability of the U.S. economy," Economic Policy Review, Federal Reserve Bank of New York, vol. 8(May), pages 183-202.
- Atiq-ur-Rehman, Atiq-ur-Rehman & Zaman, Asad, 2008. "Model specification, observational equivalence and performance of unit root tests," MPRA Paper 13489, University Library of Munich, Germany.
- Tu, Yundong & Yi, Yanping, 2017. "Forecasting cointegrated nonstationary time series with time-varying variance," Journal of Econometrics, Elsevier, vol. 196(1), pages 83-98.
- Timothy Cogley, 2005. "Changing Beliefs and the Term Structure of Interest Rates: Cross-Equation Restrictions with Drifting Parameters," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 420-451, April.
- Sensier, M. & van Dijk, D.J.C., 2001.
"Short-term volatility versus long-term growth: evidence in US macroeconomic time series,"
Econometric Institute Research Papers
EI 2001-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- M Sensier & D van Dijk, 2001. "Short-term Volatility Versus Long-term Growth: Evidence in US Macroeconomic Time Series," Economics Discussion Paper Series 0103, Economics, The University of Manchester.
- M Sensier & D van Dijk, 2001. "Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series," Centre for Growth and Business Cycle Research Discussion Paper Series 08, Economics, The University of Manchester.
- Sensier, Marianne & Dick van Dijk, 2002. "Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series," Royal Economic Society Annual Conference 2002 164, Royal Economic Society.
- Lazzarini, S. G. & Madalozzo, R. C & Artes, R. & Siqueira, J. O., 2004. "Measuring trust: An experiment in Brazil," Insper Working Papers wpe_42, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
- Glenn D. Rudebusch & Tao Wu, 2004.
"The recent shift in term structure behavior from a no-arbitrage macro-finance perspective,"
Working Paper Series
2004-25, Federal Reserve Bank of San Francisco.
- Tao Wu & Glenn Rudebusch, 2005. "The Recent Shift in Term Structure Behavior from a No-Arbitrage Macro-Finance Perspective," Computing in Economics and Finance 2005 3, Society for Computational Economics.
- Cavaliere, Giuseppe & Taylor, A.M. Robert, 2007. "Testing for unit roots in time series models with non-stationary volatility," Journal of Econometrics, Elsevier, vol. 140(2), pages 919-947, October.
- Kim, Chang-Jin & Nelson, Charles R & Piger, Jeremy, 2004.
"The Less-Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth, and Potential Explanations,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 22(1), pages 80-93, January.
- Chang-Jin Kim & Charles R. Nelson & Jeremy M. Piger, 2001. "The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations," International Finance Discussion Papers 707, Board of Governors of the Federal Reserve System (U.S.).
- Chang-Jin Kim & Charles R. Nelson & Jeremy M. Piger, 2003. "The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations," Working Papers 2001-016, Federal Reserve Bank of St. Louis.
- Ulrich K. Müller & Mark W. Watson, 2008.
"Testing Models of Low-Frequency Variability,"
Econometrica, Econometric Society, vol. 76(5), pages 979-1016, September.
- Ulrich Mueller & Mark W. Watson, 2006. "Testing Models of Low-Frequency Variability," NBER Working Papers 12671, National Bureau of Economic Research, Inc.
- Ke Zhu, 2018. "Statistical inference for autoregressive models under heteroscedasticity of unknown form," Papers 1804.02348, arXiv.org, revised Aug 2018.
- Xu, Ke-Li & Phillips, Peter C.B., 2008.
"Adaptive estimation of autoregressive models with time-varying variances,"
Journal of Econometrics, Elsevier, vol. 142(1), pages 265-280, January.
- Ke-Li Xu & Peter C.B. Phillips, 2006. "Adaptive Estimation of Autoregressive Models with Time-Varying Variances," Cowles Foundation Discussion Papers 1585, Cowles Foundation for Research in Economics, Yale University.
- Ke-Li Xu & Peter C.B. Phillips, 2006. "Adaptive Estimation of Autoregressive Models with Time-Varying Variances," Cowles Foundation Discussion Papers 1585R, Cowles Foundation for Research in Economics, Yale University, revised Nov 2006.
- Arabinda Basistha & Richard Startz, 2004.
"Why were changes in the federal funds rate smaller in the 1990s?,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(3), pages 339-354.
- Arabinda Basistha & Richard Startz, 2002. "Why Were Changes in the Federal Funds Rate Smaller in the 1990s?," Working Papers UWEC-2002-02, University of Washington, Department of Economics.
- Kuttner, Kenneth N & Posen, Adam S, 2001.
"Beyond Bipolar: A Three-Dimensional Assessment of Monetary Frameworks,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(4), pages 369-387, October.
- Kenneth N. Kuttner & Adam S. Posen, 2001. "Beyond Bipolar: A Three-Dimensional Assessment of Monetary Frameworks," Working Paper Series WP01-7, Peterson Institute for International Economics.
- Kenneth N. Kuttner, 2001. "Beyond Bipolar: A Three-Dimensional Assessment of Monetary Frameworks," Working Papers 52, Oesterreichische Nationalbank (Austrian Central Bank).
- van Dijk, D.J.C. & Osborn, D.R. & Sensier, M., 2002.
"Changes in variability of the business cycle in the G7 countries,"
Econometric Institute Research Papers
EI 2002-28, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- D van Dijk & D R Osborn & M Sensier, 2002. "Changes in variability of the business cycle in the G7 countries," Economics Discussion Paper Series 0204, Economics, The University of Manchester.
- D van Dijk & D R Osborn & M Sensier, 2002. "Changes in Variability of the Business Cycle in the G7 Countries," Centre for Growth and Business Cycle Research Discussion Paper Series 16, Economics, The University of Manchester.
- Robert G. King & Andre Kurmann, 2002. "Expectations and the term structure of interest rates : evidence and implications," Economic Quarterly, Federal Reserve Bank of Richmond, issue Fall, pages 49-95.
- Glenn D. Rudebusch & Tao Wu, 2007.
"Accounting for a Shift in Term Structure Behavior with No-Arbitrage and Macro-Finance Models,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2-3), pages 395-422, March.
- Glenn D. Rudebusch & Tao Wu, 2007. "Accounting for a Shift in Term Structure Behavior with No‐Arbitrage and Macro‐Finance Models," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2‐3), pages 395-422, March.
- Wong, Edwin & Lucia, Kathlyn & Price, Stephanie & Startz, Richard, 2011.
"The changing relation between the Canadian and U.S. yield curves,"
Journal of International Money and Finance, Elsevier, vol. 30(6), pages 965-981, October.
- Kathlyn Lucia & Stephanie Price & Edwin Wong & Richard Startz, 2008. "The Changing Relation Between the Canadian and U.S. Yield Curves," Working Papers UWEC-2008-05, University of Washington, Department of Economics.
- James H. Stock & Mark W. Watson, 2003. "Has the business cycle changed?," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 9-56.
- Peter Hördahl & Jhuvesh Sobrun & Philip Turner, 2016. "Low long-term interest rates as a global phenomenon," BIS Working Papers 574, Bank for International Settlements.
- Clements, Michael P. & Galvão, Ana Beatriz C., 2003. "Testing The Expectations Theory Of The Term Structure Of Interest Rates In Threshold Models," Macroeconomic Dynamics, Cambridge University Press, vol. 7(4), pages 567-585, September.
- Jonathan McCarthy & Richard Peach, 2002. "Monetary policy transmission to residential investment," Economic Policy Review, Federal Reserve Bank of New York, vol. 8(May), pages 139-158.