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On the Random Walk Characteristics of Short- and Long-Term Interest Rates in an Efficient Market

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  • Pesando, James E

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  • Pesando, James E, 1979. "On the Random Walk Characteristics of Short- and Long-Term Interest Rates in an Efficient Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 11(4), pages 457-466, November.
  • Handle: RePEc:mcb:jmoncb:v:11:y:1979:i:4:p:457-66
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    Cited by:

    1. Deaves, Richard & Melino, Angelo & Pesando, James E., 1987. "The response of interest rates to the Federal Reserve's weekly money announcements : The 'puzzle' of anticipated money," Journal of Monetary Economics, Elsevier, vol. 19(3), pages 393-404, May.
    2. Kelly, Logan J, 2008. "The Currency Equivalent Index and the Current Stock of Money," MPRA Paper 7176, University Library of Munich, Germany.
    3. V. Vance Roley, 1982. "The Response of Short-Term Interest Rates to Weekly Money Announcements," NBER Working Papers 1001, National Bureau of Economic Research, Inc.
    4. Fisher, Douglas & Fleissig, Adrian R. & Serletis, Apostolos, 1998. "Monetary aggregation, rational expectations, and the demand for money in the United States," The North American Journal of Economics and Finance, Elsevier, vol. 9(1), pages 1-13.
    5. Hamid Hasan, 1999. "Fisher Effect in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 38(2), pages 153-166.
    6. Bauer, Dietmar & Wagner, Martin, 2009. "Using subspace algorithm cointegration analysis: Simulation performance and application to the term structure," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1954-1973, April.
    7. Zhongliang Tuo, 2013. "Hedging Against the Interest-rate Risk by Measuring the Yield-curve Movement," Papers 1312.6841, arXiv.org.
    8. van Ommeren, Bernard J.F. & Allers, Maarten A. & Vellekoop, Michel H., 2017. "Choosing the optimal moment to arrange a loan," Research Report 17007-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    9. Kim Oosterlinck & Jeremy Simon, 2015. "Financial Repression and Bond Market Efficiency: the Case of Italy during World War II," Working Papers CEB 15-001, ULB -- Universite Libre de Bruxelles.
    10. Kelly, Logan, 2007. "Measuring the Economic Stock of Money," MPRA Paper 4914, University Library of Munich, Germany.
    11. Jurgen Wolters, 1998. "Cointegration and German bond yields," Applied Economics Letters, Taylor & Francis Journals, vol. 5(8), pages 497-502.
    12. Baghestani, Hamid, 2009. "Forecasting in efficient bond markets: Do experts know better?," International Review of Economics & Finance, Elsevier, vol. 18(4), pages 624-630, October.
    13. Baghestani, Hamid, 2008. "A random walk approach to predicting US 30-year home mortgage rates," Journal of Housing Economics, Elsevier, vol. 17(3), pages 225-233, September.
    14. Roley, V Vance & Walsh, Carl E, 1984. "Unanticipated Money and Interest Rates," American Economic Review, American Economic Association, vol. 74(2), pages 49-54, May.
    15. Hamid Baghestani & Liliana Danila, 2014. "Interest Rate and Exchange Rate Forecasting in the Czech Republic: Do Analysts Know Better than a Random Walk?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 64(4), pages 282-295, September.
    16. 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, vol. 47(4), pages 335-351, October.
    17. 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.
    18. repec:taf:oaefxx:v:5:y:2017:i:1:p:1343017 is not listed on IDEAS

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