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Nicola Lesley Anderson

Personal Details

First Name:Nicola
Middle Name:Lesley
Last Name:Anderson
Suffix:
RePEc Short-ID:pan496
[This author has chosen not to make the email address public]

Affiliation

Bank of England

London, United Kingdom
http://www.bankofengland.co.uk/

+44 (0)20 3461 4878
+44 (0)20 3461 4771
Threadneedle Street, London EC2R 8AH
RePEc:edi:boegvuk (more details at EDIRC)

Research output

as
Jump to: Working papers

Working papers

  1. Anderson, Nicola & Brooke, Martin & Hume, Michael & Kürtösiová, Miriam, 2015. "Financial Stability Paper 33: A European Capital Markets Union: implications for growth and stability," Bank of England Financial Stability Papers 33, Bank of England.
  2. Anderson, Nicola & Webber, Lewis & Noss, Joseph & Beale, Daniel & Crowley-Reidy, Liam, 2015. "Financial Stability Paper 34: The resilience of financial market liquidity," Bank of England Financial Stability Papers 34, Bank of England.
  3. Anderson, Nicola & Noss, Joseph, 2013. "Financial Stability Paper No 23: The Fractal Market Hypothesis and its implications for the stability of financial markets," Bank of England Financial Stability Papers 23, Bank of England.
  4. Nicola Anderson & John Sleath, 2001. "New estimates of the UK real and nominal yield curves," Bank of England working papers 126, Bank of England.
  5. Nicola Anderson & Francis Breedon, 1996. "UK Asset Price Volatility Over the Last 50 Years," Bank of England working papers 51, Bank of England.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Anderson, Nicola & Brooke, Martin & Hume, Michael & Kürtösiová, Miriam, 2015. "Financial Stability Paper 33: A European Capital Markets Union: implications for growth and stability," Bank of England Financial Stability Papers 33, Bank of England.

    Cited by:

    1. Emiel F. S. van Bezooijen & Jacob A. Bikker, 2019. "Financial Structure and Macroeconomic Volatility: A Panel Data Analysis," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 11(12), pages 117-117, December.
    2. Orlowski, Lucjan T., 2020. "Capital markets integration and economic growth in the European Union," Journal of Policy Modeling, Elsevier, vol. 42(4), pages 893-902.
    3. Lannoo, Karel & Thomadakis, Apostolos, 2019. "Rebranding Capital Markets Union: A market finance action plan," ECMI Papers 500, Centre for European Policy Studies.
    4. Florin Teodor Boldeanu & Ileana Tache, 2016. "The Financial System of the EU and the Capital Markets Union," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 59-70.
    5. Allen, Franklin & Pástor, Luboš, 2018. "The Capital Markets Union: Key Challenges," CEPR Discussion Papers 12761, C.E.P.R. Discussion Papers.
    6. Florin Teodor Boldeanu & Ileana Tache, 2015. "The Financial System of the EU and the Capital Markets Union," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(3), pages 41-51.

  2. Anderson, Nicola & Webber, Lewis & Noss, Joseph & Beale, Daniel & Crowley-Reidy, Liam, 2015. "Financial Stability Paper 34: The resilience of financial market liquidity," Bank of England Financial Stability Papers 34, Bank of England.

    Cited by:

    1. Baranova, Yuliya & Douglas, Graeme & Silvestri, Laura, 2019. "Simulating stress in the UK corporate bond market: investor behaviour and asset fire-sales," Bank of England working papers 803, Bank of England.
    2. Baranova, Yuliya & Liu, Zijun & Noss, Joseph, 2016. "The role of collateral in supporting liquidity," Bank of England working papers 609, Bank of England.
    3. Stijn Claessens, 2019. "Fragmentation in global financial markets: good or bad for financial stability?," BIS Working Papers 815, Bank for International Settlements.
    4. Broto, Carmen & Lamas, Matías, 2020. "Is market liquidity less resilient after the financial crisis? Evidence for US Treasuries," Economic Modelling, Elsevier, vol. 93(C), pages 217-229.
    5. Virgilio, Gianluca Piero Maria, 2020. "When spread bites fast – Volatility and wide bid-ask spread in a mixed high-frequency and low-frequency environment," Research in International Business and Finance, Elsevier, vol. 51(C).
    6. Karvik, Geir-Are & Noss, Joseph & Worlidge, Jack & Beale, Daniel, 2018. "The deeds of speed: an agent-based model of market liquidity and flash episodes," Bank of England working papers 743, Bank of England.
    7. Mallaburn, David & Roberts-Sklar, Matt & Silvestri, Laura, 2019. "Resilience of trading networks: evidence from the sterling corporate bond market," Bank of England working papers 813, Bank of England.
    8. Bank for International Settlements, 2017. "Foreign exchange liquidity in the Americas," BIS Papers, Bank for International Settlements, number 90, June.

  3. Anderson, Nicola & Noss, Joseph, 2013. "Financial Stability Paper No 23: The Fractal Market Hypothesis and its implications for the stability of financial markets," Bank of England Financial Stability Papers 23, Bank of England.

    Cited by:

    1. Anderson, Nicola & Webber, Lewis & Noss, Joseph & Beale, Daniel & Crowley-Reidy, Liam, 2015. "Financial Stability Paper 34: The resilience of financial market liquidity," Bank of England Financial Stability Papers 34, Bank of England.
    2. Adam Karp & Gary Van Vuuren, 2019. "Investment Implications Of The Fractal Market Hypothesis," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 14(01), pages 1-27, March.
    3. Daniela Alexandra CRIȘAN, 2015. "Financial Volatility Measurement Using Fractal Dimension," Romanian Economic Business Review, Romanian-American University, vol. 9(1), pages 95-102, May.
    4. Svetlozar Rachev & Frank Fabozzi, 2016. "Financial market with no riskless (safe) asset," Papers 1612.02112, arXiv.org.
    5. Flavia BARNA & Ştefana Maria DIMA & Bogdan DIMA & Lucian PAŞCA, 2016. "Fractal Market Hypothesis: The Emergent Financial Markets Case," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(2), pages 137-150.
    6. Karvik, Geir-Are & Noss, Joseph & Worlidge, Jack & Beale, Daniel, 2018. "The deeds of speed: an agent-based model of market liquidity and flash episodes," Bank of England working papers 743, Bank of England.

  4. Nicola Anderson & John Sleath, 2001. "New estimates of the UK real and nominal yield curves," Bank of England working papers 126, Bank of England.

    Cited by:

    1. Neil Cooper & Cedric Scholtes, 2001. "Government bond market valuations in an era of dwindling supply," BIS Papers chapters, in: Bank for International Settlements (ed.), The changing shape of fixed income markets: a collection of studies by central bank economists, volume 5, pages 147-169, Bank for International Settlements.
    2. Zvi Wiener & Helena Pompushko, 2006. "The Estimation of Nominal and Real Yield Curves from Government," Bank of Israel Working Papers 2006.03, Bank of Israel.
    3. Jelena Zubkova, 2003. "Interest Rate Term Structure in Latvia in the Monetary Policy Context," Working Papers 2003/03, Latvijas Banka.
    4. David Bolder & Scott Gusba, 2002. "Exponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of Canada," Staff Working Papers 02-29, Bank of Canada.
    5. Bianchi, Francesco & Mumtaz, Haroon & Surico, Paolo, 2009. "Dynamics of the term structure of UK interest rates," Bank of England working papers 363, Bank of England.
    6. Malte Knüppel & Guido Schultefrankenfeld, 2017. "Interest rate assumptions and predictive accuracy of central bank forecasts," Empirical Economics, Springer, vol. 53(1), pages 195-215, August.
    7. Chadha, Jagjit S. & Waters, Alex, 2014. "Applying a macro-finance yield curve to UK quantitative Easing," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 68-86.
    8. Refet S. Gürkaynak & Brian P. Sack & Jonathan H. Wright, 2006. "The U.S. Treasury yield curve: 1961 to the present," Finance and Economics Discussion Series 2006-28, Board of Governors of the Federal Reserve System (U.S.).
    9. Merrick, John J. & Naik, Narayan Y. & Yadav, Pradeep K., 2004. "Strategic trading behavior and price distortion in a manipulated market: Anatomy of a squeeze," CFR Working Papers 04-07, University of Cologne, Centre for Financial Research (CFR).
    10. Erdemlioglu, Deniz, 2009. "Macro Factors in UK Excess Bond Returns: Principal Components and Factor-Model Approach," MPRA Paper 28895, University Library of Munich, Germany.
    11. A. Carriero & S. Mouabbi & E. Vangelista, 2016. "UK term structure decompositions at the zero lower bound," Working papers 589, Banque de France.
    12. Luca Benati, 2006. "Affine term structure models for the foreign exchange risk premium," Bank of England working papers 291, Bank of England.
    13. Mehmet Pasaogullari & Simeon Tsonevy, 2011. "The term structure of inflation compensation in the nominal yield curve," Working Papers (Old Series) 1133, Federal Reserve Bank of Cleveland.
    14. Bicu-Lieb, Andreea & Chen, Louisa & Elliott, David, 2020. "The leverage ratio and liquidity in the gilt and gilt repo markets," Journal of Financial Markets, Elsevier, vol. 48(C).
    15. Mathias Drehmann & Steffen Sorensen & Marco Stringa, 2008. "The integrated impact of credit and interest rate risk on banks: an economic value and capital adequacy perspective," Bank of England working papers 339, Bank of England.
    16. Christian Mose Nielsen, 2005. "The information content of the term structure of interest rates about future inflation – an illustration of the importance of accounting for a time-varying real interest rate and inflation risk premiu," Money Macro and Finance (MMF) Research Group Conference 2005 86, Money Macro and Finance Research Group.
    17. Andreasen, Martin M & Meldrum, Andrew, 2015. "Market beliefs about the UK monetary policy life-off horizon: a no-arbitrage shadow rate term structure model approach," Bank of England working papers 541, Bank of England.
    18. 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.
    19. Bicu, Andreea & Chen, Louisa & Elliott, David, 2017. "The leverage ratio and liquidity in the gilt and repo markets," Bank of England working papers 690, Bank of England, revised 19 Dec 2017.
    20. Meredith J. Beechey, 2008. "Lowering the anchor: how the Bank of England's inflation-targeting policies have shaped inflation expectations and perceptions of inflation risk," Finance and Economics Discussion Series 2008-44, Board of Governors of the Federal Reserve System (U.S.).
    21. 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.
    22. Joyce, Michael & Lildholdt, Peter & Sorensen, Steffen, 2009. "Extracting inflation expectations and inflation risk premia from the term structure: a joint model of the UK nominal and real yield curves," Bank of England working papers 360, Bank of England.
    23. Gimeno, Ricardo & Nave, Juan M., 2009. "A genetic algorithm estimation of the term structure of interest rates," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2236-2250, April.
    24. Sébastien Fries & Jean‐Stéphane Mésonnier & Sarah Mouabbi & Jean‐Paul Renne, 2018. "National natural rates of interest and the single monetary policy in the euro area," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 763-779, September.
    25. Haberis, Alex & Harrison, Richard & Waldron, Matthew, 2017. "Uncertain forward guidance," Bank of England working papers 654, Bank of England.
    26. Deborah Gefang & Gary Koop & Simon M. Potter, 2009. "The Dynamics of UK and US Inflation Expectations," Working Paper series 14_09, Rimini Centre for Economic Analysis.
    27. Somvang PHIMMAVONG & Ian FERGUSON & Barbara OZARSKA, 2010. "Economy-Wide Impact of Forest Plantation Development in Laos Using a Dynamic General Equilibrium Approach," EcoMod2010 259600131, EcoMod.
    28. Ganchev, Alexander, 2009. "Modeling the yield curve of spot interest rates under the conditions in Bulgaria," MPRA Paper 70048, University Library of Munich, Germany.
    29. Guimarães , Rodrigo, 2012. "What accounts for the fall in UK ten-year government bond yields?," Bank of England Quarterly Bulletin, Bank of England, vol. 52(3), pages 213-223.
    30. Tunaru, Diana, 2017. "Gaussian estimation and forecasting of the U.K. yield curve with multi-factor continuous-time models," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 119-129.
    31. Monique Reid, 2009. "Isolating a Measure of Inflation Expectations for the South African Financial Market Using Forward Interest Rates," Working Papers 127, Economic Research Southern Africa.
    32. Marcello Pericoli, 2012. "Real term structure and inflation compensation in the euro area," Temi di discussione (Economic working papers) 841, Bank of Italy, Economic Research and International Relations Area.
    33. Kaminska, Iryna & Liu, Zhuoshi & Relleen, Jon & Vangelista, Elisabetta, 2018. "What do the prices of UK inflation-linked securities say on inflation expectations, risk premia and liquidity risks?," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 76-96.
    34. Francisco Alonso & Roberto Blanco & Ana del Río, 2001. "Estimating Inflation Expectations using French Government Inflation-Indexed Bonds," Working Papers 0111, Banco de España;Working Papers Homepage.
    35. Marcio Laurini & Alberto Ohashi, 2014. "A Noisy Principal Component Analysis for Forward Rate Curves," Papers 1408.6279, arXiv.org.
    36. Jonathan H. Wright, 2011. "Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset," American Economic Review, American Economic Association, vol. 101(4), pages 1514-1534, June.
    37. Benos, Evangelos & Zikes, Filip, 2016. "Liquidity determinants in the UK gilt market," Bank of England working papers 600, Bank of England.
    38. Nowman, Khalid Ben, 2010. "Modelling the UK and Euro yield curves using the Generalized Vasicek model: Empirical results from panel data for one and two factor models," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 334-341, December.
    39. Varga, Gyorgy, 2009. "Teste de Modelos Estatísticos para a Estrutura a Termo no Brasil [Test of Term Structure Models for Brazil]," MPRA Paper 20832, University Library of Munich, Germany.
    40. Waldron, Matt & Zampolli, Fabrizio, 2010. "Household debt, house prices and consumption in the United Kingdom: a quantitative theoretical analysis," Bank of England working papers 379, Bank of England.
    41. Merrick, John Jr & Naik, Narayan Y. & Yadav, Pradeep K., 2005. "Strategic trading behavior and price distortion in a manipulated market: anatomy of a squeeze," Journal of Financial Economics, Elsevier, vol. 77(1), pages 171-218, July.
    42. Ilias Lekkos & Costas Milas & Theodore Panagiotidis, 2005. "On the predictability of common risk factors in the US and UK interest rate swap markets:Evidence from non-linear and linear models," Keele Economics Research Papers KERP 2005/13, Centre for Economic Research, Keele University.
    43. David Cobham & Athanasios Papadopoulos & George Zis, 2001. "The Cost of Political Intervention in Monetary Policy," Discussion Paper Series, School of Economics and Finance 200114, School of Economics and Finance, University of St Andrews.
    44. 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.
    45. Rokon Bhuiyan, 2013. "Inflationary expectations and monetary policy: evidence from Bangladesh," Empirical Economics, Springer, vol. 44(3), pages 1155-1169, June.
    46. Gabriele Zinna, 2016. "Price Pressures on UK Real Rates: An Empirical Investigation," Review of Finance, European Finance Association, vol. 20(4), pages 1587-1630.
    47. Oguzhan Cepni & Doruk Kucuksarac, 2017. "Optimal Mix of the Extended Nelson Siegel Model for Turkish Sovereign Yield Curve," Economics Bulletin, AccessEcon, vol. 37(2), pages 1133-1142.
    48. Bank for International Settlements, 2012. "Threat of fiscal dominance?," BIS Papers, Bank for International Settlements, number 65, June.
    49. Faria, Adriano & Almeida, Caio, 2018. "A hybrid spline-based parametric model for the yield curve," Journal of Economic Dynamics and Control, Elsevier, vol. 86(C), pages 72-94.
    50. Kaminska, Iryna, 2008. "A no-arbitrage structural vector autoregressive model of the UK yield curve," Bank of England working papers 357, Bank of England.
    51. Levant, Jared & Ma, Jun, 2016. "Investigating United Kingdom's monetary policy with Macro-Factor Augmented Dynamic Nelson–Siegel models," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 117-127.
    52. 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.
    53. Ilias Lekkos & Costas Milas & Theodore Panagiotidis, 2007. "Forecasting interest rate swap spreads using domestic and international risk factors: evidence from linear and non-linear models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(8), pages 601-619.
    54. Dalu Zhang & Peter Moffatt, 2012. "The yield curve as a leading indicator in economic forecasting in the U.K," University of East Anglia Applied and Financial Economics Working Paper Series 035, School of Economics, University of East Anglia, Norwich, UK..
    55. Joyce, Michael A. S. & Relleen, Jonathan & Sorensen, Steffen, 2008. "Measuring monetary policy expectations from financial market instruments," Working Paper Series 978, European Central Bank.
    56. Francis Breedon & Jagjit S. Chadha & Alex Waters, 2012. "The financial market impact of UK quantitative easing," Oxford Review of Economic Policy, Oxford University Press, vol. 28(4), pages 702-728, WINTER.
    57. James Steeley, 2004. "Estimating time-varying risk premia in UK long-term government bonds," Applied Financial Economics, Taylor & Francis Journals, vol. 14(5), pages 367-373.
    58. Samuel Hanson & Jeremy C. Stein, 2012. "Monetary policy and long-term real rates," Finance and Economics Discussion Series 2012-46, Board of Governors of the Federal Reserve System (U.S.).
    59. Meldrum, Andrew & Raczko, Marek & Spencer, Peter, 2016. "Overseas unspanned factors and domestic bond returns," Bank of England working papers 618, Bank of England.
    60. Goodhart, Charles & Bin Lim, Wen, 2008. "Interest rate forecasts: a pathology," LSE Research Online Documents on Economics 24431, London School of Economics and Political Science, LSE Library.
    61. Joyce, Michael & Kaminska, Iryna & Lildholdt, Peter, 2008. "Understanding the real rate conundrum: an application of no-arbitrage finance models to the UK real yield curve," Bank of England working papers 358, Bank of England.
    62. Grum, Andraž, 2006. "The effect of parallel OTC-DVP bond market introduction on yield curve volatility," MPRA Paper 4950, University Library of Munich, Germany.
    63. Malik, Sheheryar & Meldrum, Andrew, 2016. "Evaluating the robustness of UK term structure decompositions using linear regression methods," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 85-102.
    64. Ivailo Arsov & Matthew Brooks & Mitch Kosev, 2013. "New Measures of Australian Corporate Credit Spreads," RBA Bulletin (Print copy discontinued), Reserve Bank of Australia, pages 15-26, December.
    65. Vijay A. Murik, 2013. "Bond pricing with a surface of zero coupon yields," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 53(2), pages 497-512, June.
    66. Andreas Reschreiter, 2011. "Real and nominal UK interest rates, ERM membership, and inflation targeting," Empirical Economics, Springer, vol. 40(3), pages 559-579, May.
    67. Andraž, Grum, 2006. "Razvitost slovenskega trga dolžniškega kapitala in ocenitev krivulje donosnosti," MPRA Paper 4876, University Library of Munich, Germany.
    68. Andreas Reschreiter, 2010. "The inflation protection from indexed bonds," Applied Economics Letters, Taylor & Francis Journals, vol. 17(16), pages 1581-1585.
    69. Erika Gulyas & Richard Startz, 2005. "The Tradeoff between Inflation and the Real Economy: Forward-Looking Behavior and the Inflation Premium," Working Papers UWEC-2005-25, University of Washington, Department of Economics.
    70. Díaz, Antonio & Jareño, Francisco & Navarro, Eliseo, 2018. "Zero-coupon interest rates: Evaluating three alternative datasets," Economics Discussion Papers 2018-67, Kiel Institute for the World Economy (IfW).
    71. Bank for International Settlements, 2001. "The changing shape of fixed income markets: a collection of studies by central bank economists," BIS Papers, Bank for International Settlements, number 05, June.
    72. Noss, Joseph & Patel, Rupal, 2019. "Decomposing changes in the functioning of the sterling repo market," Bank of England working papers 797, Bank of England.
    73. Meldrum, Andrew & Roberts-Sklar, Matt, 2015. "Long-run priors for term structure models," Bank of England working papers 575, Bank of England.
    74. Fernando Alvarez & Urban J. Jermann, 2005. "Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth," Econometrica, Econometric Society, vol. 73(6), pages 1977-2016, November.
    75. Reschreiter, Andreas, 2011. "The effects of the monetary policy regime shift to inflation targeting on the real interest rate in the United Kingdom," Economic Modelling, Elsevier, vol. 28(1-2), pages 754-759, January.
    76. Brian Barnard, 2019. "Interest Rate Term Structure Decomposition: An Axiomatic," Applied Economics and Finance, Redfame publishing, vol. 6(1), pages 84-96, January.
    77. Michał Brzoza-Brzezina, 2002. "The Relationship between Real Interest Rates and Inflation," NBP Working Papers 23, Narodowy Bank Polski, Economic Research Department.
    78. Cuthbertson, Keith & Nitzsche, Dirk, 2003. "Long rates, risk premia and the over-reaction hypothesis," Economic Modelling, Elsevier, vol. 20(2), pages 417-435, March.
    79. Hackworth, J.F., 2008. "Uncertainty and the yield curve," Economics Letters, Elsevier, vol. 98(3), pages 259-268, March.
    80. James M. Steeley, 2014. "A shape-based decomposition of the yield adjustment term in the arbitrage-free Nelson and Siegel (AFNS) model of the yield curve," Applied Financial Economics, Taylor & Francis Journals, vol. 24(10), pages 661-669, May.
    81. Polychronis Manousopoulos & Michalis Michalopoulos, 2015. "Term structure of interest rates estimation using rational Chebyshev functions," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 38(2), pages 119-146, October.
    82. Madureira, Leonardo, 2007. "The ex ante real rate and inflation premium under a habit consumption model," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 355-382, June.
    83. 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.
    84. Juan Angel Garcia & Adrian van Rixtel, 2007. "Inflation-linked bonds from a central bank perspective," Occasional Papers 0705, Banco de España;Occasional Papers Homepage.
    85. Christian Mose Nielsen, 2007. "Does the choice of interest rate data matter for the results of tests of the expectations hypothesis - some results for the UK," Money Macro and Finance (MMF) Research Group Conference 2006 132, Money Macro and Finance Research Group.
    86. 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.
    87. Gabriele Zinna, 2014. "Price pressures in the UK index-linked market: an empirical investigation," Temi di discussione (Economic working papers) 968, Bank of Italy, Economic Research and International Relations Area.
    88. Ioannides, Michalis, 2003. "A comparison of yield curve estimation techniques using UK data," Journal of Banking & Finance, Elsevier, vol. 27(1), pages 1-26, January.
    89. Jonathan H. Wright, 2008. "Term premiums and inflation uncertainty: empirical evidence from an international panel dataset," Finance and Economics Discussion Series 2008-25, Board of Governors of the Federal Reserve System (U.S.).
    90. Varga, Gyorgy, 2009. "Teste de Modelos Estatísticos para a Estrutura a Termo no Brasil," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 63(4), December.
    91. Ian Marsh, 2002. "What central banks can learn about default risk from credit markets," BIS Papers chapters, in: Bank for International Settlements (ed.), Market functioning and central bank policy, volume 12, pages 329-339, Bank for International Settlements.

  5. Nicola Anderson & Francis Breedon, 1996. "UK Asset Price Volatility Over the Last 50 Years," Bank of England working papers 51, Bank of England.

    Cited by:

    1. Svensson, Lars E O, 1996. "Inflation Forecast Targeting: Implementing and Monitoring Inflation Targets," CEPR Discussion Papers 1511, C.E.P.R. Discussion Papers.
    2. Shinobu Nakagawa & Naoto Osawa, 2000. "Financial Market and Macroeconomic Volatility - Relationships and Some Puzzles -," Bank of Japan Working Paper Series Research and Statistics D, Bank of Japan.
    3. Victoria Saporta & Kamhon Kan, 1997. "The effects of Stamp Duty on the Level and Volatility of Equity Prices," Bank of England working papers 71, Bank of England.
    4. Marco Rossi, 1996. "The information content of the short end of the term structure of interest rates," Bank of England working papers 55, Bank of England.
    5. Anthony Yates & Bryan Chapple, 1996. "What Determines the Short-run Output-Inflation Trade-off?," Bank of England working papers 53, Bank of England.
    6. Charles Nolan & Eric Schaling, 1996. "Monetary Policy Uncertainty and Central Bank Accountability," Bank of England working papers 54, Bank of England.
    7. Ewa Majerowska, "undated". "Validity of the optimal portfolio allocation model with price constraints on the example of the Warsaw Stock Exchange," Discussion Papers in European Economics 99/5, Division of Economics, School of Business, University of Leicester.
    8. Matthew B Canzoneri & Charles Nolan & Anthony Yates, 1996. "Feasible Mechanisms for Achieving Monetary Stability: a Comparison of Inflation Targeting and the ERM," Bank of England working papers 52, Bank of England.
    9. Francis Breedon, 1996. "Why do the LIFFE and DTB bund futures contracts trade at different prices?," Bank of England working papers 57, Bank of England.
    10. Green, Christopher J. & Maggioni, Paolo & Murinde, Victor, 2000. "Regulatory lessons for emerging stock markets from a century of evidence on transactions costs and share price volatility in the London Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 24(4), pages 577-601, April.

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-EEC: European Economics (2) 2001-10-01 2016-02-29
  2. NEP-BAN: Banking (1) 2016-03-06
  3. NEP-FMK: Financial Markets (1) 2001-10-01
  4. NEP-MON: Monetary Economics (1) 2004-11-07

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