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Citations for "Macro factors and the term structure of interest rates"

by Dewachter, Hans & Lyrio, Marco

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  1. Geert Bekaert & Seonghoon Cho & Antonio Moreno, 2005. "New-Keynesian Macroeconomics and the Term Structure," NBER Working Papers 11340, National Bureau of Economic Research, Inc.
  2. Jakas, Vicente, 2011. "Theory and empirics of an affine term structure model applied to European data," MPRA Paper 36029, University Library of Munich, Germany.
  3. Suzan Hol, 2006. "Determinants of long-term interest rates in the Scandinavian countries," Discussion Papers 469, Research Department of Statistics Norway.
  4. J. Beirlant & G. Claeskens & C. Croux & H. Degryse & H. Dewachter & G. Dhaene & J. Dhaene & I. Gijbels & M. Goovaerts & M. Hubert & F. Roodhooft & W. Schouten & M. Willekens, 2005. "Managing Uncertainty: Financial, Actuarial and Statistical Modeling," Review of Business and Economics, Katholieke Universiteit Leuven, Faculteit Economie en Bedrijfswetenschappen, vol. 0(1), pages 23-48.
  5. Konstantijn Maes, 2004. "Modeling the Term Structure of Interest Rates: Where Do We Stand?," Working Paper Research 42, National Bank of Belgium.
  6. Michael R. Pakko & William T. Gavin & Finn E. Kydland, 2004. "Monetary Policy, Taxes, and the Business Cycle," Computing in Economics and Finance 2004 32, Society for Computational Economics.
  7. Sharon Kozicki & P.A. Tinsley, 2003. "Permanent and Transitory Policy Shocks in an Empirical Macro Model with Asymmetric Information," CFS Working Paper Series 2003/41, Center for Financial Studies.
  8. María-Dolores, Ramón & Vázquez Pérez, Jesús, 2007. "Term Structure and the Estimated Monetary Policy Rule in the Eurozone," DFAEII Working Papers 2008-05, University of the Basque Country - Department of Foundations of Economic Analysis II.
  9. Frank A.G. den Butter & Pieter W. Jansen, 2008. "Beating the Random Walk: a Performance Assessment of Long-term Interest Rate Forecasts," Tinbergen Institute Discussion Papers 08-102/3, Tinbergen Institute.
  10. Matteo Modena, 2008. "An Empirical Analysis of the Curvature Factor of the Term Structure of Interest Rates," Working Papers 2008_35, Business School - Economics, University of Glasgow.
  11. Hans Dewachter, 2008. "Imperfect information, macroeconomic dynamics and the yield curve : an encompassing macro-finance model," Working Paper Research 144, National Bank of Belgium.
  12. 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.
  13. Yu-chin Chen & Kwok Ping Tsang, 2009. "A Macro-Finance Approach to Exchange Rate Determination," Working Papers UWEC-2009-24-R, University of Washington, Department of Economics, revised May 2010.
  14. Glenn D. Rudebusch & Eric T. Swanson, 2008. "Examining the bond premium puzzle with a DSGE model," Working Paper Series 2007-25, Federal Reserve Bank of San Francisco.
  15. Peter Vlaar, 2007. "Term Structure Modeling for Pension Funds:What to do in Practice?," DNB Working Papers 123, Netherlands Central Bank, Research Department.
  16. Glenn D. Rudebusch & Tao Wu, 2003. "A macro-finance model of the term structure, monetary policy, and the economy," Working Papers in Applied Economic Theory 2003-17, Federal Reserve Bank of San Francisco.
  17. Marco Lyrio & Hans Dewachter & Konstantijn Maes, 2006. "A joint model for the term structure of interest rates and the macroeconomy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 439-462.
  18. Francis X. Diebold, & Glenn D. Rudebusch & S. Boragan Aruoba, 2003. "The Macroeconomy and the Yield Curve: A Nonstructural Analysis," CFS Working Paper Series 2003/31, Center for Financial Studies.
  19. Harm Bandholz & Jorg Clostermann & Franz Seitz, 2009. "Explaining the US bond yield conundrum," Applied Financial Economics, Taylor and Francis Journals, vol. 19(7), pages 539-550.
  20. Andrew Ang & Sen Dong & Monika Piazzesi, 2007. "No-Arbitrage Taylor Rules," NBER Working Papers 13448, National Bureau of Economic Research, Inc.
  21. 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.
  22. 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 581, Econometric Society.
  23. Di Maggio, Marco, 2010. "The Political Economy of the Yield Curve," MPRA Paper 20697, University Library of Munich, Germany.
  24. 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.
  25. Peter Hordahl & Oreste Tristani & David Vestin, 2004. "A joint econometric model of macroeconomic and term structure dynamics," Money Macro and Finance (MMF) Research Group Conference 2003 48, Money Macro and Finance Research Group.
  26. Peter Hördahl & Oreste Tristani & David Vestin, 2006. "The term structure of inflation risk premia and macroeconomic dynamics," Computing in Economics and Finance 2006 203, Society for Computational Economics.
  27. Dewachter, Hans & Iania, Leonardo & Lyrio, Marco, 2011. "A New-Keynesian Model of the Yield Curve with Learning Dynamics: A Bayesian Evaluation," Ibmec Working Papers wpe_250, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  28. Ricardo Gimeno & José Manuel Marqués, 2009. "Extraction of financial market expectations about inflation and interest rates from a liquid market," Banco de España Working Papers 0906, Banco de España.
  29. Peter N. Ireland, 2007. "Changes in the Federal Reserve's Inflation Target: Causes and Consequences," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(8), pages 1851-1882, December.
  30. Tao Wu & Glenn Rudebusch, 2005. "The Recent Shift in Term Structure Behavior from a No-Arbitrage Macro-Finance Perspective," Computing in Economics and Finance 2005 3, Society for Computational Economics.
  31. 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 188, Society for Computational Economics.
  32. Peter Hördahl & Oreste Tristani, 2012. "Inflation Risk Premia In The Term Structure Of Interest Rates," Journal of the European Economic Association, European Economic Association, vol. 10(3), pages 634-657, 05.
  33. Giese, Julia V., 2008. "Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 2(28), pages 1-20.
  34. Juan Angel García & Thomas Werner, 2010. "Inflation risks and inflation risk premia," Working Paper Series 1162, European Central Bank.
  35. Kozicki, Sharon & Tinsley, P.A., 2008. "Term structure transmission of monetary policy," The North American Journal of Economics and Finance, Elsevier, vol. 19(1), pages 71-92, March.
  36. Dewachter, Hans & Iania, Leonardo, 2011. "An Extended Macro-Finance Model with Financial Factors," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(06), pages 1893-1916, December.
  37. Andreas Reschreiter, 2011. "Real and nominal UK interest rates, ERM membership, and inflation targeting," Empirical Economics, Springer, vol. 40(3), pages 559-579, May.
  38. Huse, Cristian, 2011. "Term structure modelling with observable state variables," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3240-3252.
  39. Emanuel Mönch, 2005. "Forecasting the yield curve in a data-rich environment - a no-arbitrage factor-augmented VAR approach," Working Paper Series 544, European Central Bank.
  40. Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working papers 234, Banque de France.
  41. Maurizio Luisi & Jeffery D. Amato, 2006. "Macro factors in the term structure of credit spreads," BIS Working Papers 203, Bank for International Settlements.
  42. Glenn D. Rudebusch & Eric T. Swanson & Tao Wu, 2006. "The bond yield "conundrum" from a macro-finance perspective," Working Paper Series 2006-16, Federal Reserve Bank of San Francisco.
  43. Márcio Laurini & João Frois Caldeira, 2012. "Some Comments on a Macro-Finance Model with Stochastic Volatility," IBMEC RJ Economics Discussion Papers 2012-04, Economics Research Group, IBMEC Business School - Rio de Janeiro.
  44. Peter Hördahl & Oreste Tristani, 2007. "Mortage interest rate dispersion in the euro area," Working Paper Series 734, European Central Bank.
  45. Lemke, Wolfgang, 2008. "An affine macro-finance term structure model for the euro area," The North American Journal of Economics and Finance, Elsevier, vol. 19(1), pages 41-69, March.
  46. 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.
  47. Petra Gerlach-Kristen & Barbara Rudolf, 2010. "Macroeconomic and interest rate volatility under alternative monetary operating procedures," BIS Working Papers 319, Bank for International Settlements.
  48. Polito, Vito & Spencer, Peter, 2011. "UK Macroeconomic Volatility and the Welfare Costs of Inflation," Cardiff Economics Working Papers E2011/23, Cardiff University, Cardiff Business School, Economics Section.
  49. Mathias Drehmann & Steffen Sorensen & Marco Stringa, 2007. "Integrating credit and interest rate risk: A theoretical framework and an application to banks' balance sheets," Money Macro and Finance (MMF) Research Group Conference 2006 151, Money Macro and Finance Research Group.
  50. Michiel D. de Pooter & Francesco Ravazzolo & Dick van Dijk, 2007. "Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information," Tinbergen Institute Discussion Papers 07-028/4, Tinbergen Institute.
  51. Joshua V. Rosenberg & Samuel Maurer, 2008. "Signal or noise? Implications of the term premium for recession forecasting," Economic Policy Review, Federal Reserve Bank of New York, issue Jul, pages 1-11.
  52. 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.
  53. James H. Stock & Mark W. Watson, 2008. "Phillips Curve Inflation Forecasts," NBER Working Papers 14322, National Bureau of Economic Research, Inc.
  54. Bank for International Settlements, 2007. "Understanding asset prices: an overview," BIS Papers, Bank for International Settlements, number 34, March.
  55. 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), vol. 40(1), pages 3-12.
  56. Francesco Audrino & Kameliya Filipova, 2009. "Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach," University of St. Gallen Department of Economics working paper series 2009 2009-10, Department of Economics, University of St. Gallen.
  57. Carlo A. Favero & Arie E. Gozluklu & Haoxi Yang, 2011. "Demographics and The Behaviour of Interest Rates," Working Papers 388, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  58. Wolfgang Lemke & Thomas Werner, 2009. "The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics," Working Paper Series 1045, European Central Bank.
  59. J.Marcelo Ochoa, 2006. "An interpretation of an affine term structure model of Chile," Estudios de Economia, University of Chile, Department of Economics, vol. 33(2 Year 20), pages 155-184, December.
  60. M. Falagiarda & M. Marzo, 2012. "A DSGE model with Endogenous Term Structure," Working Papers wp830, Dipartimento Scienze Economiche, Universita' di Bologna.
  61. Michiel D. de Pooter & Francesco Ravazzolo & Dick van Dijk, 2007. "Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information," Tinbergen Institute Discussion Papers 07-028/4, Tinbergen Institute.
  62. Wu, Tao, 2006. "Macro Factors and the Affine Term Structure of Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(7), pages 1847-1875, October.
  63. Peter Spencer & Zhuoshi Liu, . "An Open-Economy Macro-Finance Model of Internatinal Interdependence: The OECD, US and the UK," Discussion Papers 09/16, Department of Economics, University of York.
  64. Marcelo Ochoa, 2006. "Interpreting an Affine Term Structure Model for Chile," Working Papers Central Bank of Chile 380, Central Bank of Chile.
  65. Yu, Wei-Choun & Zivot, Eric, 2011. "Forecasting the term structures of Treasury and corporate yields using dynamic Nelson-Siegel models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 579-591, April.
  66. Leo Krippner, 2003. "Modelling the Yield Curve with Orthonomalised Laguerre Polynomials: An Intertemporally Consistent Approach with an Economic Interpretation," Working Papers in Economics 03/01, University of Waikato, Department of Economics.
  67. Dewachter, Hans & Iania, Leonardo & Lyrio, Marco, 2011. "Information in the Yield Curve: A Macro-Finance Approach," Ibmec Working Papers wpe_230, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  68. Halberstadt, Arne & Stapf, Jelena, 2012. "An affine multifactor model with macro factors for the German term structure: Changing results during the recent crises," Discussion Papers 25/2012, Deutsche Bundesbank, Research Centre.
  69. Peter Spencer, 2004. "Affine Macroeconomic Models of the Term Structure of Interest Rates: The US Treasury Market 1961-99," Discussion Papers 04/16, Department of Economics, University of York, revised Jan 2006.
  70. 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 05/02, University of Waikato, Department of Economics.
  71. Peter Spencer, 2007. "Macro volatility in a model of the UK Gilt edged bond market," Money Macro and Finance (MMF) Research Group Conference 2006 73, Money Macro and Finance Research Group.
  72. Greg Duffee, 2005. "Term structure estimation without using latent factors," Computing in Economics and Finance 2005 103, Society for Computational Economics.
  73. Fousseni Chabi-Yo & Jun Yang, 2007. "A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate," Working Papers 07-21, Bank of Canada.
  74. Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2006. "A multi-factor model for the valuation and risk managment of demand deposits," Working Paper Research 83, National Bank of Belgium.
  75. ZHU Xiaoneng & Shahidur RAHMAN, 2009. "A Regime Switching Macro-finance Model of the Term Structure," Economic Growth centre Working Paper Series 0901, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre.
  76. Martin Møller Andreasen, 2008. "Explaining Macroeconomic and Term Structure Dynamics Jointly in a Non-linear DSGE Model," CREATES Research Papers 2008-43, School of Economics and Management, University of Aarhus.