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Reverse Engineering the Yield Curve
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Cited by:
- Hanno Lustig & Stijn Van Nieuwerburgh, 2004. "A Theory of Housing Collateral, Consumption Insurance and Risk Premia," NBER Working Papers 10955, National Bureau of Economic Research, Inc.
- Gong, Fangxiong & Remolona, Eli M, 1997.
"Two Factors along the Yield Curve,"
The Manchester School of Economic & Social Studies, University of Manchester, vol. 65(0), pages 1-31, Supplemen.
- Frank F. Gong & Eli M. Remolona, 1996. "Two factors along the yield curve," Research Paper 9613, Federal Reserve Bank of New York.
- Bekaert, Geert & Hodrick, Robert J. & Marshall, David A., 2001.
"Peso problem explanations for term structure anomalies,"
Journal of Monetary Economics, Elsevier, vol. 48(2), pages 241-270, October.
- 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.
- Geert Bekaert & Robert J. Hodrick & David A. Marshall, 1997. "\"Peso problem\" explanations for term structure anomalies," Working Paper Series, Issues in Financial Regulation WP-97-07, Federal Reserve Bank of Chicago.
- Edmond, Chris & Weill, Pierre-Olivier, 2012.
"Aggregate implications of micro asset market segmentation,"
Journal of Monetary Economics, Elsevier, vol. 59(4), pages 319-335.
- Pierre-Olivier Weill & Chris Edmond, 2008. "Aggregate implications of micro asset market segmentation," 2008 Meeting Papers 481, Society for Economic Dynamics.
- Chris Edmond & Pierre-Olivier Weill, 2011. "Aggregate Implications of Micro Asset Market Segmentation," Department of Economics - Working Papers Series 1117, The University of Melbourne.
- Chris Edmond & Pierre-Olivier Weill, 2009. "Aggregate Implications of Micro Asset Market Segmentation," NBER Working Papers 15254, National Bureau of Economic Research, Inc.
- Ben R. Craig & Joseph G. Haubrich, 2003. "Pricing kernels, inflation, and the term structure of interest rates," Working Papers (Old Series) 0308, Federal Reserve Bank of Cleveland.
- John Y. Campbell & Robert J. Shiller & Luis M. Viceira, 2009.
"Understanding Inflation-Indexed Bond Markets,"
Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 40(1 (Spring), pages 79-138.
- John Y. Campbell & Robert J. Shiller & Luis M. Viceira, 2009. "Understanding Inflation-Indexed Bond Markets," Cowles Foundation Discussion Papers 1696, Cowles Foundation for Research in Economics, Yale University.
- Shiller, Robert J. & Campbell, John Y. & Viceira, Luis Manuel, 2009. "Understanding Inflation-Indexed Bond Markets," Scholarly Articles 10885503, Harvard University Department of Economics.
- John Campbell & Robert Shiller & Luis Viceira, 2009. "Understanding Inflation-Indexed Bond Markets," Yale School of Management Working Papers amz2587, Yale School of Management.
- John Y. Campbell & Robert J. Shiller & Luis M. Viceira, 2009. "Understanding Inflation-Indexed Bond Markets," NBER Working Papers 15014, National Bureau of Economic Research, Inc.
- Fornari, F. & Violi, R., 1998.
"The Probability Density Function of Interest Rates Implied in the Price of Options,"
Papers
339, Banca Italia - Servizio di Studi.
- Fabio Fornari & Roberto Violi, 1998. "The Probability Density Function of Interest Rates Implied in the Price of Options," Temi di discussione (Economic working papers) 339, Bank of Italy, Economic Research and International Relations Area.
- Chunsheng Zhou, "undated".
"Stock Market Fluctuations and the Term Structure,"
Finance and Economics Discussion Series
1996-03, Board of Governors of the Federal Reserve System (U.S.), revised 04 Dec 2019.
- Chunsheng Zhou, 1996. "Stock market fluctuations and the term structure," Finance and Economics Discussion Series 96-3, Board of Governors of the Federal Reserve System (U.S.).
- Greg Duffee, 2011. "Forecasting with the term structure: The role of no-arbitrage restrictions," Economics Working Paper Archive 576, The Johns Hopkins University,Department of Economics.
- Lars Peter Hansen & José A. Scheinkman, 2009.
"Long-Term Risk: An Operator Approach,"
Econometrica, Econometric Society, vol. 77(1), pages 177-234, January.
- Lars Peter Hansen & Jose Scheinkman, 2006. "Long Term Risk: An Operator Approach," NBER Working Papers 12650, National Bureau of Economic Research, Inc.
- Lars Peter Hansen & Jose A Sheinkman, 2007. "Long-term Risk: An Operator Approach," Levine's Bibliography 122247000000001669, UCLA Department of Economics.
- Georg Kaltenbrunner & Lars Lochstoer, 2007. "Long-Run Risk through Consumption Smoothing," 2007 Meeting Papers 25, Society for Economic Dynamics.
- Luca Benati, 2006. "Affine term structure models for the foreign exchange risk premium," Bank of England working papers 291, Bank of England.
- Qiang Dai & Kenneth Singleton, 2003. "Term Structure Dynamics in Theory and Reality," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 631-678, July.
- Driessen, Joost & Melenberg, Bertrand & Nijman, Theo, 2005.
"Testing affine term structure models in case of transaction costs,"
Journal of Econometrics, Elsevier, vol. 126(1), pages 201-232, May.
- Driessen, J.J.A.G. & Melenberg, B. & Nijman, T.E., 1999. "Testing Affine Term Structure Models in Case of Transaction Costs," Discussion Paper 1999-84, Tilburg University, Center for Economic Research.
- Joost Driessen & Bertrand Melenberg & Theo Nijman, 2000. "Testing Affine Term Structure Models in Case of Transaction Costs," Econometric Society World Congress 2000 Contributed Papers 0553, Econometric Society.
- Alex Hsu & Erica X. N. Li & Francisco Palomino, 2021. "Real and Nominal Equilibrium Yield Curves," Management Science, INFORMS, vol. 67(2), pages 1138-1158, February.
- Riccardo Colacito & Mariano M. Croce, 2011.
"Risks for the Long Run and the Real Exchange Rate,"
Journal of Political Economy, University of Chicago Press, vol. 119(1), pages 153-181.
- Riccardo Colacito & Mariano Croce, 2005. "Risks For The Long Run And The Real Exchange Rate," 2005 Meeting Papers 794, Society for Economic Dynamics.
- Duan, Jin-Chuan & Jacobs, Kris, 2008. "Is long memory necessary? An empirical investigation of nonnegative interest rate processes," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 567-581, June.
- Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 1999.
"Money and Interest Rates with Endogeneously Segmented Markets,"
NBER Working Papers
7060, National Bureau of Economic Research, Inc.
- Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 1999. "Money and interest rates with endogeneously segmented markets," Staff Report 260, Federal Reserve Bank of Minneapolis.
- Michael J. Fleming & Eli M. Remolona, 1999.
"The term structure of announcement effects,"
Staff Reports
76, Federal Reserve Bank of New York.
- Michael J. Fleming & Eli M Remolona, 1999. "The term structure of announcement effects," BIS Working Papers 71, Bank for International Settlements.
- Gonzalez-Astudillo, Manuel, 2009. "An Equilibrium Model of the Term Structure of Interest Rates: Recursive Preferences at Play," MPRA Paper 19153, University Library of Munich, Germany.
- Howard Kung & Gonzalo Morales & Alexandre Corhay, 2017. "Fiscal Discount Rates and Debt Maturity," 2017 Meeting Papers 840, Society for Economic Dynamics.
- Duffee, Gregory, 2013.
"Forecasting Interest Rates,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 385-426,
Elsevier.
- Gregory R. Duffee, 2012. "Forecasting interest rates," Economics Working Paper Archive 599, The Johns Hopkins University,Department of Economics.
- David Backus & Silverio Foresi & Chris I. Telmer, 1996.
"Affine Models of Currency Pricing,"
NBER Working Papers
5623, National Bureau of Economic Research, Inc.
- David Backus & Silverio Foresi & Chris Telmer, 1996. "Affine Models of Currency Pricing," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-9, New York University, Leonard N. Stern School of Business-.
- David Backus & Mikhail Chernov & Stanley Zin, 2014.
"Sources of Entropy in Representative Agent Models,"
Journal of Finance, American Finance Association, vol. 69(1), pages 51-99, February.
- David Backus & Mikhail Chernov & Stanley Zin, 2011. "Sources of Entropy in Representative Agent Models," Working Papers 11-21, New York University, Leonard N. Stern School of Business, Department of Economics.
- Backus, David & Zin, Stanley E. & Chernov, Mikhail, 2011. "Sources of entropy in representative agent models," CEPR Discussion Papers 8488, C.E.P.R. Discussion Papers.
- David Backus & Mikhail Chernov & Stanley E. Zin, 2011. "Sources of Entropy in Representative Agent Models," NBER Working Papers 17219, National Bureau of Economic Research, Inc.
- 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, vol. 89(Jul), pages 305-326.
- Michael F. Gallmeyer & Burton Hollifield & Francisco Palomino & Stanley E. Zin, 2007. "Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models," NBER Working Papers 13245, National Bureau of Economic Research, Inc.
- Joseph Dziwura & Irene Pedraza & Eli M. Remolona, 1995. "The short end of the forward convergence curve and asymmetric cat's tail convergence," Research Paper 9523, Federal Reserve Bank of New York.
- R.C. Stapleton & Marti G. Subrahmanyam, 1999. "The Term Structure of Interest Rate-Futures Prices," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-045, New York University, Leonard N. Stern School of Business-.
- Refet S. Gürkaynak & Jonathan H. Wright, 2012.
"Macroeconomics and the Term Structure,"
Journal of Economic Literature, American Economic Association, vol. 50(2), pages 331-367, June.
- Wright, Jonathan & Gürkaynak, Refet, 2010. "Macroeconomics and the Term Structure," CEPR Discussion Papers 8018, C.E.P.R. Discussion Papers.
- Jin-Chuan Duan & Kris Jacobs, 2001. "Short and Long Memory in Equilibrium Interest Rate Dynamics," CIRANO Working Papers 2001s-22, CIRANO.
- Mark Fisher, 1999.
"Consumption and asset prices with recursive preferences: Continuous-time approximations to discrete-time models,"
FRB Atlanta Working Paper
99-18, Federal Reserve Bank of Atlanta.
- Mark Fisher, 1999. "Consumption and Asset Prices with Recursive Preferences: Continuous-Time Approximations to Discrete-Time Models," Computing in Economics and Finance 1999 934, Society for Computational Economics.
- John Y. Campbell & Robert J. Shiller & Luis M. Viceira, 2009.
"Understanding Inflation-Indexed Bond Markets,"
Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 40(1 (Spring), pages 79-138.
- John Y. Campbell & Robert J. Shiller & Luis M. Viceira, 2009. "Understanding Inflation-Indexed Bond Markets," Cowles Foundation Discussion Papers 1696, Cowles Foundation for Research in Economics, Yale University.
- John Campbell & Robert Shiller & Luis Viceira, 2009. "Understanding Inflation-Indexed Bond Markets," Yale School of Management Working Papers amz2587, Yale School of Management.
- Shiller, Robert J. & Campbell, John Y. & Viceira, Luis Manuel, 2009. "Understanding Inflation-Indexed Bond Markets," Scholarly Articles 10885503, Harvard University Department of Economics.
- John Y. Campbell & Robert J. Shiller & Luis M. Viceira, 2009. "Understanding Inflation-Indexed Bond Markets," NBER Working Papers 15014, National Bureau of Economic Research, Inc.
- Qiang Dai & Kenneth J. Singleton, 2000.
"Specification Analysis of Affine Term Structure Models,"
Journal of Finance, American Finance Association, vol. 55(5), pages 1943-1978, October.
- Qiang Dai & Kenneth J. Singleton, 1997. "Specification Analysis of Affine Term Structure Models," NBER Working Papers 6128, National Bureau of Economic Research, Inc.
- Qiang Dai & Kenneth J. Singleton, 1998. "Specification Analysis of Affine Term Structure Models," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-083, New York University, Leonard N. Stern School of Business-.
- Ravi Bansal & Hao Zhou, 2002. "Term Structure of Interest Rates with Regime Shifts," Journal of Finance, American Finance Association, vol. 57(5), pages 1997-2043, October.
- Lars Lochstoer & Harjoat S. Bhamra, 2009. "Return Predictability and Labor Market Frictions in a Real Business Cycle Model," 2009 Meeting Papers 1257, Society for Economic Dynamics.
- Michael Gallmeyer & Burton Hollifield & Francisco Palomino & Stanley Zin, 2017. "Term Premium Dynamics and the Taylor Rule," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 7(04), pages 1-39, December.
- John Donaldson & Rajnish Mehra, 2007. "Risk Based Explanations of the Equity Premium," NBER Working Papers 13220, National Bureau of Economic Research, Inc.
- Kozicki, Sharon & Tinsley, P. A., 2001.
"Shifting endpoints in the term structure of interest rates,"
Journal of Monetary Economics, Elsevier, vol. 47(3), pages 613-652, June.
- Sharon Kozicki & Peter A. Tinsley, 1997. "Shifting endpoints in the term structure of interest rates," Research Working Paper 97-08, Federal Reserve Bank of Kansas City.
- Carlos E. Zarazaga, 2010. "The difficult art of eliciting long-run inflation expectations from government bond prices," Staff Papers, Federal Reserve Bank of Dallas, issue Mar.
- Duffee, Gregory R., 2013.
"Bond Pricing and the Macroeconomy,"
Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 907-967,
Elsevier.
- Gregory R. Duffee, 2012. "Bond pricing and the macroeconomy," Economics Working Paper Archive 598, The Johns Hopkins University,Department of Economics.
- Ben Fung & Scott Mitnick & Eli Remolona, 1999. "Uncovering Inflation Expectations and Risk Premiums From Internationally Integrated Financial Markets," Staff Working Papers 99-6, Bank of Canada.
- Hanno Lustig, 2004. "Can Housing Collateral Explain Long-Run Swings in Asset Returns? (joint with Stijn Van Nieuwerburgh)," UCLA Economics Online Papers 322, UCLA Department of Economics.
- Arne Andresen & Fred Espen Benth & Steen Koekebakker & Valeriy Zakamulin, 2014. "The Carma Interest Rate Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(02), pages 1-27.