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Citations for "A joint econometric model of macroeconomic and term structure dynamics"

by Peter Hordahl & Oreste Tristani & David Vestin

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  1. Christensen, Jens H.E. & Diebold, Francis X. & Rudebusch, Glenn D., 2011. "The affine arbitrage-free class of Nelson-Siegel term structure models," Journal of Econometrics, Elsevier, Elsevier, vol. 164(1), pages 4-20, September.
  2. Orphanides, Athanasios & Wei, Min, 2012. "Evolving macroeconomic perceptions and the term structure of interest rates," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 36(2), pages 239-254.
  3. Zagaglia, Paolo, 2009. "Forecasting with a DSGE Model of the term Structure of Interest Rates: The Role of the Feedback," Research Papers in Economics, Stockholm University, Department of Economics 2009:14, Stockholm University, Department of Economics.
  4. Francesca Biagini & Alessandro Gnoatto & Maximilian H\"artel, 2013. "Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield," Papers 1311.0688, arXiv.org.
  5. Peter Hördahl & Oreste Tristani & David Vestin, 2006. "The term structure of inflation risk premia and macroeconomic dynamics," Computing in Economics and Finance 2006, Society for Computational Economics 203, Society for Computational Economics.
  6. Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2001. "A Joint Model for the Term Structure of Interest Rates and the Macroeconomy," International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics wpie002, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
  7. Chi-Sang Tam & Ip-Wing Yu, 2008. "Modelling sovereign bond yield curves of the US, Japan and Germany," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 13(1), pages 82-91.
  8. Hans DEWACHTER & Leonardo IANIA, 2009. "An extended macro-finance model with financial factors," Center for Economic Studies - Discussion papers, Katholieke Universiteit Leuven, Centrum voor Economische Studiën ces09.19, Katholieke Universiteit Leuven, Centrum voor Economische Studiën.
  9. Glenn D. Rudebusch & Eric T. Swanson & Tao Wu, 2006. "The Bond Yield "Conundrum" from a Macro-Finance Perspective," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, Institute for Monetary and Economic Studies, Bank of Japan, vol. 24(S1), pages 83-109, December.
  10. Peter Vlaar, 2007. "Term Structure Modeling for Pension Funds:What to do in Practice?," DNB Working Papers, Netherlands Central Bank, Research Department 123, Netherlands Central Bank, Research Department.
  11. Paolo Zagaglia, 2013. "Forecasting Long-Term Interest Rates with a General-Equilibrium Model of the Euro Area: What Role for Liquidity Services of Bonds?," Asia-Pacific Financial Markets, Springer, Springer, vol. 20(4), pages 383-430, November.
  12. Koeda, Junko, 2013. "Endogenous monetary policy shifts and the term structure: Evidence from Japanese government bond yields," Journal of the Japanese and International Economies, Elsevier, vol. 29(C), pages 170-188.
  13. Francis X. Diebold, & Rudebusch, Glenn D. & Aruoba, S. Boragan, 2003. "The Macroeconomy and the Yield Curve: A Nonstructural Analysis," CFS Working Paper Series 2003/31, Center for Financial Studies (CFS).
  14. Peter Hördahl & Oreste Tristani, 2012. "Inflation Risk Premia In The Term Structure Of Interest Rates," Journal of the European Economic Association, European Economic Association, European Economic Association, vol. 10(3), pages 634-657, 05.
  15. Queijo von Heideken, Virginia, 2008. "Monetary Policy Regimes and the Volatility of Long-Term Interest Rates," Working Paper Series 220, Sveriges Riksbank (Central Bank of Sweden).
  16. Andrea Carriero & Carlo Favero & Iryna Kaminska, 2004. "Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates," Working Papers 253, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  17. Irving Fisher Committee, 2004. "Proceedings of the IFC Conference on "Central Bank Issues Regarding National and Financial Accounts", Basel, September 2004," IFC Bulletins, Bank for International Settlements, number 19, October -.
  18. René Garcia & Richard Luger, 2012. "Risk aversion, intertemporal substitution, and the term structure of interest rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 1013-1036, 09.
  19. Claudio Borio, 2012. "The financial cycle and macroeconomics: What have we learnt?," BIS Working Papers 395, Bank for International Settlements.
  20. Kozicki, Sharon & Tinsley, P.A., 2008. "Term structure transmission of monetary policy," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 19(1), pages 71-92, March.
  21. Seonghoon Cho & Antonio Moreno & Geert Bekaert, 2005. "New-Keynesian Macroeconomics and the Term Structure," Faculty Working Papers, School of Economics and Business Administration, University of Navarra 04/05, School of Economics and Business Administration, University of Navarra.
  22. Altavilla, Carlo & Giacomini, Raffaella & Ragusa, Giuseppe, 2014. "Anchoring the yield curve using survey expectations," Working Paper Series, European Central Bank 1632, European Central Bank.
  23. Ruslan Bikbov & Mikhail Chernov, 2010. "No-arbitrage macroeconomic determinants of the yield curve," Post-Print hal-00732517, HAL.
  24. 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, Econometric Society 581, Econometric Society.
  25. Andrew Ang & Sen Dong & Monika Piazzesi, 2005. "No-arbitrage Taylor rules," Proceedings, Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco.
  26. Glenn D. Rudebusch, 2010. "Macro-Finance Models Of Interest Rates And The Economy," Manchester School, University of Manchester, vol. 78(s1), pages 25-52, 09.
  27. Michael F. Gallmeyer & Burton Hollifield, 2005. "Taylor Rules, McCallum Rules and the Term Structure of Interest Rates," 2005 Meeting Papers, Society for Economic Dynamics 676, Society for Economic Dynamics.
  28. Kristoffer Nimark, 2006. "Optimal Monetary Policy with Real-time Signal Extraction from the Bond Market," RBA Research Discussion Papers, Reserve Bank of Australia rdp2006-05, Reserve Bank of Australia.
  29. Marcos S. Matsumura & José Valentim Vicente, 2009. "The role of macroeconomic variables in sovereign risk," Working Papers Series, Central Bank of Brazil, Research Department 196, Central Bank of Brazil, Research Department.
  30. Don H. Kim, 2009. "Challenges in macro-finance modeling," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 519-544.
  31. Alessia Paccagnini, 2014. "The Macroeconomic Determinants of the US Term-Structure during the Great Moderation," Working Papers, University of Milano-Bicocca, Department of Economics 274, University of Milano-Bicocca, Department of Economics, revised Jun 2014.
  32. Mönch, Emanuel, 2005. "Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach," Working Paper Series, European Central Bank 0544, European Central Bank.
  33. Favero, Carlo A & Niu, Linlin & Sala, Luca, 2007. "Term Structure Forecasting: No-Arbitrage Restrictions vs Large Information Set," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6206, C.E.P.R. Discussion Papers.
  34. Hans Dewachter & Marco Lyrio, 2008. "Learning, Macroeconomic Dynamics and the Term Structure of Interest Rates," NBER Chapters, in: Asset Prices and Monetary Policy, pages 191-245 National Bureau of Economic Research, Inc.
  35. Kim, Hwagyun & Park, Hail, 2013. "Term structure dynamics with macro-factors using high frequency data," Journal of Empirical Finance, Elsevier, Elsevier, vol. 22(C), pages 78-93.
  36. Vázquez Pérez, Jesús & María-Dolores, Ramón & Londoño, Juan Miguel, 2010. "On the Informational Role of Term Structure in the U.S. Monetary Policy Rule," DFAEII Working Papers 2010-01, University of the Basque Country - Department of Foundations of Economic Analysis II.
  37. Paul Soderlind, 2009. "Reaction of Swiss Term Premia to Monetary Policy Surprises," University of St. Gallen Department of Economics working paper series 2009, Department of Economics, University of St. Gallen 2009-33, Department of Economics, University of St. Gallen.
  38. Borio, Claudio & Zhu, Haibin, 2012. "Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism?," Journal of Financial Stability, Elsevier, Elsevier, vol. 8(4), pages 236-251.
  39. Márcio Laurini & João Frois Caldeira, 2012. "Some Comments on a Macro-Finance Model with Stochastic Volatility," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro 2012-04, Economics Research Group, IBMEC Business School - Rio de Janeiro.
  40. Michael F. Gallmeyer & Burton Hollifield & Francisco J. Palomino & Stanley E. Zin, 2007. "Arbitrage-free bond pricing with dynamic macroeconomic models," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 305-326.
  41. Stephan Fahr & Roberto Motto & Massimo Rostagno & Frank Smets & Oreste Tristani, 2013. "A monetary policy strategy in good and bad times: lessons from the recent past," Economic Policy, CEPR;CES;MSH, CEPR;CES;MSH, vol. 28(74), pages 243-288, 04.
  42. Marco Shinobu Matsumura & Ajax Reynaldo Bello Moreira & José Valentim Machado Vicente, 2010. "Forecasting the Yield Curve with Linear Factor Models," Working Papers Series, Central Bank of Brazil, Research Department 223, Central Bank of Brazil, Research Department.
  43. Josué Fernando Cortés Espada & Manuel Ramos Francia, 2008. "An Affine Model of the Term Structure of Interest Rates in Mexico," Working Papers, Banco de México 2008-09, Banco de México.
  44. Chadha, Jagjit S. & Waters, Alex, 2014. "Applying a macro-finance yield curve to UK quantitative Easing," Journal of Banking & Finance, Elsevier, Elsevier, vol. 39(C), pages 68-86.
  45. Matteo Modena, 2008. "An Empirical Analysis of the Curvature Factor of the Term Structure of Interest Rates," Working Papers, Business School - Economics, University of Glasgow 2008_35, Business School - Economics, University of Glasgow.
  46. Sharon Kozicki & Peter Tinsley, 2004. "Permanent and transitory policy shocks in an empirical macro model with asymmetric information," Proceedings, Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco, issue Mar.
  47. Ramón María-Dolores & Jesús Vázquez, 2008. "Term structure and the estimated monetary policy rule in the Eurozone," Spanish Economic Review, Springer, Springer, vol. 10(4), pages 251-277, December.
  48. Leo Krippner, 2005. "Investigating the Relationships between the Yield Curve, Output and Inflation using an Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models," Working Papers in Economics, University of Waikato, Department of Economics 05/02, University of Waikato, Department of Economics.
  49. Mikhail Chernov & Ruslan Bikbov, 2009. "Monetary Policy Regimes and the Term Structure of Interest Rates," 2009 Meeting Papers, Society for Economic Dynamics 334, Society for Economic Dynamics.
  50. : Carlo A. Favero & : Arie E. Gozluklu & : Haoxi Yang, 2013. "Demographics and The Behavior of Interest Rates," Working Papers, Warwick Business School, Finance Group wpn13-10, Warwick Business School, Finance Group.
  51. Isela Elizabeth Téllez León & Francisco Venegas Martínez, 2013. "Principales determinantes en las decisiones de política monetaria de México: un análisis econométrico," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 28(1), pages 79-108.
  52. Glenn D. Rudebusch & John C. Williams, 2006. "Revealing the Secrets of the Temple: The Value of Publishing Central Bank Interest Rate Projections," NBER Working Papers 12638, National Bureau of Economic Research, Inc.
  53. Almeida, Caio & Vicente, José, 2008. "The role of no-arbitrage on forecasting: Lessons from a parametric term structure model," Journal of Banking & Finance, Elsevier, Elsevier, vol. 32(12), pages 2695-2705, December.
  54. Peter Hördahl, 2008. "The inflation risk premium in the term structure of interest rates," BIS Quarterly Review, Bank for International Settlements, Bank for International Settlements, September.
  55. Glenn D. Rudebusch & Brian P. Sack & Eric T. Swanson, 2007. "Macroeconomic implications of changes in the term premium," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 241-270.
  56. Škovránek, Tomáš & Podlubny, Igor & Petráš, Ivo, 2012. "Modeling of the national economies in state-space: A fractional calculus approach," Economic Modelling, Elsevier, Elsevier, vol. 29(4), pages 1322-1327.
  57. Hautsch, Nikolaus & Ou, Yangguoyi, 2012. "Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(11), pages 2988-3007.
  58. GlennD. Rudebusch & Tao Wu, 2008. "A Macro-Finance Model of the Term Structure, Monetary Policy and the Economy," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 118(530), pages 906-926, 07.
  59. Peter Spreij & Enno Veerman & Peter Vlaar, 2008. "Multivariate Feller conditions in term structure models: Why do(n't) we care?," Papers 0804.1039, arXiv.org.
  60. Ciccarelli, Matteo & García, Juan Angel, 2009. "What drives euro area break-even inflation rates?," Working Paper Series, European Central Bank 0996, European Central Bank.
  61. Dewachter, Hans & Iania, Leonardo & Lyrio, Marco, 2011. "A New-Keynesian model of the yield curve with learning dynamics: A Bayesian evaluation," MPRA Paper 34461, University Library of Munich, Germany, revised Sep 2011.
  62. Leo Krippner, 2010. "A theoretical foundation for the Nelson and Siegel class of yield curve models, and an empirical application to U.S. yield curve dynamics," Reserve Bank of New Zealand Discussion Paper Series DP2010/11, Reserve Bank of New Zealand.
  63. Refet S. G�rkaynak & Jonathan H. Wright, 2012. "Macroeconomics and the Term Structure," Journal of Economic Literature, American Economic Association, vol. 50(2), pages 331-67, June.
  64. David Bolder & Shudan Liu, 2007. "Examining Simple Joint Macroeconomic and Term-Structure Models: A Practitioner's Perspective," Working Papers, Bank of Canada 07-49, Bank of Canada.
  65. Rudebusch, Glenn D. & Swanson, Eric T., 2008. "Examining the bond premium puzzle with a DSGE model," Journal of Monetary Economics, Elsevier, Elsevier, vol. 55(Supplemen), pages S111-S126, October.
  66. Don H Kim, 2007. "Challenges in macro-finance modeling," BIS Working Papers 240, Bank for International Settlements.
  67. Semko, Roman, 2011. "Bayesian estimation of small-scale DSGE model of the Ukrainian economy," MPRA Paper 35215, University Library of Munich, Germany.
  68. Nimark, Kristoffer, 2008. "Monetary policy with signal extraction from the bond market," Journal of Monetary Economics, Elsevier, Elsevier, vol. 55(8), pages 1389-1400, November.
  69. Gianni Amisano & Oreste Tristani, 2006. "Euro area inflation persistence in an estimated nonlinear," Computing in Economics and Finance 2006, Society for Computational Economics 347, Society for Computational Economics.
  70. Eickmeier, Sandra & Hofmann, Boris, 2010. "Monetary policy, housing booms and financial (im)balances," Discussion Paper Series 1: Economic Studies 2010,07, Deutsche Bundesbank, Research Centre.
  71. Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working papers, Banque de France 234, Banque de France.
  72. 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, Society for Computational Economics 3, Society for Computational Economics.
  73. Hamilton, James D. & Wu, Jing Cynthia, 2012. "Identification and estimation of Gaussian affine term structure models," Journal of Econometrics, Elsevier, Elsevier, vol. 168(2), pages 315-331.
  74. Carlo Altavilla & Raffaella Giacomini & Riccardo Costantini, 2013. "Bond returns and market expectations," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP20/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  75. Pericoli, Marcello & Taboga, Marco, 2012. "Bond risk premia, macroeconomic fundamentals and the exchange rate," International Review of Economics & Finance, Elsevier, Elsevier, vol. 22(1), pages 42-65.
  76. Taboga, Marco, 2007. "Structural change and the bond yield conundrum," MPRA Paper 4965, University Library of Munich, Germany.
  77. Matiur Rahman & Muhammad Mustafa, 2009. "The Slope of the U.S. Nominal Treasury Yield Curve and the Exchange Rate," New York Economic Review, New York State Economics Association (NYSEA), New York State Economics Association (NYSEA), vol. 40(1), pages 3-12.
  78. Taboga, Marco, 2008. "Macro-finance VARs and bond risk premia: a caveat," MPRA Paper 11585, University Library of Munich, Germany.
  79. Luís Francisco Aguiar & Manuel M. F. Martins & Maria Joana Soares, 2010. "The yield curve and the macro-economy across time and frequencies," NIPE Working Papers, NIPE - Universidade do Minho 21/2010, NIPE - Universidade do Minho.
  80. Fendel, Ralf, 2004. "Towards a Joint Characterization of Monetary Policy and the Dynamics of the Term Structure of Interest Rates," Discussion Paper Series 1: Economic Studies 2004,24, Deutsche Bundesbank, Research Centre.
  81. Bhansali, Vineer & Dorsten, Matthew P. & Wise, Mark B., 2009. "Asymmetric monetary policy and the yield curve," Journal of International Money and Finance, Elsevier, Elsevier, vol. 28(8), pages 1408-1425, December.
  82. Qiang Dai & Thomas Philippon, 2005. "Fiscal Policy and the Term Structure of Interest Rates," NBER Working Papers 11574, National Bureau of Economic Research, Inc.
  83. Jakas, Vicente, 2011. "Theory and empirics of an affine term structure model applied to European data," MPRA Paper 36029, University Library of Munich, Germany.
  84. Carlo A. Favero & Stefano W. Giglio, 2006. "Fiscal Policy and the Term Structure: Evidence from the Case of Italy in the EMS and the EMU Periods," Working Papers 312, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  85. M. Falagiarda & M. Marzo, 2012. "A DSGE model with Endogenous Term Structure," Working Papers wp830, Dipartimento Scienze Economiche, Universita' di Bologna.
  86. Shu Wu, 2005. "Monetary Policy and Long-term Interest Rates," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200512, University of Kansas, Department of Economics, revised Apr 2005.
  87. International Monetary Fund, 2012. "Macrofinance Model of the Czech Economy," IMF Working Papers 12/78, International Monetary Fund.
  88. 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.
  89. Fousseni Chabi-Yo & Jun Yang, 2007. "A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate," Working Papers, Bank of Canada 07-21, Bank of Canada.
  90. Chang, Kuang Liang & Chen, Nan Kuang & Leung, Charles Ka Yui, 2011. "The Dynamics of Housing Returns in Singapore: How Important are the International Transmission Mechanisms?," MPRA Paper 32255, University Library of Munich, Germany.
  91. Exterkate, P. & van Dijk, D.J.C. & Heij, C. & Groenen, P.J.F., 2010. "Forecasting the Yield Curve in a Data-Rich Environment using the Factor-Augmented Nelson-Siegel Model," Econometric Institute Research Papers EI 2010-06, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  92. Lemke, Wolfgang, 2008. "An affine macro-finance term structure model for the euro area," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 19(1), pages 41-69, March.
  93. Leite, André Luís & Filho, Romeu Braz Pereira Gomes & Vicente, José Valentim Machado, 2010. "Forecasting the yield curve: A statistical model with market survey data," International Review of Financial Analysis, Elsevier, Elsevier, vol. 19(2), pages 108-112, March.
  94. Gregory R. Duffee, 2012. "Bond pricing and the macroeconomy," Economics Working Paper Archive, The Johns Hopkins University,Department of Economics 598, The Johns Hopkins University,Department of Economics.
  95. Barbedo, Claudio H.S. & de Melo, Eduardo F.L., 2012. "Joint dynamics of Brazilian interest rate yields and macro variables under a no-arbitrage restriction," Journal of Economics and Business, Elsevier, Elsevier, vol. 64(5), pages 364-376.
  96. Geert Mesters & Bernd Schwaab & Siem Jan Koopman, 2014. "A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area," Tinbergen Institute Discussion Papers 14-071/III, Tinbergen Institute.
  97. De Graeve, Ferre & Emiris, Marina & Wouters, Raf, 2009. "A structural decomposition of the US yield curve," Journal of Monetary Economics, Elsevier, Elsevier, vol. 56(4), pages 545-559, May.
  98. International Monetary Fund, 2005. "Inflation Targeting Lite' in Small Open Economies," IMF Working Papers 05/172, International Monetary Fund.
  99. SANTOS, Carlos & OLIVEIRA, Maria Alberta, 2007. "Modelling The German Yield Curve And Testing The Lucas Critique, 1975-2001," Applied Econometrics and International Development, Euro-American Association of Economic Development, Euro-American Association of Economic Development, vol. 7(1).
  100. Modugno, Michele & Nikolaou, Kleopatra, 2009. "The forecasting power of internal yield curve linkages," Working Paper Series, European Central Bank 1044, European Central Bank.
  101. Afonso, António & Martins, Manuel M.F., 2012. "Level, slope, curvature of the sovereign yield curve, and fiscal behaviour," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(6), pages 1789-1807.
  102. Leo Krippner, 2012. "A theoretical foundation for the Nelson and Siegel class of yield curve models," CAMA Working Papers 2012-11, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  103. Marco Lyrio & Hans Dewachter, 2004. "Filtering Long-Run Inflation Expectations with a Structural Macro Model of the Yield Curve," Computing in Economics and Finance 2004, Society for Computational Economics 188, Society for Computational Economics.
  104. Junko Koeda & Ryo Kato, 2010. "The Role of Uncertainty in the Term Structure of Interest Rates: A Macro-Finance Perspective," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo CARF-F-207, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  105. Lemke, Wolfgang & Werner, Thomas, 2009. "The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics," Working Paper Series, European Central Bank 1045, European Central Bank.
  106. Mirkov, Nikola, 2012. "International Financial Transmission of the US Monetary Policy: An Empirical Assessment," Working Papers on Finance 1201, University of St. Gallen, School of Finance.
  107. Renne, J-P., 2009. "Frequency-domain analysis of debt service in a macro-finance model for the euro area," Working papers, Banque de France 261, Banque de France.
  108. René Garcia & Richard Luger, 2005. "The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach," Working Papers, Bank of Canada 05-36, Bank of Canada.
  109. Marcello Pericoli, 2012. "Expected inflation and inflation risk premium in the euro area and in the United States," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 842, Bank of Italy, Economic Research and International Relations Area.
  110. De Pooter, Michiel & Ravazzolo, Francesco & van Dijk, Dick, 2006. "Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information," MPRA Paper 2512, University Library of Munich, Germany, revised 03 Mar 2007.
  111. Taeyoung Doh, 2007. "What does the yield curve tell us about the Federal Reserve's implicit inflation target?," Research Working Paper, Federal Reserve Bank of Kansas City RWP 07-10, Federal Reserve Bank of Kansas City.
  112. Marcello, Pericoli & Marco, Taboga, 2005. "A specification analysis of discrete-time no-arbitrage term structure models with observable and unobservable factors," MPRA Paper 4969, University Library of Munich, Germany, revised Sep 2007.
  113. Don Kim, 2008. "Challenges in macro-finance modeling," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2008-06, Board of Governors of the Federal Reserve System (U.S.).
  114. Andrew Ang & Monika Piazzesi & Min Wei, 2003. "What does the yield curve tell us about GDP growth?," Proceedings, Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco, issue Mar.
  115. Adam Traczyk, 2013. "Financial integration and the term structure of interest rates," Empirical Economics, Springer, Springer, vol. 45(3), pages 1267-1305, December.
  116. Duffee, Gregory R., 2006. "Term structure estimation without using latent factors," Journal of Financial Economics, Elsevier, Elsevier, vol. 79(3), pages 507-536, March.
  117. Haroon Mumtaz & Paolo Surico, 2009. "Time-varying yield curve dynamics and monetary policy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 24(6), pages 895-913.
  118. Peter Lildholdt & Nikolaos Panigirtzoglou & Chris Peacock, 2007. "An affine macro-factor model of the UK yield curve," Bank of England working papers 322, Bank of England.
  119. Yash P. Mehra, 2006. "Inflation uncertainty and the recent low level of the long bond rate," Economic Quarterly, Federal Reserve Bank of Richmond, Federal Reserve Bank of Richmond, issue Sum, pages 225-253.
  120. Don H Kim & Athanasios Orphanides, 2007. "The bond market term premium: what is it, and how can we measure it?," BIS Quarterly Review, Bank for International Settlements, Bank for International Settlements, June.
  121. Francisco Palomino, 2012. "Bond Risk Premiums and Optimal Monetary Policy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(1), pages 19-40, January.
  122. Huse, Cristian, 2011. "Term structure modelling with observable state variables," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(12), pages 3240-3252.
  123. 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, vol. 29(3), pages 2300-2313.
  124. Galvao, Ana Beatriz & Costa, Sonia, 2013. "Does the euro area forward rate provide accurate forecasts of the short rate?," International Journal of Forecasting, Elsevier, Elsevier, vol. 29(1), pages 131-141.
  125. Ramón Maria-Dolores & Jesus Vazquez, 2006. "The relative importance of Term Spread, Policy Inertia and Persistent Monetary Policy Shocks in Monetary Policy Rules," Computing in Economics and Finance 2006, Society for Computational Economics 6, Society for Computational Economics.
  126. Kaya, Huseyin, 2013. "The yield curve and the macroeconomy: Evidence from Turkey," Economic Modelling, Elsevier, Elsevier, vol. 32(C), pages 100-107.
  127. Kaya, Huseyin, 2013. "Forecasting the yield curve and the role of macroeconomic information in Turkey," Economic Modelling, Elsevier, Elsevier, vol. 33(C), pages 1-7.
  128. Emil Stavrev & Thomas Harjes & Martin Cihák, 2009. "Euro Area Monetary Policy in Uncharted Waters," IMF Working Papers 09/185, International Monetary Fund.