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Citations for "Some Lessons from the Yield Curve"

by Campbell, John

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  1. Gianluca Salsecci & Giovanna Paladino, 1999. "Spread corrigé des risques et dynamique du taux d'intérêt à long terme : une application aux marchés allemand, américain et italien," Économie et Prévision, Programme National Persée, Programme National Persée, vol. 140(4), pages 45-62.
  2. Giuseppe Ferrero & Andrea Nobili, 2008. "Short-term interest rate futures as monetary policy forecasts," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 681, Bank of Italy, Economic Research and International Relations Area.
  3. Bengt Holmstrom & Jean Tirole, 1998. "LAPM: A Liquidity-based Asset Pricing Model," NBER Working Papers, National Bureau of Economic Research, Inc 6673, National Bureau of Economic Research, Inc.
  4. Juselius, Katarina & MacDonald, Ronald, 2004. "International parity relationships between the USA and Japan," Japan and the World Economy, Elsevier, Elsevier, vol. 16(1), pages 17-34, January.
  5. Jondeau, E. & Ricart, R., 1999. "The Information Content of the French and German Government Bond Tield Curves: Why Such Differences?," Working papers, Banque de France 61, Banque de France.
  6. Basma Bekdache & Christopher F. Baum, 1998. "Modeling fixed income excess returns," Boston College Working Papers in Economics, Boston College Department of Economics 409, Boston College Department of Economics, revised 14 Apr 2000.
  7. Piga, Gustavo, 1998. "In Search of an Independent Province for the Treasuries: How Should Public Debt Be Managed?," Journal of Economics and Business, Elsevier, Elsevier, vol. 50(3), pages 257-275, May.
  8. William Roberds & Charles H. Whiteman, 1996. "Endogenous term premia and anomalies in the term structure of interest rates: explaining the predictability smile," Working Paper, Federal Reserve Bank of Atlanta 96-11, Federal Reserve Bank of Atlanta.
  9. Byeongseon Seo, 2000. "Nonlinear Mean Reversion In The Term Structure Of Interest Rates," Computing in Economics and Finance 2000, Society for Computational Economics 121, Society for Computational Economics.
  10. Roland Ricart & Éric Jondeau, 1999. "Le contenu en information de la pente des taux : application au cas des titres publics français," Économie et Prévision, Programme National Persée, Programme National Persée, vol. 140(4), pages 1-20.
  11. Seppala, Juha, 2004. "The term structure of real interest rates: theory and evidence from UK index-linked bonds," Journal of Monetary Economics, Elsevier, Elsevier, vol. 51(7), pages 1509-1549, October.
  12. Michael Lamla & Sarah M. Rupprecht, 2006. "The Impact of ECB Communication on Financial Market Expectations," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich 06-135, KOF Swiss Economic Institute, ETH Zurich.
  13. Campbell, Rachel & Koedijk, Kees & Lothian, James R & Mahieu, Ronald J, 2007. "Irving Fisher, Expectational Errors, and the UIP Puzzle," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6294, C.E.P.R. Discussion Papers.
  14. repec:fth:starer:9825 is not listed on IDEAS
  15. María José Gutiérrez & Jesús Vázquez, . "The Changing Behavior of the Term Structure of Post-War U.S. Interest Rates and Changes in the Federal Reserve Chairman. Is There a Link?," Working Papers on International Economics and Finance, FEDEA 01-03, FEDEA.
  16. Reschreiter, Andreas, 2008. "Lower borrowing costs with inflation-indexed bonds: A trading rule based assessment," Economics Letters, Elsevier, Elsevier, vol. 99(2), pages 272-274, May.
  17. Jondeau, E. & Sedillot, F., 1998. "La prevision des taux longs français et allemands a partir d'un modele a anticipations rationnelles," Working papers, Banque de France 55, Banque de France.
  18. Alessandro Missale & Francesco Giavazzi & Pierpaolo Benigno, . "Managing the Public Debt in Fiscal Stabilizations: the Evidence," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University 118, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  19. Uesugi, Iichiro & Yamashiro, Guy M., 2009. "Does the Expectation Hypothesis Hold at the Shortest End of the Term Structure?," Hitotsubashi Journal of Economics, Hitotsubashi University, Hitotsubashi University, vol. 50(1), pages 71-85, June.
  20. Hsu, Chiente & Kugler, Peter, 1997. "The Revival of the Expectations Hypothesis of the US Term Structure of Interest Rates," Economics Letters, Elsevier, Elsevier, vol. 55(1), pages 115-120, August.
  21. Hanno Lustig & Christopher Sleet & Sevin Yeltekin, . "Fiscal Hedging with Nominal Assets," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business 2006-E35, Carnegie Mellon University, Tepper School of Business.
  22. Balduzzi, Pierluigi & Bertola, Giuseppe & Foresi, Silverio, 1997. "A model of target changes and the term structure of interest rates," Journal of Monetary Economics, Elsevier, Elsevier, vol. 39(2), pages 223-249, July.
  23. Antje Berndt & Hanno Lustig & Şevin Yeltekin, 2012. "How Does the US Government Finance Fiscal Shocks?," American Economic Journal: Macroeconomics, American Economic Association, American Economic Association, vol. 4(1), pages 69-104, January.
  24. Muellbauer, John & Nunziata, Luca, 2001. "Credit, the Stock Market and Oil: Forecasting US GDP," CEPR Discussion Papers, C.E.P.R. Discussion Papers 2906, C.E.P.R. Discussion Papers.
  25. Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2010. "Why Does the Treasury Issue Tips? The Tips–Treasury Bond Puzzle," NBER Working Papers, National Bureau of Economic Research, Inc 16358, National Bureau of Economic Research, Inc.
  26. Madeline Zavodny & Donna K. Ginther, 2005. "Does the Beige Book Move Financial Markets?," Southern Economic Journal, Southern Economic Association, Southern Economic Association, vol. 72(1), pages 138–151, July.
  27. Hanno Lustig & Christopher Sleet & Sevin Yeltekin, 2005. "Fiscal Hedging and the Yield Curve," NBER Working Papers, National Bureau of Economic Research, Inc 11687, National Bureau of Economic Research, Inc.
  28. Ferrero, Giuseppe & Nobili, Andrea, 2008. "Futures contract rates as monetary policy forecasts," Working Paper Series, European Central Bank 0979, European Central Bank.
  29. Duarte, Jefferson., 2003. "Evaluating an Alternative Risk Preference in Affine Term Structure Models," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa flwp_49, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  30. Jongen, Ron & Verschoor, Willem F C & Wolff, Christian C, 2005. "Time Variation in Term Premia: International Evidence," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4959, C.E.P.R. Discussion Papers.
  31. Hansen, Bruce E. & Seo, Byeongseon, 2002. "Testing for two-regime threshold cointegration in vector error-correction models," Journal of Econometrics, Elsevier, Elsevier, vol. 110(2), pages 293-318, October.
  32. Markus Leippold & Liuren Wu, 2002. "Design and Estimation of Quadratic Term Structure Models," Finance, EconWPA 0207014, EconWPA.
  33. Zsolt Darvas & Gábor Rappai & Zoltán Schepp, 2007. "Uncovering Yield Parity: A New Insight into the UIP Puzzle through the Stationarity of Long Maturity Forward Rates," Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group 84, Money Macro and Finance Research Group.
  34. Giorgio Valente & Daniel Thornton & Lucio Sarno, 2005. "The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields," Working Papers, Warwick Business School, Finance Group wp05-13, Warwick Business School, Finance Group.
  35. Reschreiter, Andreas, 2006. "Real and Nominal UK Interest Rates, ERM Membership and Inflation Targeting," Economics Series, Institute for Advanced Studies 193, Institute for Advanced Studies.
  36. Matteo Modena, 2008. "The Term Structure and the Expectations Hypothesis: a Threshold Model," Working Papers, Business School - Economics, University of Glasgow 2008_36, Business School - Economics, University of Glasgow.
  37. Daiki Maki, 2005. "The term structure of interest rates with nonlinear adjustment: Evidence from a unit root test in the nonlinear STAR framework," Economics Bulletin, AccessEcon, AccessEcon, vol. 3(6), pages 1-7.
  38. Tzavalis, Elias, 2004. "The term premium and the puzzles of the expectations hypothesis of the term structure," Economic Modelling, Elsevier, Elsevier, vol. 21(1), pages 73-93, January.
  39. Vázquez Pérez, Jesús & Gutiérrez Huerta, María José, 2002. "Markov Switching Risk Premium and the term structure of interest rates. Empirical evidence from US post-war interest rates," DFAEII Working Papers, University of the Basque Country - Department of Foundations of Economic Analysis II 2002-24, University of the Basque Country - Department of Foundations of Economic Analysis II.
  40. Backus, David & Foresi, Silverio & Mozumdar, Abon & Wu, Liuren, 2001. "Predictable changes in yields and forward rates," Journal of Financial Economics, Elsevier, Elsevier, vol. 59(3), pages 281-311, March.
  41. Angélica Arosemena, . "Lecturas Alternativas de la Estructura a Plazo: Una Breve Revisión de literatura," Borradores de Economia, Banco de la Republica de Colombia 223, Banco de la Republica de Colombia.
  42. repec:fth:starer:98-25 is not listed on IDEAS
  43. Azar, Samih Antoine, 2010. "Testing the Expectations Hypothesis on Corporate Bond Yields," Review of Applied Economics, Review of Applied Economics, Review of Applied Economics, vol. 6(1-2).
  44. Fabio C. Bagliano & Carlo A. Favero, . "Measuring Monetary Policy with VAR Models: an Evaluation," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University 132, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  45. Andrea Carriero, 2007. "A Bayesian Framework for the Expectations Hypothesis. How to Extract Additional Information from the Term Structure of Interest Rates," Working Papers, Queen Mary, University of London, School of Economics and Finance 591, Queen Mary, University of London, School of Economics and Finance.
  46. James R. Lothian & Liuren Wu, 2003. "Uncovered Interest Rate Parity Over the Past Two Centuries," International Finance, EconWPA 0311009, EconWPA.
  47. John H. Cochrane & Monika Piazzesi, 2005. "Bond Risk Premia," American Economic Review, American Economic Association, American Economic Association, vol. 95(1), pages 138-160, March.
  48. Pizer, William & Newell, Richard, 2000. "Discounting the Distant Future: How Much Do Uncertain Rates Increase Valuations?," Discussion Papers, Resources For the Future dp-00-45, Resources For the Future.
  49. Kim, Don H. & Orphanides, Athanasios, 2012. "Term Structure Estimation with Survey Data on Interest Rate Forecasts," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 47(01), pages 241-272, February.
  50. Aranha, Marcel Z. & Moura, Marcelo L., 2009. "The impact of monetary policy on the yield curve in the Brazilian economy," Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa wpe_167, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  51. Carlo Ambrogio Favero & Francesco Giavazzi, . "Why are Brazil´s Interest Rates so High?," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University 224, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  52. Joseph A. Ritter & Joseph G. Haubrich, 1996. "Commitment as investment under uncertainty," Working Paper, Federal Reserve Bank of Cleveland 9606, Federal Reserve Bank of Cleveland.
  53. 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.
  54. Philip Turner, 2011. "Fiscal Dominance and the Long-Term Interest Rate," FMG Special Papers, Financial Markets Group sp199, Financial Markets Group.
  55. Smant, David / D.J.C., 2010. "Direct tests of the expectations theory of the term structure: Survey expectations, the term premium and coefficient biases," MPRA Paper, University Library of Munich, Germany 19815, University Library of Munich, Germany.
  56. Jacob Boudoukh & Matthew Richardson, 1999. "A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility," NBER Working Papers, National Bureau of Economic Research, Inc 7213, National Bureau of Economic Research, Inc.
  57. Allan M. Malz, 1998. "Interbank interest rates as term structure indicators," Research Paper, Federal Reserve Bank of New York 9803, Federal Reserve Bank of New York.
  58. John Cochrane, 2005. "Financial Markets and the Real Economy," NBER Working Papers, National Bureau of Economic Research, Inc 11193, National Bureau of Economic Research, Inc.
  59. Schepp, Zoltán, 2003. "Befektetői horizont és a „forwardrejtély”
    [The investor horizon and the ‘forward puzzle’]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 939-963.
  60. John Y. Campbell & Robert J. Shiller, 1996. "A Scorecard for Indexed Government Debt," NBER Chapters, National Bureau of Economic Research, Inc, in: NBER Macroeconomics Annual 1996, Volume 11, pages 155-208 National Bureau of Economic Research, Inc.
  61. David Barr & John Campbell, . "Inflation, real interest rates and the bond market: a study of UK nominal and index-linked Government bond prices," CERF Discussion Paper Series, Economics and Finance Section, School of Social Sciences, Brunel University 95-09, Economics and Finance Section, School of Social Sciences, Brunel University.
  62. 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.
  63. Weißbach, Rafael & Ponyatovskyy, Vladyslav & Zimmermann, Guido, 2006. "The Yield of Ten-Year T-Bonds: Stumbling Towards a 'Good' Forecast," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen 2006,50, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  64. Juha Ilmari Seppala, 2000. "The Term Structure of Real Interest Rates: Theory and Evidence from the U.K. Index-Linked Bonds," Econometric Society World Congress 2000 Contributed Papers, Econometric Society 0245, Econometric Society.
  65. Coe, P.J. & Pesaran, M.H. & Vahey, S.P., 2003. "Scope for Cost Minimization in Public Debt Management: the Case of the UK," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 0338, Faculty of Economics, University of Cambridge.
  66. Joseph G. Haubrich & Ann M. Dombrosky, 1996. "Predicting real growth using the yield curve," Economic Review, Federal Reserve Bank of Cleveland, Federal Reserve Bank of Cleveland, issue Q I, pages 26-35.
  67. Kevin L. Kliesen & Frank A. Schmid, 2004. "Do productivity growth, budget deficits, and monetary policy actions affect real interest rates? evidence from macroeconomic announcement data," Working Papers, Federal Reserve Bank of St. Louis 2004-019, Federal Reserve Bank of St. Louis.
  68. Gabriel Pérez Quirós & Jorge Sicilia, 2002. "Is the European Central Bank (and the United States Federal Reserve) predictable?," Banco de Espa�a Working Papers, Banco de Espa�a 0229, Banco de Espa�a.
  69. 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.
  70. THORBECKE, Willem & Hanjiang ZHANG, 2008. "Monetary Policy Surprises and Interest Rates: Choosing between the Inflation-Revelation and Excess Sensitivity Hypotheses," Discussion papers, Research Institute of Economy, Trade and Industry (RIETI) 08031, Research Institute of Economy, Trade and Industry (RIETI).
  71. Jongen, Ron & Verschoor, Willem F.C. & Wolff, Christian C.P., 2011. "Time-variation in term premia: International survey-based evidence," Journal of International Money and Finance, Elsevier, Elsevier, vol. 30(4), pages 605-622, June.
  72. Chunsheng Zhou, 1996. "Stock market fluctuations and the term structure," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 96-3, Board of Governors of the Federal Reserve System (U.S.).
  73. 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.
  74. Thorbecke, Willem, 2000. "Monetary Policy, Time-Varying Risk, and the Bond Market Debacle of 1994," Journal of Macroeconomics, Elsevier, Elsevier, vol. 22(1), pages 159-174, January.
  75. Leo Krippner, 2002. "Extracting expectations of New Zealand's Official Cash Rate from the bank-risk yield curve," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand DP2002/01, Reserve Bank of New Zealand.
  76. Josué Cortés Espada & Carlos Capistrán & Manuel Ramos-Francia & Alberto Torres, 2009. "An empirical analysis of the mexican term structure of interest rates," Economics Bulletin, AccessEcon, AccessEcon, vol. 29(3), pages 2300-2313.
  77. Fausto Hernández Trillo & Alejandro Villagómez Amezcua, 2000. "La estructura de la deuda pública en México: Lecciones y perspectivas," Research Department Publications, Inter-American Development Bank, Research Department 3104, Inter-American Development Bank, Research Department.
  78. 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.
  79. Alan S. Blinder, 2006. "Monetary Policy Today: Sixteen Questions and about Twelve Answers," Working Papers, Princeton University, Department of Economics, Center for Economic Policy Studies. 73, Princeton University, Department of Economics, Center for Economic Policy Studies..
  80. Barros Luís, Jorge & Cassola, Nuno, 2001. "A two-factor model of the German term structure of interest rates," Working Paper Series, European Central Bank 0046, European Central Bank.
  81. Hanno Lustig, 2005. "Does the US government Hedge against Defense Expenditure Risk? (joint with Chris Sleet and Sevin Yeltekin)," UCLA Economics Online Papers, UCLA Department of Economics 356, UCLA Department of Economics.
  82. McMillan, David G., 2009. "Forward interest rate premium and asymmetric adjustment: Evidence from 16 countries," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 19(2), pages 258-273, April.
  83. Frank F. Gong & Eli M. Remolona, 1996. "Two factors along the yield curve," Research Paper, Federal Reserve Bank of New York 9613, Federal Reserve Bank of New York.
  84. S. Rao Aiyagari & Mark Gertler, 1998. ""Overreaction" of Asset Prices in General Equilibrium," NBER Working Papers, National Bureau of Economic Research, Inc 6747, National Bureau of Economic Research, Inc.
  85. Josué Fernando Cortés Espada & Alberto Torres García & Manuel Ramos Francia, 2008. "An Empirical Analysis of the Mexican Term Structure of Interest Rates," Working Papers, Banco de México 2008-07, Banco de México.
  86. Serafín Frache & Gabriel Katz, 2004. "Estimating a Risky Term Structure of Uruguayan Sovereign Bonds," Documentos de Trabajo (working papers), Department of Economics - dECON 0304, Department of Economics - dECON.
  87. Massimo Guidolin & Daniel L. Thornton, 2010. "Predictions of short-term rates and the expectations hypothesis," Working Papers, Federal Reserve Bank of St. Louis 2010-013, Federal Reserve Bank of St. Louis.
  88. Thorbecke, Willem & Coppock, Lee, 1997. "Why good economic news depressed stock and bond prices in 1996," Economics Letters, Elsevier, Elsevier, vol. 54(3), pages 253-257, July.
  89. Daniel L. Thornton, 2004. "Tests of the expectations hypothesis: resolving the Campbell-Shiller paradox," Working Papers, Federal Reserve Bank of St. Louis 2003-022, Federal Reserve Bank of St. Louis.
  90. Daniel Burren, 2010. "The Term Structure of Interest Rates in a New Keynesian Model with Time-Varying Macro Volatility," Annals of Economics and Finance, Society for AEF, Society for AEF, vol. 11(2), pages 277-299, November.
  91. Grahame Johnson, 2003. "Measuring Interest Rate Expectations in Canada," Working Papers, Bank of Canada 03-26, Bank of Canada.
  92. Perignon, Christophe & Smith, Daniel R., 2007. "Yield-factor volatility models," Journal of Banking & Finance, Elsevier, Elsevier, vol. 31(10), pages 3125-3144, October.
  93. Reschreiter, Andreas, 2004. "Conditional funding costs of inflation-indexed and conventional government bonds," Journal of Banking & Finance, Elsevier, Elsevier, vol. 28(6), pages 1299-1318, June.
  94. Jeffrey C. Fuhrer, 1995. "Modeling long-term nominal interest rates," Working Papers, Federal Reserve Bank of Boston 95-7, Federal Reserve Bank of Boston.
  95. Favero, Carlo A., 2006. "Taylor rules and the term structure," Journal of Monetary Economics, Elsevier, Elsevier, vol. 53(7), pages 1377-1393, October.
  96. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, Princeton University Press, edition 1, volume 1, number 8355.
  97. Christian Wolff & Ron Jongen & Willem F.C. Verschoor, 2009. "Time-Variation in Term Permia: International Survey-Based Evidence," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg 09-02, Luxembourg School of Finance, University of Luxembourg.
  98. Silva Lopes, Artur C. & M. Monteiro, Olga Susana, 2007. "The expectations hypothesis of the term structure: some empirical evidence for Portugal," MPRA Paper, University Library of Munich, Germany 3437, University Library of Munich, Germany.
  99. Javier J. Pérez & Rocío Prieto, 2014. "The structure of sub-natural public debt: Liquidity vs credit risk," Banco de Espa�a Working Papers, Banco de Espa�a 1403, Banco de Espa�a.
  100. John Kambhu & Patricia C. Mosser, 2001. "The effect of interest rate options hedging on term-structure dynamics," Economic Policy Review, Federal Reserve Bank of New York, Federal Reserve Bank of New York, issue Dec, pages 51-70.
  101. Mohamad Shaaf, 2000. "Predicting Recession Using the Yield Curve: An Artificial Intelligence and Econometric Comparison," Eastern Economic Journal, Eastern Economic Association, Eastern Economic Association, vol. 26(2), pages 171-190, Spring.
  102. Gebhardt, William R. & Hvidkjaer, Soeren & Swaminathan, Bhaskaran, 2005. "The cross-section of expected corporate bond returns: Betas or characteristics?," Journal of Financial Economics, Elsevier, Elsevier, vol. 75(1), pages 85-114, January.
  103. Alquist, Ron & Chabot, Benjamin, 2011. "Did gold-standard adherence reduce sovereign capital costs?," Journal of Monetary Economics, Elsevier, Elsevier, vol. 58(3), pages 262-272.
  104. Halkos, George E. & Papadamou, Stephanos T., 2006. "An investigation of bond term premia in international government bond indices," Research in International Business and Finance, Elsevier, Elsevier, vol. 20(1), pages 45-61, March.
  105. Josué Fernando Cortés Espada & Manuel Ramos Francia, 2008. "A Macroeconomic Model of the Term Structure of Interest Rates in Mexico," Working Papers, Banco de México 2008-10, Banco de México.
  106. Hasan Cömert, 2012. "Decoupling between the Federal Funds Rate and Long-term Interest Rates: Decreasing Effectiveness of Monetary Policy in the U.S," Working Papers, Political Economy Research Institute, University of Massachusetts at Amherst wp295, Political Economy Research Institute, University of Massachusetts at Amherst.
  107. Balduzzi, Pierluigi, et al, 1998. "Interest Rate Targeting and the Dynamics of Short-Term Rates," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 30(1), pages 26-50, February.
  108. Silva Lopes, Artur C. B. da & Monteiro, Olga Susana, 2008. "Short and long run tests of the expectations hypothesis: the Portuguese case," MPRA Paper, University Library of Munich, Germany 12001, University Library of Munich, Germany.
  109. Bulkley, George & Giordani, Paolo, 2011. "Structural breaks, parameter uncertainty, and term structure puzzles," Journal of Financial Economics, Elsevier, Elsevier, vol. 102(1), pages 222-232, October.
  110. Johnson, Robert R. & Buetow, Gerald W. & Jensen, Gerald R. & Reilly, Frank K., 2003. "Monetary policy and fixed income returns," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 43(1), pages 133-146.
  111. Avouyi-Dovi, S. & Jondeau, E., 1999. "Interest Rate Transmission and Volatility Transmission along the Yield Curve," Working papers, Banque de France 57, Banque de France.
  112. Ravenna , Federico & Seppälä , Juha, 2006. "Monetary policy and rejections of the expectations hypothesis," Research Discussion Papers, Bank of Finland 25/2006, Bank of Finland.
  113. Carlo A. Favero, . "Does Macroeconomics Help Understand the Term Structure of Interest Rates?," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University 195, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  114. Marvin Goodfriend, 1998. "Using the term structure of interest rates for monetary policy," Economic Quarterly, Federal Reserve Bank of Richmond, Federal Reserve Bank of Richmond, issue Sum, pages 13-30.
  115. Bulkley, George & Harris, Richard D.F. & Nawosah, Vivekanand, 2011. "Revisiting the expectations hypothesis of the term structure of interest rates," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(5), pages 1202-1212, May.
  116. Seo, Byeongseon, 2003. "Nonlinear mean reversion in the term structure of interest rates," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 27(11-12), pages 2243-2265, September.
  117. Iichiro Uesugi & Guy M. Yamashiro, 2003. "On the Relationship Between the Very Short Forward and the Spot Interest Rate," Discussion papers, Research Institute of Economy, Trade and Industry (RIETI) 03013, Research Institute of Economy, Trade and Industry (RIETI).
  118. C. Emre Alper & Aras Akdemir & Kazim Kazimov, 2004. "Estimating the Term Structure of Government Securities in Turkey," Working Papers, Bogazici University, Department of Economics 2004/03, Bogazici University, Department of Economics.
  119. Francisco J. Ruge-Murcia, 2000. "Uncovering financial markets' beliefs about inflation targets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 15(5), pages 483-512.
  120. Bates, David S., 2003. "Empirical option pricing: a retrospection," Journal of Econometrics, Elsevier, Elsevier, vol. 116(1-2), pages 387-404.
  121. Jacob Boudoukh & Matthew Richardson & Richard Stanton & Robert Whitelaw, 1999. "A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- 99-042, New York University, Leonard N. Stern School of Business-.
  122. Ivanova, Detelina & Lahiri, Kajal & Seitz, Franz, 2000. "Interest rate spreads as predictors of German inflation and business cycles," International Journal of Forecasting, Elsevier, Elsevier, vol. 16(1), pages 39-58.
  123. Alan S. Blinder, 1997. "Distinguished Lecture on Economics in Government: What Central Bankers Could Learn from Academics--And Vice Versa," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 11(2), pages 3-19, Spring.
  124. Felix Geiger, 2009. "International Interest-Rate Risk Premia in Affine Term Structure Models," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim, Department of Economics, University of Hohenheim, Germany 316/2009, Department of Economics, University of Hohenheim, Germany.
  125. repec:ebl:ecbull:v:3:y:2005:i:6:p:1-7 is not listed on IDEAS
  126. Fischer, Björn & Köhler, Petra & Seitz, Franz, 2004. "The demand for euro area currencies: past, present and future," Working Paper Series, European Central Bank 0330, European Central Bank.