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Citations for "Cointegration and Tests of Present Value Models"

by Campbell, John & Shiller, Robert

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  1. Fairburn, James A. & Malcomson, James M., 1994. "Rewarding performance by promotion to a different job," European Economic Review, Elsevier, Elsevier, vol. 38(3-4), pages 683-690, April.
  2. Jean-Sauveur Ay & Laure Latruffe, 2013. "The empirical content of the present value model: a survey of the instrumental uses of farmland prices," Working Papers, Institut National de la Recherche Agronomique, France 209441, Institut National de la Recherche Agronomique, France.
  3. Mishkin, F.S., 1988. "What Does The Term Structure Tell Us About Future Inflation?," Papers, Columbia - Graduate School of Business fb-_88-29, Columbia - Graduate School of Business.
  4. Fukuta, Yuichi, 1998. "A simple discrete-time approximation of continuous-time bubbles," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 22(6), pages 937-954, June.
  5. Timothy Cogley & Argia M. Sbordone, 2005. "A search for a structural Phillips curve," Staff Reports, Federal Reserve Bank of New York 203, Federal Reserve Bank of New York.
  6. George Kapetanios & Yongcheol Shin & Andy Snell, 2003. "Testing for Cointegration in Nonlinear STAR Error Correction Models," Working Papers, Queen Mary, University of London, School of Economics and Finance 497, Queen Mary, University of London, School of Economics and Finance.
  7. Andreas Humpe & Peter D. Macmillan, 2005. "Can macroeconomic variables explain long term stock market movements? A comparison of the US and Japan," CRIEFF Discussion Papers, Centre for Research into Industry, Enterprise, Finance and the Firm 0511, Centre for Research into Industry, Enterprise, Finance and the Firm.
  8. Charles Engel & Kenneth D. West, 2004. "Exchange Rates and Fundamentals," NBER Working Papers, National Bureau of Economic Research, Inc 10723, National Bureau of Economic Research, Inc.
  9. Villani, Mattias, 2006. "Bayesian point estimation of the cointegration space," Journal of Econometrics, Elsevier, Elsevier, vol. 134(2), pages 645-664, October.
  10. Jeannine Bailliu & Daniel Garcés & Mark Kruger & Miguel Messmacher, 2003. "Explaining and Forecasting Inflation in Emerging Markets: The Case of Mexico," Working Papers, Bank of Canada 03-17, Bank of Canada.
  11. Jardet, Caroline, 2008. "Term structure anomalies: Term premium or peso-problem?," Journal of International Money and Finance, Elsevier, Elsevier, vol. 27(4), pages 592-608, June.
  12. Peter Tillmann, 2003. "Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates," Bonn Econ Discussion Papers, University of Bonn, Germany bgse27_2003, University of Bonn, Germany.
  13. Boudoukh, Jacob & Richardson, Matthew & Shen, YuQing (Jeff) & Whitelaw, Robert F., 2007. "Do asset prices reflect fundamentals? Freshly squeezed evidence from the OJ market," Journal of Financial Economics, Elsevier, Elsevier, vol. 83(2), pages 397-412, February.
  14. Simon van Norden & Huntley Schaller & ), 1995. "Speculative Behaviour, Regime-Switching, and Stock Market Crashes," Econometrics, EconWPA 9502003, EconWPA.
  15. Enrique Sentana & Antonio Diez de los Rios, 2007. "Testing Uncovered Interest Parity: A Continuous-Time Approach," Working Papers, CEMFI wp2007_0714, CEMFI.
  16. Mark A. Hooker, 1997. "Misspecification versus bubbles in hyperinflation data: Monte Carlo and interwar European evidence," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 1997-49, Board of Governors of the Federal Reserve System (U.S.).
  17. Carriero, Andrea & Favero, Carlo A & Kaminska, Iryna, 2004. "Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4301, C.E.P.R. Discussion Papers.
  18. Pierluigi Balduzzi & Sanjiv Ranjan Das & Silverio Foresi, 1998. "The Central Tendency: A Second Factor In Bond Yields," The Review of Economics and Statistics, MIT Press, MIT Press, vol. 80(1), pages 62-72, February.
  19. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, Elsevier, vol. 3(1), pages 15-102, May.
  20. Bruce N. Lehmann, 1991. "Earnings, Dividend Policy, and Present Value Relations: Building Blocks of Dividend Policy Invariant Cash Flows," NBER Working Papers, National Bureau of Economic Research, Inc 3676, National Bureau of Economic Research, Inc.
  21. Andrew Clare & Ilias Lekkos, 2000. "An analysis of the relationship between international bond markets," Bank of England working papers, Bank of England 123, Bank of England.
  22. Evans, Martin, 2013. "Global Imbalances, Risk, and the Great Recession," MPRA Paper, University Library of Munich, Germany 52363, University Library of Munich, Germany.
  23. Javier Hualde & Peter M Robinson, 2006. "Root-N-Consistent Estimation Of Weakfractional Cointegration," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE /2006/499, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  24. Berlemann, Michael & Freese, Julia & Knoth, Sven, 2012. "Eyes Wide Shut? The U.S. House Market Bubble through the Lense of Statistical Process Control," Working Paper, Helmut Schmidt University, Hamburg 124/2012, Helmut Schmidt University, Hamburg.
  25. Koukouritakis, Minoas, 2013. "Expectations hypothesis in the context of debt crisis: Evidence from five major EU countries," Research in Economics, Elsevier, Elsevier, vol. 67(3), pages 243-258.
  26. Jondeau, E. & Ricart, R., 1997. "Le contenu en information de la pente des taux : application au cas des titres publics français," Working papers, Banque de France 43, Banque de France.
  27. Crowder, William J. & Wohar, Mark E., 1998. "Cointegration, forecasting and international stock prices," Global Finance Journal, Elsevier, Elsevier, vol. 9(2), pages 181-204.
  28. Gregory R. Duffee, 2012. "Forecasting interest rates," Economics Working Paper Archive, The Johns Hopkins University,Department of Economics 599, The Johns Hopkins University,Department of Economics.
  29. Gutierrez, Maria-Jose & Vazquez, Jesus, 2004. "Switching equilibria: the present value model for stock prices revisited," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 28(11), pages 2297-2325, October.
  30. Peter Reinhard Hansen, 2000. "Structural Changes in the Cointegrated Vector Autoregressive Model," Working Papers, Brown University, Department of Economics 2000-20, Brown University, Department of Economics.
  31. Lucio Sarno & Daniel L. Thornton & Giorgio Valente, 2005. "The empirical failure of the expectations hypothesis of the term structure of bond yields," Working Papers, Federal Reserve Bank of St. Louis 2003-021, Federal Reserve Bank of St. Louis.
  32. Jesús Vázquez, 2004. "Switching Regimes in the Term Structure of Interest Rates During U.S. Post-War: A case for the Lucas proof equilibrium?," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces E2004/11, Centro de Estudios Andaluces.
  33. Robert G. King & Mark W. Watson, 2012. "Inflation and Unit Labor Cost," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics WP2012-005, Boston University - Department of Economics.
  34. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "Fractional Integration and Cointegration in US Financial Time Series Data," CESifo Working Paper Series, CESifo Group Munich 3416, CESifo Group Munich.
  35. Sarno, Lucio & Taylor, Mark P., 1999. "Moral hazard, asset price bubbles, capital flows, and the East Asian crisis:: the first tests," Journal of International Money and Finance, Elsevier, Elsevier, vol. 18(4), pages 637-657, August.
  36. Roberto Rigobon & Brian Sack, 2002. "The impact of monetary policy on asset prices," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2002-4, Board of Governors of the Federal Reserve System (U.S.).
  37. Murillo Campello & John Graham, 2007. "Do Stock Prices Influence Corporate Decisions? Evidence from the Technology Bubble," NBER Working Papers, National Bureau of Economic Research, Inc 13640, National Bureau of Economic Research, Inc.
  38. Jeffrey C. Fuhrer, 2000. "Habit Formation in Consumption and Its Implications for Monetary-Policy Models," American Economic Review, American Economic Association, American Economic Association, vol. 90(3), pages 367-390, June.
  39. Bohl, Martin T. & Siklos, Pierre L., 2004. "The present value model of U.S. stock prices redux: a new testing strategy and some evidence," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 44(2), pages 208-223, May.
  40. Campbell, John & Perron, Pierre, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," Scholarly Articles, Harvard University Department of Economics 3374863, Harvard University Department of Economics.
  41. Chan, Kam C. & Norrbin, Stefan C. & Lai, Pikki, 1997. "Are stock and bond prices collinear in the long run?," International Review of Economics & Finance, Elsevier, Elsevier, vol. 6(2), pages 193-201.
  42. Simon van Norden & Huntley Schaller & ), 1995. "Fads or Bubbles?," Econometrics, EconWPA 9502004, EconWPA, revised 06 Jun 1995.
  43. Lanne, Markku & Saikkonen, Pentti, 2013. "Noncausal Vector Autoregression," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 29(03), pages 447-481, June.
  44. Beechey, Meredith & Hjalmarsson, Erik & sterholm, Pr, 2009. "Testing the expectations hypothesis when interest rates are near integrated," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(5), pages 934-943, May.
  45. Bredin, Don & Cuthbertson, Keith, 2000. "The Expectations Hypothesis of the Term Structure: The Case of Ireland," Research Technical Papers, Central Bank of Ireland 1/RT/00, Central Bank of Ireland.
  46. Carl E. Walsh, 1987. "The Impact of Monetary Targeting in the United States: 1976-1984," NBER Working Papers, National Bureau of Economic Research, Inc 2384, National Bureau of Economic Research, Inc.
  47. Kari Takala & Pekka Pere, 1991. "Testing the cointegration of house and stock prices in Finland," Finnish Economic Papers, Finnish Economic Association, Finnish Economic Association, vol. 4(1), pages 33-51, Spring.
  48. Owen Lamont, . "Earnings and Expected Returns," CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago 345, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  49. Adler, Johan, 2003. "Has Sweden’s government budget policy been too discretionary? Evidence from a generalization of the tax smoothing hypothesis," Working Papers in Economics, University of Gothenburg, Department of Economics 89, University of Gothenburg, Department of Economics.
  50. MacDonald, Ronald, 2000. " Expectations Formation and Risk in Three Financial Markets: Surveying What the Surveys Say," Journal of Economic Surveys, Wiley Blackwell, Wiley Blackwell, vol. 14(1), pages 69-100, February.
  51. Favero, Carlo A. & Giavazzi, Francesco & Iacone, Fabrizio & Guido Tabellini, 2000. "Extracting information from asset prices: The methodology of EMU calculators," European Economic Review, Elsevier, Elsevier, vol. 44(9), pages 1607-1632, October.
  52. Nicolaas Groenewold, 2004. "Fundamental share prices and aggregate real output," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 14(9), pages 651-661.
  53. Wesche, Katrin, 1995. "The Stability of European Money Demand: An Investigation of M3H," Discussion Paper Serie B, University of Bonn, Germany 337, University of Bonn, Germany.
  54. Juselius, Mikael, 2008. "Cointegration implications of linear rational expectation models," Research Discussion Papers, Bank of Finland 6/2008, Bank of Finland.
  55. Pål Boug & Ådne Cappelen & Anders Swensen, 2006. "Expectations and regime robustness in price formation: evidence from vector autoregressive models and recursive methods," Empirical Economics, Springer, Springer, vol. 31(4), pages 821-845, November.
  56. Liu, Xiaoliang & Filler, Gunther & Odening, Martin, 2012. "Testing for Speculative Bubbles in Agricultural Commodity Prices: A Regime Switching Approach," 123rd Seminar, February 23-24, 2012, Dublin, Ireland, European Association of Agricultural Economists 122554, European Association of Agricultural Economists.
  57. Qin Xiao & Randolph Gee Kwang Tan, 2006. "Signal Extraction with Kalman Filter: A Study of the Hong Kong Property Price Bubbles," Economic Growth centre Working Paper Series, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre 0601, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre.
  58. Marvin Goodfriend & Robert G. King, 2001. "The Case for Price Stability," NBER Working Papers, National Bureau of Economic Research, Inc 8423, National Bureau of Economic Research, Inc.
  59. Martin D. Evans & Karen K. Lewis, 1990. "Do Stationary Risk Premia Explain It All? Evidence from the Term Struct," NBER Working Papers, National Bureau of Economic Research, Inc 3451, National Bureau of Economic Research, Inc.
  60. James Davidson & Andrea Monticini, 2007. "Tests for Cointegration with Structural Breaks Based on Subsamples," Discussion Papers, Exeter University, Department of Economics 0704, Exeter University, Department of Economics.
  61. Jian Wang, 2005. "Can Long Horizon Data Beat Random Walk Under Engel-West Explanation?," International Finance, EconWPA 0501002, EconWPA.
  62. Bansal, Ravi & Lundblad, Christian, 2002. "Market efficiency, asset returns, and the size of the risk premium in global equity markets," Journal of Econometrics, Elsevier, Elsevier, vol. 109(2), pages 195-237, August.
  63. Raul Anibal Feliz & John H. Welch, 1992. "Cointegration and tests of a classical model of inflation in Argentina, Bolivia, Brazil, Mexico, And Peru," Research Paper, Federal Reserve Bank of Dallas 9210, Federal Reserve Bank of Dallas.
  64. Luca Fanelli, 2006. "Testing the New Keynesian Phillips Curve through Vector Autoregressive models : Results from the Euro area," Quaderni di Dipartimento, Department of Statistics, University of Bologna 0, Department of Statistics, University of Bologna.
  65. Cavaliere Giuseppe & Fanelli Luca & Paruolo Paolo, 2001. "Determining the number of cointegrating relations under rank constraints," Economics and Quantitative Methods, Department of Economics, University of Insubria qf0109, Department of Economics, University of Insubria.
  66. Jeremy Rudd & Karl Whelan, 2003. "Can rational expectations sticky-price models explain inflation dynamics?," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2003-46, Board of Governors of the Federal Reserve System (U.S.).
  67. Engsted, Tom, 2002. " Measures of Fit for Rational Expectations Models," Journal of Economic Surveys, Wiley Blackwell, Wiley Blackwell, vol. 16(3), pages 301-55, July.
  68. J.J.J. Groen, 2001. "(EURO) Exchange Rate Predictability and Monetary Fundamentals in a Small Multi-Country Panel," WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department 664, Netherlands Central Bank, Research Department.
  69. Argia M. Sbordone, 2006. "U.S. Wage and Price Dynamics: A Limited-Information Approach," International Journal of Central Banking, International Journal of Central Banking, International Journal of Central Banking, vol. 2(3), September.
  70. Jondeau, E. & Ricart, R., 1996. "The Expectation Theory: Tests on French, German, and American Euro-Rates," Working papers, Banque de France 35, Banque de France.
  71. Nathan S. Balke & Thomas B. Fomby, 1992. "Threshold cointegration," Research Paper, Federal Reserve Bank of Dallas 9209, Federal Reserve Bank of Dallas.
  72. Nason, James M. & Rogers, John H., 2006. "The present-value model of the current account has been rejected: Round up the usual suspects," Journal of International Economics, Elsevier, Elsevier, vol. 68(1), pages 159-187, January.
  73. Aiolfi, Marco & Favero, Carlo A, 2003. "Model Uncertainty, Thick Modelling and the Predictability of Stock Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3997, C.E.P.R. Discussion Papers.
  74. Jacob Boudoukh & Matthew Richardson & YuQing Shen & Robert F. Whitelaw, 2003. "Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the OJ Market," NBER Working Papers, National Bureau of Economic Research, Inc 9515, National Bureau of Economic Research, Inc.
  75. Esteve, Vicente, 2006. "A note on nonlinear dynamics in the Spanish term structure of interest rates," International Review of Economics & Finance, Elsevier, Elsevier, vol. 15(3), pages 316-323.
  76. Campello, Murillo & Graham, John R., 2013. "Do stock prices influence corporate decisions? Evidence from the technology bubble," Journal of Financial Economics, Elsevier, Elsevier, vol. 107(1), pages 89-110.
  77. Carlo Favero & Iryna Kaminska & Ulf Soderstrom, 2005. "The Predictive Power of the Yield Spread: Further Evidence and a Structural Interpretation," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University 280, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  78. Gregory D. Sutton, 1998. "Spread overreaction in international bond markets," BIS Working Papers, Bank for International Settlements 55, Bank for International Settlements.
  79. Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2008. "Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility," CREATES Research Papers, School of Economics and Management, University of Aarhus 2008-50, School of Economics and Management, University of Aarhus.
  80. Pilegaard, Rasmus & Durré, Alain & Evjen, Snorre, 2003. "Estimating risk premia in money market rates," Working Paper Series, European Central Bank 0221, European Central Bank.
  81. Kozicki, Sharon & Tinsley, P. A., 2001. "Shifting endpoints in the term structure of interest rates," Journal of Monetary Economics, Elsevier, Elsevier, vol. 47(3), pages 613-652, June.
  82. Paruolo Paolo, 2004. "Common trends and cycles in I(2) VAR systems," Economics and Quantitative Methods, Department of Economics, University of Insubria qf0217tris, Department of Economics, University of Insubria.
  83. Voth, Hans-Joachim, 2002. "With a Bang, Not a Whimper: Pricking Germany's 'Stock Market Bubble' in 1927 and the Slide into Depression," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3257, C.E.P.R. Discussion Papers.
  84. John Y. Campbell & Robert J. Shiller, 1988. "Stock Prices, Earnings and Expected Dividends," NBER Working Papers, National Bureau of Economic Research, Inc 2511, National Bureau of Economic Research, Inc.
  85. Chadha, J.S. & Hudson, S.L., 1998. "The optimum currency area case for EMU: a structural VAR approach," Discussion Paper Series In Economics And Econometrics, Economics Division, School of Social Sciences, University of Southampton 9815, Economics Division, School of Social Sciences, University of Southampton.
  86. Chen, Chung & Wu, Chunchi, 1999. "The dynamics of dividends, earnings and prices: evidence and implications for dividend smoothing and signaling," Journal of Empirical Finance, Elsevier, Elsevier, vol. 6(1), pages 29-58, January.
  87. Fabrizio Casalin, 2007. "Single Equation Models, Co-Integration and the Expectations Hypothesis of the Term Structure of Interest Rates," Discussion Papers in Economics, Department of Economics, University of Leicester 07/06, Department of Economics, University of Leicester.
  88. Ivana Komunjer & Michael T. Owyang, 2012. "Multivariate Forecast Evaluation and Rationality Testing," The Review of Economics and Statistics, MIT Press, MIT Press, vol. 94(4), pages 1066-1080, November.
  89. Jaya Krishnakumar & David Neto, 2009. "Testing Uncovered Interest Rate Parity and Term Structure using Three-Regime Threshold Unit Root VECM," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva, Institut d'Economie et Econométrie, Université de Genève 2009.06, Institut d'Economie et Econométrie, Université de Genève.
  90. Jordi Galí, 2011. "The Return Of The Wage Phillips Curve," Journal of the European Economic Association, European Economic Association, European Economic Association, vol. 9(3), pages 436-461, 06.
  91. Nasseh, Alireza & Strauss, Jack, 2000. "Stock prices and domestic and international macroeconomic activity: a cointegration approach," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 40(2), pages 229-245.
  92. David Dupuis & David Tessier, 2004. "The U.S. Stock Market and Fundamentals: A Historical Decomposition," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group 73, Money Macro and Finance Research Group.
  93. Maxwell Opoku-Afari, . "Capital Flows and Current Account Sustainability: The Ghanaian Experience," Discussion Papers, University of Nottingham, CREDIT 07/07, University of Nottingham, CREDIT.
  94. J. Benson Durham, 2003. "Does monetary policy affect stock prices and Treasury yields? An error correction and simultaneous equation approach," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2003-10, Board of Governors of the Federal Reserve System (U.S.).
  95. Minoas Koukouritakis, 2010. "Structural breaks and the expectations hypothesis of the term structure: evidence from Central European countries," Review of World Economics (Weltwirtschaftliches Archiv), Springer, Springer, vol. 145(4), pages 757-774, January.
  96. Peter Tillmann, 2009. "The New Keynesian Phillips curve in Europe: does it fit or does it fail?," Empirical Economics, Springer, Springer, vol. 37(3), pages 463-473, December.
  97. Javier Ordóñez & Cecilio Tamarit & Mariam Camarero, 2008. "The expectations hypothesis of the term structure in the Euro area:," Economics Bulletin, AccessEcon, AccessEcon, vol. 3(3), pages 1-15.
  98. BAUWENS, Luc & DEPRINS, Dominique & VANDEUREN, Jean-Pierre, 1997. "Modelling interest rates with a cointegrated VAR-GARCH model," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 1997080, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  99. Caporale, Guglielmo Maria & Gil-Alaña, Luis A., 2000. "Fractional cointegration and tests of present value models," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2000,15, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  100. Polito, Vito & Wickens, Mike, 2012. "A model-based indicator of the fiscal stance," European Economic Review, Elsevier, Elsevier, vol. 56(3), pages 526-551.
  101. H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, . "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Tinbergen Institute Discussion Papers, Tinbergen Institute 13-187/III, Tinbergen Institute.
  102. Cristian Badarinza & John Y. Campbell & Tarun Ramadorai, 2014. "What Calls to ARMs? International Evidence on Interest Rates and the Choice of Adjustable-Rate Mortgages," NBER Working Papers, National Bureau of Economic Research, Inc 20408, National Bureau of Economic Research, Inc.
  103. Carlos, Ann M. & Moyen, Nathalie & Hill, Jonathan, 2002. "Royal African Company Share Prices during the South Sea Bubble," Explorations in Economic History, Elsevier, Elsevier, vol. 39(1), pages 61-87, January.
  104. Kilian, Lutz, 1999. "Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 14(5), pages 491-510, Sept.-Oct.
  105. Helmut Herwartz & Konstantin A. Kholodilin, 2014. "In‐Sample and Out‐of‐Sample Prediction of stock Market Bubbles: Cross‐Sectional Evidence," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 33(1), pages 15-31, 01.
  106. Kanas, Angelos, 2005. "Nonlinearity in the stock price-dividend relation," Journal of International Money and Finance, Elsevier, Elsevier, vol. 24(4), pages 583-606, June.
  107. Chew Lian Chua & Chin Nam Low, 2007. "Permanent Structural Change in the US Short-Term and Long-Term Interest Rates," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne wp2007n22, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  108. Bonomo, Marco & Garcia, Rene, 1996. "Consumption and equilibrium asset pricing: An empirical assessment," Journal of Empirical Finance, Elsevier, Elsevier, vol. 3(3), pages 239-265, September.
  109. Junko Koeda, 2010. "How Does Yield Curve Predict GDP Growth? A Macro-Finance Approach Revisited," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo CARF-F-237, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jan 2011.
  110. Rochelle Belkar & Lynne Cockerell & Christopher Kent, 2007. "Current Account Deficits: The Australian Debate," RBA Research Discussion Papers, Reserve Bank of Australia rdp2007-02, Reserve Bank of Australia.
  111. Frederic S. Mishkin, 1990. "Yield Curve," NBER Working Papers, National Bureau of Economic Research, Inc 3550, National Bureau of Economic Research, Inc.
  112. Jondeau, Eric & Ricart, Roland, 1999. "The expectations hypothesis of the term structure: tests on US, German, French, and UK Euro-rates," Journal of International Money and Finance, Elsevier, Elsevier, vol. 18(5), pages 725-750, October.
  113. Bredin, Don & Cuthbertson, Keith, 2000. "Risk Premia and Long Rates in Ireland," Research Technical Papers, Central Bank of Ireland 2/RT/00, Central Bank of Ireland.
  114. PeterTillmann, 2004. "Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates," Computing in Economics and Finance 2004, Society for Computational Economics 53, Society for Computational Economics.
  115. Engsted, Tom, 2002. "Misspecification versus bubbles in hyperinflation data: Comment," Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies 02-2, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  116. Tom Engsted & Niels Haldrup & Boriss Siliverstovs, 2004. "Long-run forecasting in multicointegrated systems," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 23(5), pages 315-335.
  117. Bloch, Laurence, 2012. "Product market regulation, trend inflation and inflation dynamics in the new Keynesian Phillips curve," Economic Modelling, Elsevier, Elsevier, vol. 29(5), pages 2058-2070.
  118. Nasseh, Alireza & Strauss, Jack, 2004. "Stock prices and the dividend discount model: did their relation break down in the 1990s?," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 44(2), pages 191-207, May.
  119. MacDonald, Ronald & Power, David, 1995. "Stock prices, dividends and retention: Long-run relationships and short-run dynamics," Journal of Empirical Finance, Elsevier, Elsevier, vol. 2(2), pages 135-151, June.
  120. Luca Fanelli, 2009. "Estimation of quasi-rational DSGE monetary models," Quaderni di Dipartimento, Department of Statistics, University of Bologna 3, Department of Statistics, University of Bologna.
  121. Tim Bollerslev & Robert J. Hodrick, 1992. "Financial Market Efficiency Tests," NBER Working Papers, National Bureau of Economic Research, Inc 4108, National Bureau of Economic Research, Inc.
  122. Jääskelä, Jarkko & Vilmunen, Jouko, 1999. "Anticipated Monetary Policy and the Dynamic Behaviour of the Term Structure of Interest Rates," Research Discussion Papers, Bank of Finland 12/1999, Bank of Finland.
  123. Nautz, Dieter & Schmidt, Sandra, 2009. "Monetary policy implementation and the federal funds rate," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(7), pages 1274-1284, July.
  124. Pierre Monnin, . "Are stock markets really like beauty contests? Empirical evidence of higher order belief's impact on asset prices," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich 202, Institute for Empirical Research in Economics - University of Zurich.
  125. Giannitsarou, Chryssi & Scott, Andrew, 2006. "Inflation Implications of Rising Government Debt," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5961, C.E.P.R. Discussion Papers.
  126. Eckwert, Bernhard, 1996. "Equilibrium term structure relations of risky assets in incomplete markets," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 36(3), pages 327-346.
  127. Fanelli, Luca, 2002. "A new approach for estimating and testing the linear quadratic adjustment cost model under rational expectations and I(1) variables," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 26(1), pages 117-139, January.
  128. Acuña, Andrés & Pinto, Cristián, 2009. "Eficiencia del mercado accionario chileno: un enfoque dinámico usando tests de volatilidad," REVISTA LECTURAS DE ECONOMÍA, UNIVERSIDAD DE ANTIOQUIA - CIE, UNIVERSIDAD DE ANTIOQUIA - CIE.
  129. Kunst, Robert M., 2002. "Decision Maps for Bivariate Time Series with Potential Thrshold Cointegration," Economics Series, Institute for Advanced Studies 121, Institute for Advanced Studies.
  130. Mauricio Larraín E. & Fernando Parro G., 2006. "La Información Contenida en los Movimientos de las Tasas Forward en Chile," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, Central Bank of Chile, vol. 9(3), pages 125-132, December.
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