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International linkages in the term structure of interest rates

  • Clemens J.M. Kool
  • John A. Tatom

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File URL: http://research.stlouisfed.org/publications/review/88/07/International_Jul_Aug1988.pdf
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Article provided by Federal Reserve Bank of St. Louis in its journal Review.

Volume (Year): (1988)
Issue (Month): Jul ()
Pages: 30-43

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Handle: RePEc:fip:fedlrv:y:1988:i:jul:p:30-43
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  1. Hansen, Lars Peter & Hodrick, Robert J, 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, University of Chicago Press, vol. 88(5), pages 829-53, October.
  2. Llad Phillips & John Pippenger, 1976. "Preferred habitat vs. efficient market: a test of alternative hypotheses," Review, Federal Reserve Bank of St. Louis, issue May, pages 11-19.
  3. Robert J. Shiller & John Y. Campbell & Kermit L. Schoenholtz, 1983. "Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 14(1), pages 173-224.
  4. Shiller, Robert J, 1979. "The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure," Journal of Political Economy, University of Chicago Press, vol. 87(6), pages 1190-1219, December.
  5. Campbell, John Y. & Clarida, Richard H., 1987. "The term structure of euromarket interest rates : An empirical investigation," Journal of Monetary Economics, Elsevier, vol. 19(1), pages 25-44, January.
  6. Kirchgassner, Gebhard & Wolters, Jurgen, 1987. "U.S.-European Interest Rate Linkage: A Time Series Analysis for West Germany, Switzerland, and the United States," The Review of Economics and Statistics, MIT Press, vol. 69(4), pages 675-84, November.
  7. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
  8. Joseph Bisignano, 1983. "Monetary policy regimes and international term structures of interest rates," Working Papers in Applied Economic Theory 83-02, Federal Reserve Bank of San Francisco.
  9. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1981. "A Re-examination of Traditional Hypotheses about the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 36(4), pages 769-99, September.
  10. Robert E. Cumby & Maurice Obstfeld, 1984. "International Interest Rate and Price Level Linkages under Flexible Exchange Rates: A Review of Recent Evidence," NBER Chapters, in: Exchange Rate Theory and Practice, pages 121-152 National Bureau of Economic Research, Inc.
  11. Joseph Bisignano, 1983. "Monetary policy regimes and international term structures of interest rates," Economic Review, Federal Reserve Bank of San Francisco, issue Fall, pages 7-26.
  12. N. Gregory Mankiw & Lawrence H. Summers, 1984. "Do Long-Term Interest Rates Overreact to Short-Term Interest Rates?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 15(1), pages 223-248.
  13. N. Gregory Mankiw, 1986. "The Term Structure of Interest Rates Revisited," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 17(1), pages 61-110.
  14. C. Alan Garner, 1987. "The yield curve and inflation expectations," Economic Review, Federal Reserve Bank of Kansas City, issue Sep, pages 3-15.
  15. Frenkel, Jacob A & Levich, Richard M, 1975. "Covered Interest Arbitrage: Unexploited Profits?," Journal of Political Economy, University of Chicago Press, vol. 83(2), pages 325-38, April.
  16. Krol, Robert, 1986. "The interdependence of the term structure of eurocurrency interest rates," Journal of International Money and Finance, Elsevier, vol. 5(2), pages 245-253, June.
  17. Reuven Glick, 1987. "Interest rate linkages in the Pacific Basin," Economic Review, Federal Reserve Bank of San Francisco, issue Sum, pages 31-42.
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