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Citations for "The Changing Behavior of the Term Structure of Interest Rates"

by N. Gregory Mankiw & Jeffrey A. Miron

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  1. Sharon Kozicki & P.A.Tinsley, 2001. "What do you expect? : imperfect policy credibility and tests of the expectations hypothesis?," Research Working Paper, Federal Reserve Bank of Kansas City RWP 01-02, Federal Reserve Bank of Kansas City.
  2. Gordon Menzies & Daniel John Zizzo, 2004. "Inferential Expectations," Economics Series Working Papers 187, University of Oxford, Department of Economics.
  3. 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.
  4. Jiri Podpiera, 2008. "Policy Rate Decisions and Unbiased Parameter Estimation in Conventionally Estimated Monetary Policy Rules," Working Papers, Czech National Bank, Research Department 2008/2, Czech National Bank, Research Department.
  5. Emilio Dominguez & Alfonso Novales, 2002. "Can forward rates be used to improve interest rate forecasts?," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 12(7), pages 493-504.
  6. Krishna Ramaswamy & Choong-Tze Chua & Winston T.H. Koh, 2004. "Profiting from Mean-Reverting Yield Curve Trading Strategies," Econometric Society 2004 Australasian Meetings, Econometric Society 142, Econometric Society.
  7. Troy Davig & Jeffrey R. Gerlach, 2006. "State-Dependent Stock Market Reactions to Monetary Policy," International Journal of Central Banking, International Journal of Central Banking, International Journal of Central Banking, vol. 2(4), December.
  8. repec:nbr:nberwo:2341 is not listed on IDEAS
  9. Choi, Seungmook & Wohar, Mark E., 1995. "The expectations theory of interest rates: Cointegration and factor decomposition," International Journal of Forecasting, Elsevier, Elsevier, vol. 11(2), pages 253-262, June.
  10. 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.
  11. G. Boero & C. Torricelli, 1999. "The Information in the Term of Structure: further Results for Germany," Working Paper CRENoS 199912, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  12. Chen, Cathy Yi-Hsuan & Kuo, I-Doun & Chiang, Thomas C., 2014. "What explains deviations in the unbiased expectations hypothesis? Market irrationality vs. the peso problem," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 30(C), pages 172-190.
  13. Henkel, Sam James & Martin, J. Spencer & Nardari, Federico, 2011. "Time-varying short-horizon predictability," Journal of Financial Economics, Elsevier, Elsevier, vol. 99(3), pages 560-580, March.
  14. Richard Harris, 2004. "The rational expectations hypothesis and the cross-section of bond yields," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 14(2), pages 105-112.
  15. Jeffrey A. Miron, 1990. "The Economics of Seasonal Cycles," NBER Working Papers 3522, National Bureau of Economic Research, Inc.
  16. Ellingsen, Tore & Söderström, Ulf, 1998. "Monetary Policy and Market Interest Rates," Working Paper Series in Economics and Finance 242, Stockholm School of Economics, revised 08 Mar 1999.
  17. Cuthbertson, Keith & Hayes, Simon & Nitzsche, Dirk, 2000. "Are German money market rates well behaved?," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 24(3), pages 347-360, March.
  18. Cuthbertson, Keith & Nitzsche, Dirk, 2003. "Long rates, risk premia and the over-reaction hypothesis," Economic Modelling, Elsevier, Elsevier, vol. 20(2), pages 417-435, March.
  19. John Y. Campbell, 2002. "Consumption-Based Asset Pricing," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research 1974, Harvard - Institute of Economic Research.
  20. Carriero, Andrea & Favero, Carlo A. & Kaminska, Iryna, 2006. "Financial factors, macroeconomic information and the Expectations Theory of the term structure of interest rates," Journal of Econometrics, Elsevier, Elsevier, vol. 131(1-2), pages 339-358.
  21. 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.
  22. Rudebusch, Glenn D., 1995. "Federal Reserve interest rate targeting, rational expectations, and the term structure," Journal of Monetary Economics, Elsevier, Elsevier, vol. 35(2), pages 245-274, April.
  23. Thornton, Daniel L., 2005. "Tests of the expectations hypothesis: Resolving the anomalies when the short-term rate is the federal funds rate," Journal of Banking & Finance, Elsevier, Elsevier, vol. 29(10), pages 2541-2556, October.
  24. Gerlach, Stefan & Smets, Frank, 1995. "The Term Structure of Euro-Rates: Some Evidence in Support of the Expectations Hypothesis," CEPR Discussion Papers, C.E.P.R. Discussion Papers 1258, C.E.P.R. Discussion Papers.
  25. 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.
  26. Smith, R. Todd & van Egteren, Henry, 2005. "Interest rate smoothing and financial stability," Review of Financial Economics, Elsevier, Elsevier, vol. 14(2), pages 147-171.
  27. 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.
  28. Guglielmo Maria Caporale & Stefano Di Colli & Juan Sergio Lopez, 2013. "Bank Lending Procyclicality and Credit Quality during Financial Crises," Discussion Papers of DIW Berlin 1309, DIW Berlin, German Institute for Economic Research.
  29. Sharon Kozicki & P.A. Tinsley, 1996. "Moving endpoints and the internal consistency of agents' ex ante forecasts," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 96-47, Board of Governors of the Federal Reserve System (U.S.).
  30. Viktor Kotlán, 2001. "Monetary policy and the term structure of interest rates in a small open economy - a model framework approach," Macroeconomics, EconWPA 0110003, EconWPA.
  31. 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.
  32. John Y. Campbell, 1995. "Some Lessons from the Yield Curve," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 9(3), pages 129-152, Summer.
  33. Shen Chung-Hua, 1998. "The Term Structure of Taiwan Money Market Rates And Rational Expectation," International Economic Journal, Taylor & Francis Journals, Taylor & Francis Journals, vol. 12(1), pages 105-119.
  34. Arielle Beyaert & Juan Jose Perez-Castejon, 2009. "Markov-switching models, rational expectations and the term structure of interest rates," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 41(3), pages 399-412.
  35. Robert B. Barsky & N. Gregory Mankiw & Jeffrey A. Miron & David N. Weil, 1987. "The Worldwide Change in the Behavior of Interest Rates and Prices in 1914," NBER Working Papers 2344, National Bureau of Economic Research, Inc.
  36. Ang, Andrew & Bekaert, Geert, 2002. "Short rate nonlinearities and regime switches," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 26(7-8), pages 1243-1274, July.
  37. Chiang, Thomas C. & Chiang, Jeanette Jin, 1995. "Emperical analysis of short-term eurocurrency rates: Evidence from a transfer function error correction model," Journal of Economics and Business, Elsevier, Elsevier, vol. 47(4), pages 335-351, October.
  38. 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 01-03, FEDEA.
  39. Bernoth, Kerstin & von Hagen, Jürgen, 2003. "The performance of the Euribor futures market: Effficiency and the impact of ECB policy announcements," ZEI Working Papers B 27-2003, ZEI - Center for European Integration Studies, University of Bonn.
  40. Nourzad, Farrokh & Scott Grennier, R., 1995. "Cointegration analysis of the expectations theory of the term structure," Journal of Economics and Business, Elsevier, Elsevier, vol. 47(3), pages 281-292, August.
  41. Pawel Milobedzki, 2012. "The Expectations Hypothesis of the Term Structure of LIBOR US Dollar Interest Rates," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, Uniwersytet Mikolaja Kopernika, vol. 12, pages 5-18.
  42. 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.
  43. Chris Downing & Stephen Oliner, 2004. "The term structure of commercial paper rates," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2004-18, Board of Governors of the Federal Reserve System (U.S.).
  44. Wahab, Mahmoud, 1997. "On risk, rationality and the predictive ability of European short-term adjusted yield spreads," Journal of International Money and Finance, Elsevier, Elsevier, vol. 16(5), pages 737-765, September.
  45. 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.
  46. Rai, Anoop & Seth, Rama & Mohanty, Sunil K., 2007. "The impact of discount rate changes on market interest rates: Evidence from three European countries and Japan," Journal of International Money and Finance, Elsevier, Elsevier, vol. 26(6), pages 905-923, October.
  47. Bredin, Don & Cuthbertson, Keith, 2000. "Risk Premia and Long Rates in Ireland," Research Technical Papers 2/RT/00, Central Bank of Ireland.
  48. Geert Bekaert & Robert J. Hodrick & David A. Marshall, 1997. ""Peso Problem" Explanations for Term Structure Anomalies," NBER Working Papers 6147, National Bureau of Economic Research, Inc.
  49. Kuo, Shew-Huei & Enders, Walter, 2004. "The term structure of Japanese interest rates:: The equilibrium spread with asymmetric dynamics," Journal of the Japanese and International Economies, Elsevier, vol. 18(1), pages 84-98, March.
  50. 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.
  51. M. Berument & Selahattin Togay & Afsin Sahin, 2011. "Identifying the Liquidity Effects of Monetary Policy Shocks for a Small Open Economy: Turkey," Open Economies Review, Springer, Springer, vol. 22(4), pages 649-667, September.
  52. Todd E. Clark & Michael W. McCracken, 2008. "Improving forecast accuracy by combining recursive and rolling forecasts," Working Papers, Federal Reserve Bank of St. Louis 2008-028, Federal Reserve Bank of St. Louis.
  53. Nicolas Rautureau, 2004. "Modèles à changement de régime et test de la théorie des anticipations rationnelles de la structure par terme des taux d’intérêt en France," Économie et Prévision, Programme National Persée, Programme National Persée, vol. 163(2), pages 117-129.
  54. Caporale, Barbara & Caporale, Tony, 2003. "Investigating the effects of monetary regime shifts: The case of the Federal Reserve and the shrinking risk premium," Economics Letters, Elsevier, Elsevier, vol. 80(1), pages 87-91, July.
  55. Bennett T. McCallum, 1994. "Monetary Policy and the Term Structure of Interest Rates," NBER Working Papers 4938, National Bureau of Economic Research, Inc.
  56. Froot, Kenneth A, 1989. " New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates," Journal of Finance, American Finance Association, American Finance Association, vol. 44(2), pages 283-305, June.
  57. Matthew Greenwood-Nimmo & Youngcheol Shin, 2011. "Shifting Preferences at the Fed: Evidence from Rolling Dynamic Multipliers and Impulse Response Analysis," Working Papers, Madras School of Economics,Chennai,India 2011-057, Madras School of Economics,Chennai,India.
  58. Podpiera, Jiri­, 2008. "Monetary policy inertia reconsidered: Evidence from endogenous interest rate trajectory," Economics Letters, Elsevier, Elsevier, vol. 100(2), pages 238-240, August.
  59. Pang, Tianxiao & Zhang, Danna & Chong, Terence Tai-Leung, 2013. "Asymptotic Inferences for an AR(1) Model with a Change Point: Stationary and Nearly Non-stationary Cases," MPRA Paper 55312, University Library of Munich, Germany.
  60. Michael Gallmeyer & Burton Hollifield & Stanley E. Zin, 2005. "Taylor Rules, McCallum Rules and the Term Structure of Interest Rates," NBER Working Papers 11276, National Bureau of Economic Research, Inc.
  61. Barsky, Robert B., 1987. "The Fisher hypothesis and the forecastability and persistence of inflation," Journal of Monetary Economics, Elsevier, Elsevier, vol. 19(1), pages 3-24, January.
  62. Arusha Cooray, 2003. "A test of the expectations hypothesis of the term structure of interest rates for Sri Lanka," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 35(17), pages 1819-1827.
  63. Tom Engsted & Thomas Q. Pedersen, 2009. "The dividend-price ratio does predict dividend growth: International evidence," CREATES Research Papers 2009-36, School of Economics and Management, University of Aarhus.
  64. Robrt G. King & André Kurmann, 2002. "Expectations and the term structure of interest rates : evidence and implications," Economic Quarterly, Federal Reserve Bank of Richmond, Federal Reserve Bank of Richmond, issue Fall, pages 49-95.
  65. Paul Johnson, 1997. "Estimation of the specification error in the expectations theory of the term structure," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 29(9), pages 1239-1247.
  66. fabio spagnolod & Zacharias Psaradakis & Martin Sola, 2003. "Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University 03-15, Economics and Finance Section, School of Social Sciences, Brunel University.
  67. Glenn D. Rudebusch, 2005. "Monetary policy inertia: fact or fiction?," Working Paper Series, Federal Reserve Bank of San Francisco 2005-19, Federal Reserve Bank of San Francisco.
  68. Marco R Barassi & Dayong Zhang, 2009. "Fractional Integration and Cointegration: Testing the Term Structure of Interest Rates," Discussion Papers, Department of Economics, University of Birmingham 09-17, Department of Economics, University of Birmingham.
  69. Glenn D. Rudebusch, 2001. "Term structure evidence on interest rate smoothing and monetary policy inertia," Working Paper Series, Federal Reserve Bank of San Francisco 2001-02, Federal Reserve Bank of San Francisco.
  70. Barro, Robert J, 1989. "The Ricardian Approach to Budget Deficits," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 3(2), pages 37-54, Spring.
  71. Baillie, R. & Chung, C. & Tieslau, M., 1992. "The Long Memory and Variability of Inflation : A Reappraisal of the Friedman Hypothesis," Discussion Paper, Tilburg University, Center for Economic Research 1992-46, Tilburg University, Center for Economic Research.
  72. Mankiw, N. Gregory & Miron, Jeffrey A., 1991. "Should the fed smooth interest rates? the case of seasonal monetary policy," Carnegie-Rochester Conference Series on Public Policy, Elsevier, Elsevier, vol. 34(1), pages 41-69, January.
  73. Seth B. Carpenter & Selva Demiralp, 2011. "Volatility, Money Market Rates, and the Transmission of Monetary Policy," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum 1129, Koc University-TUSIAD Economic Research Forum.
  74. Osmani T. Guillen & Benjamin M. Tabak, 2008. "Characterizing the Brazilian Term Structure of Interest Rates," Working Papers Series, Central Bank of Brazil, Research Department 158, Central Bank of Brazil, Research Department.
  75. Markku Lanne, 2000. "Near unit roots, cointegration, and the term structure of interest rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 15(5), pages 513-529.
  76. Gerlach, Stefan, 2003. "Interpreting the term structure of interbank rates in Hong Kong," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 11(5), pages 593-609, November.
  77. Vázquez Jesús, 2004. "Switching Regimes in the Term Structure of Interest Rates during U.S. Post-War: A Case for the Lucas Proof Equilibrium?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, De Gruyter, vol. 8(1), pages 1-41, March.
  78. Gerlach, Stefan & Smets, Frank, 1997. "Exchange Rate Regimes and the Expectations Hypothesis of the Term Structure," CEPR Discussion Papers, C.E.P.R. Discussion Papers 1752, C.E.P.R. Discussion Papers.
  79. Modena, Matteo, 2008. "Yield curve, time varying term premia, and business cycle fluctuations," MPRA Paper 8873, University Library of Munich, Germany.
  80. Flôres Junior, Renato Galvão & Brito, Ricardo Dias Oliveira, 2001. "Stochastic Growth and Monetary Policy: the impacts on the term structure of interest rates," Economics Working Papers (Ensaios Economicos da EPGE) 416, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  81. Thornton, Daniel L., 2006. "Tests of the Expectations Hypothesis: Resolving the Campbell-Shiller Paradox," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 38(2), pages 511-542, March.
  82. John Y. Campbell & Robert J. Shiller, 1986. "Cointegration and Tests of Present Value Models," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 785, Cowles Foundation for Research in Economics, Yale University.
  83. Rautureau, Nicolas, 2004. "Measuring the long-term perception of monetary policy and the term structure," Research Discussion Papers, Bank of Finland 12/2004, Bank of Finland.
  84. 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.
  85. Sharon Kozicki & Peter A. Tinsley, . "Moving Endpoints in Macrofinance," Computing in Economics and Finance 1996, Society for Computational Economics _058, Society for Computational Economics.
  86. Mikosch, Thomas & de Vries, Casper G., 2013. "Heavy tails of OLS," Journal of Econometrics, Elsevier, Elsevier, vol. 172(2), pages 205-221.
  87. den Haan, Wouter J., 1995. "The term structure of interest rates in real and monetary economies," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 19(5-7), pages 909-940.
  88. Dominguez, Emilio & Novales, Alfonso, 2000. "Testing the expectations hypothesis in Eurodeposits," Journal of International Money and Finance, Elsevier, Elsevier, vol. 19(5), pages 713-736, October.
  89. Cecchetti, Stephen G, 1988. "The Case of the Negative Nominal Interest Rates: New Estimates of the Term Structure of Interest Rates during the Great Depression," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 96(6), pages 1111-41, December.
  90. Caporale, Barbara & Caporale, Tony, 2008. "Political risk and the expectations hypothesis," Economics Letters, Elsevier, Elsevier, vol. 100(2), pages 178-180, August.
  91. 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.
  92. Joseph R. Dziwura & Eric M. Green, 1996. "Interest rate expectations and the shape of the yield curve," Research Paper, Federal Reserve Bank of New York 9631, Federal Reserve Bank of New York.
  93. Jiri Podpiera, 2006. "The Role of Policy Rule Misspecification in Monetary Policy Inertia Debate," CERGE-EI Working Papers wp315, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
  94. Xavier Freixas, 1992. "Estructura temporal de tipos de interés: hipótesis teóricas y resultados empíricos," Investigaciones Economicas, Fundación SEPI, Fundación SEPI, vol. 16(2), pages 187-203, May.
  95. 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.
  96. Michael Dotsey & Christopher Otrok, 1995. "The rational expectations hypothesis of the term structure, monetary policy, and time-varying term premia," Economic Quarterly, Federal Reserve Bank of Richmond, Federal Reserve Bank of Richmond, issue Win, pages 65-81.
  97. Jennifer E. Roush, 2001. "Evidence uncovered: long-term interest rates, monetary policy, and the expectations theory," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 712, Board of Governors of the Federal Reserve System (U.S.).
  98. Michael Gordon, 2003. "Estimates of time-varying term premia for New Zealand and Australia," Reserve Bank of New Zealand Discussion Paper Series DP2003/06, Reserve Bank of New Zealand.
  99. Stephen A. Buser & G. Andrew Karolyi & Anthony B. Sanders, . "Adjusted Forward Rates as Predictors of Future Spot Rates," Research in Financial Economics, Ohio State University 9605, Ohio State University.
  100. Roberds, William & Whiteman, Charles H., 1999. "Endogenous term premia and anomalies in the term structure of interest rates: Explaining the predictability smile," Journal of Monetary Economics, Elsevier, Elsevier, vol. 44(3), pages 555-580, December.
  101. Clemens J. M. Kool & Daniel L. Thornton, 2003. "A note on the expectations hypothesis at the founding of the Fed," Working Papers, Federal Reserve Bank of St. Louis 2000-004, Federal Reserve Bank of St. Louis.
  102. Stefan Gerlach, 1996. "Monetary policy and the behaviour of interest rates: are long rates excessively volatile?," BIS Working Papers 34, Bank for International Settlements.
  103. 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 19815, University Library of Munich, Germany.
  104. Clements, Michael P. & Galv O, Ana Beatriz C., 2003. "Testing The Expectations Theory Of The Term Structure Of Interest Rates In Threshold Models," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 7(04), pages 567-585, September.
  105. 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.
  106. Boero, G. & Torricelli, C., 1998. "Tests of the Expectations Hypothesis and Policy Reaction to the Term Spread: Some Comparative Evidence," The Warwick Economics Research Paper Series (TWERPS) 512, University of Warwick, Department of Economics.
  107. Ederington, Louis H. & Huang, Chao-Hsi, 1995. "Parameter uncertainty and the rational expectations model of the term structure," Journal of Banking & Finance, Elsevier, Elsevier, vol. 19(2), pages 207-223, May.
  108. Lof, Matthijs, 2012. "Heterogeneity in stock prices: A STAR model with multivariate transition function," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 36(12), pages 1845-1854.
  109. Andreas M. Fischer, 2000. "Do Interventions Smooth Interest Rates?," Working Papers 00.04, Swiss National Bank, Study Center Gerzensee.
  110. Keith Cuthbertson & Don Bredin, 2000. "The Expectations Hypothesis of the Term Structure - The Case of Ireland," The Economic and Social Review, Economic and Social Studies, Economic and Social Studies, vol. 31(3), pages 267-281.
  111. Magdalena Massot Perelló & Juan M. Nave Pineda, 2003. "La hipótesis de las expectativas en el largo plazo: evidencia en el mercado español de deuda pública," Investigaciones Economicas, Fundación SEPI, Fundación SEPI, vol. 27(3), pages 533-564, September.
  112. Karel Brůna, 2006. "Glenn Rudebusch’s View on the Targeting of Short-Term Interest Rates," Český finanční a účetní časopis, University of Economics, Prague, University of Economics, Prague, vol. 2006(1), pages 163-169.
  113. 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.
  114. Pierluigi Balduzzi & Giuseppe Bertola & Silverio Foresi & Leora Klapper, 1997. "Interest Rate Targeting and the Dynamics of Short-Term Rates," NBER Working Papers 5944, National Bureau of Economic Research, Inc.
  115. Mateus A. Feitosa & Benjamin M. Tabak, 2007. "Predictability Of Economic Activity Using Yield Spreads: The Case Of Brazil," Anais do XXXV Encontro Nacional de Economia [Proceedings of the 35th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Gr 029, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  116. Chiang, Thomas C., 1997. "Time series dynamics of short-term interest rates: evidence from Eurocurrency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 7(3), pages 201-220, October.
  117. 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.
  118. Geert Bekaert & Min Wei & Yuhang Xing, 2002. "Uncovered Interest Rate Parity and the Term Structure," NBER Working Papers 8795, National Bureau of Economic Research, Inc.
  119. Ángel León & Francis Benito & Juan Nave, 2006. "Modeling The Euro Overnight Rate," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) 2006-11, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  120. Angélica Arosemena, . "Lecturas Alternativas de la Estructura a Plazo: Una Breve Revisión de literatura," Borradores de Economia 223, Banco de la Republica de Colombia.
  121. Joe Lange & Brian Sack & William Whitesell, 2001. "Anticipations of monetary policy in financial markets," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2001-24, Board of Governors of the Federal Reserve System (U.S.).
  122. Jitmaneeroj, Boonlert & Wood, Andrew, 2013. "The expectations hypothesis: New hope or illusory support?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(3), pages 1084-1092.
  123. Mankiw, N Gregory & Miron, Jeffrey A & Weil, David N, 1987. "The Adjustment of Expectations to a Change in Regime: A Study of the Founding of the Federal Reserve," American Economic Review, American Economic Association, American Economic Association, vol. 77(3), pages 358-74, June.
  124. Gianna Boero & Costanza Torricelli, 2002. "The information in the term structure of German interest rates," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 8(1), pages 21-45.
  125. Thornton, Daniel L, 1994. "Why Do T-Bill Rates React to Discount Rate Changes?," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 26(4), pages 839-50, November.
  126. Lise Godbout & Paul Storer & Christian Zimmermann, 1999. "The Canadian Treasury Bill Auction and the Term Structure of Interest Rates," Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal 75, CREFE, Université du Québec à Montréal.
  127. Andrew Ang & Geert Bekaert, 1998. "Regime Switches in Interest Rates," NBER Working Papers 6508, National Bureau of Economic Research, Inc.
  128. Gordon Menzies & Daniel Zizzo, 2006. "Exchange Rate Markets And Conservative Inferential Expectations," CAMA Working Papers 2007-02, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  129. Philip Lowe & Luci Ellis, 1997. "The Smoothing of Official Interest Rates," RBA Annual Conference Volume, Reserve Bank of Australia, in: Philip Lowe (ed.), Monetary Policy and Inflation Targeting Reserve Bank of Australia.
  130. Bredin, Don, 2001. "Alternative Tests of the Expectations Hypothesis of the Term Structure of Interest Rates," Research Technical Papers 2/RT/01, Central Bank of Ireland.
  131. Ahrens, Ralf, 1999. "Improving market-based forecasts of short-term interest rates: Time-varying stationarity and the predictive content of switching regime-expectations," CFS Working Paper Series 1999/14, Center for Financial Studies (CFS).
  132. Toni Gravelle & James Morley, 2005. "A Kalman filter approach to characterizing the Canadian term structure of interest rates," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 15(10), pages 691-705.
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