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Citations for "The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure"

by Shiller, Robert J

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  1. David K. Backus & Jonathan H. Wright, 2007. "Cracking the Conundrum," NBER Working Papers 13419, National Bureau of Economic Research, Inc.
  2. Riad Dahel, . "Volatility in Arab Stock Market," API-Working Paper Series 9905, Arab Planning Institute - Kuwait, Information Center.
  3. Koijen, Ralph S.J. & Hemert, Otto Van & Nieuwerburgh, Stijn Van, 2009. "Mortgage timing," Journal of Financial Economics, Elsevier, vol. 93(2), pages 292-324, August.
  4. Enzo Weber, 2006. "British Interest Rate Convergence Between The Us And Europe: A Recursive Cointegration Analysis," The IUP Journal of Monetary Economics, IUP Publications, vol. 0(4), pages 29-47, November.
  5. John Y. Campbell & Robert J. Shiller, 1983. "A Simple Account of the Behavior of Long-Term Interest Rates," NBER Working Papers 1203, National Bureau of Economic Research, Inc.
  6. Godbout, Lise & Storer, Paul & Zimmermann, Christian, 2002. "The Canadian treasury bill auction and the term structure of interest rates," Journal of Banking & Finance, Elsevier, vol. 26(6), pages 1165-1179, June.
  7. Marston, Richard C., 1997. "Tests of three parity conditions: Distinguishing risk premia and systematic forecast errors," Journal of International Money and Finance, Elsevier, vol. 16(2), pages 285-303, April.
  8. Richard C. Marston, 1994. "Tests of Three Parity Conditions: Distinguishing Risk Premia and Systematic Forecast Errors," NBER Working Papers 4923, National Bureau of Economic Research, Inc.
  9. Gianna Boero & Costanza Torricelli, 2002. "The information in the term structure of German interest rates," The European Journal of Finance, Taylor & Francis Journals, vol. 8(1), pages 21-45.
  10. Gerlach, Stefan, 1995. "The Information Content of the Term Structure: Evidence for Germany," CEPR Discussion Papers 1264, C.E.P.R. Discussion Papers.
  11. Eric Jondeau & Franck Sédillot, 1999. "Forecasting French and German long-term rates using a rational expectations model," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 135(3), pages 413-436, September.
  12. Lars Peter Hansen & Thomas J. Sargent, 1981. "Exact linear rational expectations models: specification and estimation," Staff Report 71, Federal Reserve Bank of Minneapolis.
  13. Toni Gravelle & James Morley, 2005. "A Kalman filter approach to characterizing the Canadian term structure of interest rates," Applied Financial Economics, Taylor & Francis Journals, vol. 15(10), pages 691-705.
  14. Yvon Fauvel & Alain Paquet & Christian Zimmermann, 1999. "A Survey on Interest Rate Forecasting," Cahiers de recherche CREFE / CREFE Working Papers 87, CREFE, Université du Québec à Montréal.
  15. Athanasios Orphanides & John C. Williams, 2003. "Inflation scares and forecast-based monetary policy," Finance and Economics Discussion Series 2003-41, Board of Governors of the Federal Reserve System (U.S.).
  16. Pfann, Gerard A. & Schotman, Peter C. & Tschernig, Rolf, 1996. "Nonlinear interest rate dynamics and implications for the term structure," Journal of Econometrics, Elsevier, vol. 74(1), pages 149-176, September.
  17. Tabellini, Guido, 1987. "Secrecy of Monetary Policy and the Variability of Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 19(4), pages 425-36, November.
  18. RUGE-MURCIA, Francisco J., 1998. "Uncovering Financial Markets Beliefs About Inflation Targets," Cahiers de recherche 9803, Universite de Montreal, Departement de sciences economiques.
  19. Stephen A. Buser & G. Andrew Karolyi & Anthony B. Sanders, . "Adjusted Forward Rates as Predictors of Future Spot Rates," Research in Financial Economics 9605, Ohio State University.
  20. Cuthbertson, Keith & Hayes, Simon & Nitzsche, Dirk, 2000. "Are German money market rates well behaved?," Journal of Economic Dynamics and Control, Elsevier, vol. 24(3), pages 347-360, March.
  21. N. Gregory Mankiw & Jeffrey A. Miron, 1985. "The Changing Behavior of the Term Structure of Interest Rates," NBER Working Papers 1669, National Bureau of Economic Research, Inc.
  22. Mirko Abbritti & Luis Gil-Alana & Yuliya Lovcha & Antonio Moreno, 2012. "Term Structure Persistence," Faculty Working Papers 26/12, School of Economics and Business Administration, University of Navarra.
  23. Denis Larocque & Michel Normandin, 2004. "Econometric Inference, Cyclical Fluctuations, and Superior Information," Cahiers de recherche 0434, CIRPEE.
  24. Richard C. Marston, 1987. "Exchange Rate Policy Reconsidered," NBER Working Papers 2310, National Bureau of Economic Research, Inc.
  25. Clouse James & Henderson Dale & Orphanides Athanasios & Small David H. & Tinsley P.A., 2003. "Monetary Policy When the Nominal Short-Term Interest Rate is Zero," The B.E. Journal of Macroeconomics, De Gruyter, vol. 3(1), pages 1-65, September.
  26. Ederington, Louis H. & Huang, Chao-Hsi, 1995. "Parameter uncertainty and the rational expectations model of the term structure," Journal of Banking & Finance, Elsevier, vol. 19(2), pages 207-223, May.
  27. Willem H. Buiter, 2003. "James Tobin : an appreciation of his contribution to economics," LSE Research Online Documents on Economics 847, London School of Economics and Political Science, LSE Library.
  28. Bomfim, Antulio N & Rudebusch, Glenn D, 2000. "Opportunistic and Deliberate Disinflation under Imperfect Credibility," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 32(4), pages 707-21, November.
  29. Kenneth J. Singleton, 1986. "Asset Prices in a Time Series Model with Disparately Informed, Competative Traders," NBER Working Papers 1897, National Bureau of Economic Research, Inc.
  30. Bruno Feunou & Jean-Sébastien Fontaine, 2014. "Bond Risk Premia and Gaussian Term Structure Models," Working Papers 14-13, Bank of Canada.
  31. Athanasios Orphanides & John C. Williams, 2006. "Inflation targeting under imperfect knowledge," Finance and Economics Discussion Series 2006-20, Board of Governors of the Federal Reserve System (U.S.).
  32. Kozicki, Sharon & Tinsley, P. A., 2001. "Term structure views of monetary policy under alternative models of agent expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 25(1-2), pages 149-184, January.
  33. Schotman, Peter C., 2001. "When units roots matter: excess volatility and excess smoothness of long-term interest rates," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 669-694, December.
  34. Bruno Ducoudré, 2006. "Politique monetaire, inertie des taux longs Americains et choix de portefeuille," Documents de Travail de l'OFCE 2006-09, Observatoire Francais des Conjonctures Economiques (OFCE).
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  36. Sharon Kozicki & P.A.Tinsley, 2001. "What do you expect? : imperfect policy credibility and tests of the expectations hypothesis?," Research Working Paper RWP 01-02, Federal Reserve Bank of Kansas City.
  37. John Y. Campbell & Robert J. Shiller, 1986. "Cointegration and Tests of Present Value Models," NBER Working Papers 1885, National Bureau of Economic Research, Inc.
  38. Sharon Kozicki & Peter A. Tinsley, . "Moving Endpoints in Macrofinance," Computing in Economics and Finance 1996 _058, Society for Computational Economics.
  39. repec:spo:wpecon:info:hdl:2441/2g7mhju69b94obeaqlen09s1au is not listed on IDEAS
  40. Ross Guest & Alan McLean, 1998. "New evidence on the expectations theory of the term structure of Australian Commonwealth Government Treasury yields," Applied Financial Economics, Taylor & Francis Journals, vol. 8(1), pages 81-87.
  41. Sonali Das & Rangan Gupta & Patrick Kanda & Monique Reid & Christian Tipoy & Mulatu Zerihun, 2014. "Real interest rate persistence in South Africa: evidence and implications," Economic Change and Restructuring, Springer, vol. 47(1), pages 41-62, February.
  42. Roberto A. De Santis & Carlo A. Favero & Barbara Roffia, 2012. "Euro Area Money Demand and International Portfolio Allocation: A Contribution to Assessing Risks to Price Stability," Working Papers 432, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  43. Sharon Kozicki & P.A. Tinsley, 1997. "Moving endpoints and the internal consistency of agents' ex ante forecasts," Research Working Paper 97-01, Federal Reserve Bank of Kansas City.
  44. Tim BOLLERSLEV & Ray Y. CHOU & Narayanan JAYARAMAN & Kenneth F. KRONER, 1991. "Les modéles ARCH en finance : un point sur la théorie et les résultats empiriques," Annales d'Economie et de Statistique, ENSAE, issue 24, pages 1-59.
  45. Francis X. Diebold & Jose A. Lopez, 1995. "Forecast evaluation and combination," Research Paper 9525, Federal Reserve Bank of New York.
  46. David M. Cutler & James M. Poterba & Lawrence H. Summers, 1990. "Speculative Dynamics," NBER Working Papers 3242, National Bureau of Economic Research, Inc.
  47. Gregory Mankiw, N. & Shapiro, Matthew D., 1986. "Do we reject too often? : Small sample properties of tests of rational expectations models," Economics Letters, Elsevier, vol. 20(2), pages 139-145.
  48. Luis Gil-Alana & Antonio Moreno, . "Uncovering the U.S. Term Premium: An Alternative Route," Faculty Working Papers 12/07, School of Economics and Business Administration, University of Navarra.
  49. Alexius, Annika & Welz, Peter, 2006. "Can a time-varying equilibrium real interest rate explain the excess sensitivity puzzle?," Working Paper Series 2006:20, Uppsala University, Department of Economics.
  50. Seppala, Juha, 2004. "The term structure of real interest rates: theory and evidence from UK index-linked bonds," Journal of Monetary Economics, Elsevier, vol. 51(7), pages 1509-1549, October.
  51. Mayfield, E. Scott & Murphy, Robert G., 1996. "Explaining the term structure of interest rates: A panel data approach," Journal of Economics and Business, Elsevier, vol. 48(1), pages 11-21, February.
  52. Wei Xiong & Hongjun Yan & Review Financial, 2007. "Heterogeneous Expectations and Bond Markets," Yale School of Management Working Papers amz2614, Yale School of Management, revised 01 Jun 2009.
  53. Antoine Bouveret, 2010. "Politiques économiques, dynamique et équilibre de long terme du taux de change," Sciences Po publications info:hdl:2441/53r60a8s3ku, Sciences Po.
  54. Marian Berneburg, 2006. "Excess Volatility in European Equity Style Indices - New Evidence," IWH Discussion Papers 16, Halle Institute for Economic Research.
  55. Anonymous, 1993. "Expectations and the term structure of interest rates," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 56, December.
  56. Steven N. Durlauf & Peter C.B. Phillips, 1986. "Trends Versus Random Walks in Time Series Analysis," Cowles Foundation Discussion Papers 788, Cowles Foundation for Research in Economics, Yale University.
  57. María-José Gutiérrez & Jesús Vázquez, 2001. "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 01-03, Asociación Española de Economía y Finanzas Internacionales.
  58. Frederik Lundtofte, 2013. "The quality of public information and the term structure of interest rates," Review of Quantitative Finance and Accounting, Springer, vol. 40(4), pages 715-740, May.
  59. Baker, Malcolm & Greenwood, Robin & Wurgler, Jeffrey, 2003. "The maturity of debt issues and predictable variation in bond returns," Journal of Financial Economics, Elsevier, vol. 70(2), pages 261-291, November.
  60. William Barnett & Unja Chae & John Keating, 2005. "Forecast Design in Monetary Capital Stock Measurement," Macroeconomics 0508022, EconWPA.
  61. Kenneth A. Froot, 1987. "New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates," NBER Working Papers 2363, National Bureau of Economic Research, Inc.
  62. David K. Backus & Stanley E. Zin, 1993. "Long-memory inflation uncertainty: evidence from the term structure of interest rates," Proceedings, Federal Reserve Bank of Cleveland, pages 681-708.
  63. 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 4301, C.E.P.R. Discussion Papers.
  64. 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 E2004/11, Centro de Estudios Andaluces.
  65. Chadha, Jagjit S. & Holly, Sean, 2010. "Macroeconomic models and the yield curve: An assessment of the fit," Journal of Economic Dynamics and Control, Elsevier, vol. 34(8), pages 1343-1358, August.
  66. 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, vol. 35(5), pages 1202-1212, May.
  67. Gary S. Shea, 1985. "Long memory models of interest rates, the term structure, and variance bounds tests," International Finance Discussion Papers 258, Board of Governors of the Federal Reserve System (U.S.).
  68. Urban Jermann, 2013. "A Production-Based Model for the Term Structure," NBER Working Papers 18774, National Bureau of Economic Research, Inc.
  69. Roger Hammersland, 2004. "Who was in the driving seat in Europe during the nineties, International financial markets or the BUBA?," Working Paper 2004/20, Norges Bank.
  70. John Y. Campbell & Luis M. Viceira, 2000. "Who Should Buy Long-Term Bonds?," Harvard Institute of Economic Research Working Papers 1895, Harvard - Institute of Economic Research.
  71. William D. Nordhaus & Steven N. Durlauf, 1982. "The Structure of Social Risk," Cowles Foundation Discussion Papers 648, Cowles Foundation for Research in Economics, Yale University.
  72. Mariano Kulish & Daniel Rees, 2008. "Monetary Transmission and the Yield Curve in a Small Open Economy," RBA Research Discussion Papers rdp2008-03, Reserve Bank of Australia.
  73. Robert J. Barro, 1981. "On the Predictability of Tax-Rate Changes," NBER Working Papers 0636, National Bureau of Economic Research, Inc.
  74. Bruce McGough & Glenn D. Rudebusch & John C. Williams, 2004. "Using a long-term interest rate as the monetary policy instrument," Working Paper Series 2004-22, Federal Reserve Bank of San Francisco.
  75. Refet S. Gürkaynak & Brian Sack & Eric Swanson, 2003. "The excess sensitivity of long-term interest rates: evidence and implications for macroeconomic models," Finance and Economics Discussion Series 2003-50, Board of Governors of the Federal Reserve System (U.S.).
  76. Shiller, Robert & Campbell, John, 1991. "Yield Spreads and Interest Rate Movements: A Bird's Eye View," Scholarly Articles 3221490, Harvard University Department of Economics.
  77. Benjamin M. Friedman & Kenneth N. Kuttner, 1988. "Time-Varying Risk Perceptions and the Pricing of Risky Assets," NBER Working Papers 2694, National Bureau of Economic Research, Inc.
  78. Guidolin, Massimo & Ravazzolo, Francesco & Tortora, Andrea Donato, 2013. "Alternative econometric implementations of multi-factor models of the U.S. financial markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(2), pages 87-111.
  79. Francesca Biagini & Alessandro Gnoatto & Maximilian H\"artel, 2013. "Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield," Papers 1311.0688, arXiv.org.
  80. James E. Pesando, 1980. "On Expectations, Term Premiums and the Volatility of Long-Term Interest Rates," NBER Working Papers 0595, National Bureau of Economic Research, Inc.
  81. Kenneth B. Dunn & Kenneth J. Singleton, 1984. "Modeling the Term Structure of Interest Rates Under Nonseparable Utilityand Duriability of Goods," NBER Working Papers 1415, National Bureau of Economic Research, Inc.
  82. Gürkaynak, Refet S. & Wright, Jonathan, 2010. "Macroeconomics and the Term Structure," CEPR Discussion Papers 8018, C.E.P.R. Discussion Papers.
  83. Alan B. Krueger & Kenneth N. Forston, 2003. "Do Markets Respond More to More Reliable Labor Market Data? A Test of Market Rationality," Working Papers 114, Princeton University, Department of Economics, Center for Economic Policy Studies..
  84. Stephen F. LeRoy, 1990. "Capital market efficiency: an update," Economic Review, Federal Reserve Bank of San Francisco, issue Spr, pages 29-40.
  85. Favero, Carlo A., 2006. "Taylor rules and the term structure," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1377-1393, October.
  86. Charles Freedman, 1981. "Some Theoretical Aspects of Base Control," NBER Working Papers 0650, National Bureau of Economic Research, Inc.
  87. Behzad T. Diba & Herschel I. Grossman, 1983. "Rational Asset Price Bubbles," NBER Working Papers 1059, National Bureau of Economic Research, Inc.
  88. Daniela Osterrieder & Peter C. Schotman, 2012. "The Volatility of Long-term Bond Returns: Persistent Interest Shocks and Time-varying Risk Premiums," CREATES Research Papers 2012-35, School of Economics and Management, University of Aarhus.
  89. Mauricio Larraín & Fernando Parro, 2006. "The Information Contained in Forward Rates Movements in Chile," Working Papers Central Bank of Chile 386, Central Bank of Chile.
  90. Melino, Angelo, 2001. "Estimation of a rational expectations model of the term structure," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 639-668, December.
  91. Cuthbertson, Keith & Nitzsche, Dirk, 2003. "Long rates, risk premia and the over-reaction hypothesis," Economic Modelling, Elsevier, vol. 20(2), pages 417-435, March.
  92. E Bataa & D R Osborn & D H Kim, 2006. "A Further Examination of the Expectations Hypothesis for the Term Structure," Centre for Growth and Business Cycle Research Discussion Paper Series 72, Economics, The Univeristy of Manchester.
  93. David S. Jones & V. Vance Roley, 1982. "Rational Expectations, the Expectations Hypothesis, and Treasury Bill Yields: An Econometric Analysis," NBER Working Papers 0869, National Bureau of Economic Research, Inc.
  94. Alison Tarditi & Gordon Menzies, 1991. "Monthly Movements in the Australian Dollar and Real Short-term Interest Differentials: An Application of the Kalman Filter," RBA Research Discussion Papers rdp9111, Reserve Bank of Australia.
  95. Cuthbertson, Keith & Bredin, Don, 2001. "Risk Premia and Long Rates in Ireland," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(6), pages 391-403, September.
  96. Drees, Burkhard & Eckwert, Bernhard, 1995. "The composition of stock price indices and the excess volatility puzzle," International Review of Economics & Finance, Elsevier, vol. 4(1), pages 29-36.
  97. Alexius, Annika, 2004. "Far Out on the Yield Curve," Working Paper Series 2004:12, Uppsala University, Department of Economics.
  98. Markus Haberer, 2004. "Might a Securities Transactions Tax Mitigate Excess Volatility?: Some Evidence From the Literature," CoFE Discussion Paper 04-06, Center of Finance and Econometrics, University of Konstanz.
  99. 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, vol. 27(3), pages 533-564, September.
  100. Ravenna , Federico & Seppälä , Juha, 2006. "Monetary policy and rejections of the expectations hypothesis," Research Discussion Papers 25/2006, Bank of Finland.
  101. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "Persistence and Cyclical Dependence in the Monthly Euribor Rate," Discussion Papers of DIW Berlin 1165, DIW Berlin, German Institute for Economic Research.
  102. Jagjit Chadha & Sean Holly, 2006. "Macroeconomic Models and the Yield Curve," Computing in Economics and Finance 2006 105, Society for Computational Economics.
  103. Della Corte, Pasquale & Sarno, Lucio & Thornton, Daniel L, 2007. "The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value," CEPR Discussion Papers 6445, C.E.P.R. Discussion Papers.
  104. Clemens J.M. Kool & John A. Tatom, 1988. "International linkages in the term structure of interest rates," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 30-43.
  105. Sutton, Gregory D., 2000. "Is there excess comovement of bond yields between countries?," Journal of International Money and Finance, Elsevier, vol. 19(3), pages 363-376, June.
  106. Camarero, Mariam & Tamarit, Cecilio, 2002. "Instability tests in cointegration relationships. An application to the term structure of interest rates," Economic Modelling, Elsevier, vol. 19(5), pages 783-799, November.
  107. S. Lardic & V. Mignon, 2002. "Fractional cointegration and term structure of interest rates," THEMA Working Papers 2002-28, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  108. Martin D. Evans & Karen K. Lewis, 1990. "Do Stationary Risk Premia Explain It All? Evidence from the Term Struct," NBER Working Papers 3451, National Bureau of Economic Research, Inc.
  109. Oda, Nobuyuki & Okina, Kunio, 2001. "Further Monetary Easing Policies under the Non-negativity Constraints of Nominal Interest Rates: Summary of the Discussion Based on Japan's Experience," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 19(S1), pages 323-360, February.
  110. Gregory D. Sutton, 1997. "Is there excess comovement of bond yields between countries?," BIS Working Papers 44, Bank for International Settlements.
  111. Cochrane, John H., 2005. "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
  112. Robert J. Shiller & John Y. Campbell & Kermit L. Schoenholtz, 1983. "Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates," Cowles Foundation Discussion Papers 667, Cowles Foundation for Research in Economics, Yale University.
  113. Stefan Gerlach, 1996. "Monetary policy and the behaviour of interest rates: are long rates excessively volatile?," BIS Working Papers 34, Bank for International Settlements.
  114. Jeffrey A. Frankel & James H. Stock, 1983. "A Relationship Between Regression Tests and Volatility Tests of Market ncy," NBER Working Papers 1105, National Bureau of Economic Research, Inc.
  115. Wayne E. Ferson & Ravi Jagannathan, 1996. "Econometric evaluation of asset pricing models," Staff Report 206, Federal Reserve Bank of Minneapolis.
  116. Robert J. Shiller, 2014. "Speculative Asset Prices," American Economic Review, American Economic Association, vol. 104(6), pages 1486-1517, June.
  117. 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.).
  118. 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.
  119. Giammarioli, Nicola & Valla, Natacha, 2004. "The natural real interest rate and monetary policy: a review," Journal of Policy Modeling, Elsevier, vol. 26(5), pages 641-660, July.
  120. Schotman, Peter, 1996. "A Bayesian approach to the empirical valuation of bond options," Journal of Econometrics, Elsevier, vol. 75(1), pages 183-215, November.
  121. Erdenebat Bataa & Dong H. Kim & Denise R. Osborn, 2007. "Expectations Hypothesis Tests in the Presence of Model Uncertainty," Discussion Paper Series 0703, Institute of Economic Research, Korea University.
  122. J. Huston McCulloch & Levin A. Kochen, 1998. "The Inflation Premium Implicit in the US Real and Nominal Term Structures of Interest Rates," Working Papers 98-12, Ohio State University, Department of Economics.
  123. LUBRANO, Michel, 2000. "Bayesian non-linear modellings of the short term US interest rate: the help of non-parametric tools," CORE Discussion Papers 2000038, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  124. Chakraborty, Lekha S., 2006. "Fiscal deficit, capital formation, and crowding out: Evidence from India," Working Papers 06/43, National Institute of Public Finance and Policy.
  125. 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 2002-24, University of the Basque Country - Department of Foundations of Economic Analysis II.
  126. Christophe Blot & Marion Cochard & Jérôme Creel & Bruno Ducoudre & Danielle Schweisguth & Xavier Timbeau, 2014. "Fiscal consolidation in times of crisis: is the sooner really the better?," Sciences Po publications info:hdl:2441/2g7mhju69b9, Sciences Po.
  127. Jermann, Urban J., 2013. "A production-based model for the term structure," Journal of Financial Economics, Elsevier, vol. 109(2), pages 293-306.
  128. Carolina Castagnetti & Eduardo Rossi, 2013. "Euro Corporate Bond Risk Factors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(3), pages 372-391, 04.
  129. Bystrov, Victor, 2013. "A factor-augemented model of markup on mortgage loans in Poland," MPRA Paper 49683, University Library of Munich, Germany.
  130. Lekha S. Chakraborty, 2012. "Interest Rate Determination in India: Empirical Evidence on Fiscal Deficit--Interest Rate Linkages and Financial Crowding Out," Economics Working Paper Archive wp_744, Levy Economics Institute.
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  133. Seo, Byeongseon, 2003. "Nonlinear mean reversion in the term structure of interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 27(11-12), pages 2243-2265, September.
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  136. Byeongseon Seo, 2000. "Nonlinear Mean Reversion In The Term Structure Of Interest Rates," Computing in Economics and Finance 2000 121, Society for Computational Economics.
  137. Jim Clouse, 2004. "Reading the minds of investors: an empirical term structure model for policy analysis," Finance and Economics Discussion Series 2004-64, Board of Governors of the Federal Reserve System (U.S.).
  138. Guido Tabellini, 1987. "Learning and the Volatility of Exchange Rates," UCLA Economics Working Papers 434, UCLA Department of Economics.
  139. Andreas Fischer, 1989. "Interpreting the Term Structure of Interest Rates Using Weekly Money Announcements," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 125(I), pages 43-53, March.
  140. Tim Bollerslev & Robert J. Hodrick, 1992. "Financial Market Efficiency Tests," NBER Working Papers 4108, National Bureau of Economic Research, Inc.
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  142. Antoine Bouveret & Bruno Ducoudré, 2007. "On the contingency of equilibrium exchange rates with time- consistent economic policies," Documents de Travail de l'OFCE 2007-08, Observatoire Francais des Conjonctures Economiques (OFCE).
  143. Wahab, Mahmoud, 1997. "On risk, rationality and the predictive ability of European short-term adjusted yield spreads," Journal of International Money and Finance, Elsevier, vol. 16(5), pages 737-765, September.
  144. Lekkos, Ilias & Milas, Costas, 2004. "Time-varying excess returns on UK government bonds: A non-linear approach," Journal of Banking & Finance, Elsevier, vol. 28(1), pages 45-62, January.
  145. Jun Nagayasu, 2003. "The Term Structure of Interest Rates and Monetary Policy During a Zero-Interest-Rate Period," IMF Working Papers 03/208, International Monetary Fund.
  146. Adrangi, Bahram & Chatrath, Arjun & Raffiee, Kambiz & D. Ripple, Ronald, 2001. "Alaska North Slope crude oil price and the behavior of diesel prices in California," Energy Economics, Elsevier, vol. 23(1), pages 29-42, January.
  147. 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).
  148. Smoluk, H. J., 1999. "Excess long real rate volatility," Journal of Multinational Financial Management, Elsevier, vol. 9(2), pages 155-176, March.
  149. J. Huston McCulloch, 2001. "The Inflation Premium implicit in the US Real and Nominal," Computing in Economics and Finance 2001 210, Society for Computational Economics.
  150. Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
  151. Kroon, E.P., 1991. "Bond market efficiency : some Dutch evidence," Serie Research Memoranda 0045, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
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