Research classified by Journal of Economic Literature (JEL) codes

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Top JEL
/ E: Macroeconomics and Monetary Economics
/ / E4: Money and Interest Rates
/ / / E43: Interest Rates: Determination, Term Structure, and Effects

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This JEL code is mentioned in the following RePEc Biblio entries:

1. Forecasting Economic Activity Using Financial Variables
2. Monetary Theory

2006

• Carriero, Andrea & Favero, Carlo A. & Kaminska, Iryna, 2006, "Financial factors, macroeconomic information and the Expectations Theory of the term structure of interest rates," Journal of Econometrics, Elsevier, volume 131, issue 1-2, pages 339-358.
• Hordahl, Peter & Tristani, Oreste & Vestin, David, 2006, "A joint econometric model of macroeconomic and term-structure dynamics," Journal of Econometrics, Elsevier, volume 131, issue 1-2, pages 405-444.
• Breitung, Jorg & Candelon, Bertrand, 2006, "Testing for short- and long-run causality: A frequency-domain approach," Journal of Econometrics, Elsevier, volume 132, issue 2, pages 363-378, June.
• Deschamps, Philippe J., 2006, "A flexible prior distribution for Markov switching autoregressions with Student-t errors," Journal of Econometrics, Elsevier, volume 133, issue 1, pages 153-190, July.
• Bartolini, Leonardo & Prati, Alessandro, 2006, "Cross-country differences in monetary policy execution and money market rates' volatility," European Economic Review, Elsevier, volume 50, issue 2, pages 349-376, February.
• Kocenda, Evzen & Valachy, Juraj, 2006, "Exchange rate volatility and regime change: A Visegrad comparison," Journal of Comparative Economics, Elsevier, volume 34, issue 4, pages 727-753, December.
• Ana Paula Martins, 2006, "On Simple Conditions for Mixed Equilibria in Dualistic Models. Part I: Degree of Mobility," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2006_03, Jun.
• Ana Paula Martins, 2006, "On Simple Conditions for Mixed Equilibria in Dualistic Models. Part II: Degree of Coverage," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2006_04, Jun.
• García-Herrero, Alicia & Ortiz, Alvaro, 2006, "The role of global risk aversion in explaining sovereign spreads," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 123127, Oct.
• Francis X. Diebold & Lei Ji & Canlin Li, 2006, "A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources and Generalized Duration," Chapters, Edward Elgar Publishing, chapter 9, in: Lawrence R. Klein, "Long-run Growth and Short-run Stabilization".
• Tesfaselassie, M.F. & Schaling, E. & Eijffinger, S.C.W., 2006, "Learning About the Term Structure and Optimal Rules for Inflation Targeting," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2006-058-F&A, Oct.
• Nikolaos Mylonidis, 2006, "Time-Varying Risk Premia in the Single European Treasury Bill Market," European Research Studies Journal, European Research Studies Journal, volume 0, issue 1-2, pages 65-84.
• Glenn D. Rudebusch & Eric T. Swanson & Tao Wu, 2006, "The bond yield \"conundrum\" from a macro-finance perspective," Working Paper Series, Federal Reserve Bank of San Francisco, number 2006-16.
• Glenn D. Rudebusch & John C. Williams, 2006, "Revealing the secrets of the temple: the value of publishing central bank interest rate projections," Working Paper Series, Federal Reserve Bank of San Francisco, number 2006-31.
• Andrew Ang & Geert Bekaert & Min Wei, 2006, "Do macro variables, asset markets, or surveys forecast inflation better?," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2006-15.
• Marco Bassetto & Christopher Phelan, 2006, "Tax riots," Working Paper Series, Federal Reserve Bank of Chicago, number WP-06-04.
• V. V. Chari & Patrick J. Kehoe, 2006, "Modern macroeconomics in practice: how theory is shaping policy," Staff Report, Federal Reserve Bank of Minneapolis, number 376.
• Mathias Hoffmann & Ronald MacDonald, 2006, "A Re-examination of the link between Real Exchange Rates and Real Interest Rate Differentials," Working Papers, Business School - Economics, University of Glasgow, number 2007_36, Jul.
• Theophile Azomahou & Claude Diebolt & Tapas Mishra, 2006, "Spatial Persistence of Demographic Shocks and Economic Growth," Post-Print, HAL, number hal-00279269, DOI: 10.1016/j.jmacro.2007.08.013.
• Grégory Levieuge, 2006, "Règle de Taylor vs Règle-ICM : Applications à la zone euro," Post-Print, HAL, number halshs-00204035.
• Jean-Pascal Bénassy, 2006, "Liquidity effects in non-Ricardian economies," Post-Print, HAL, number halshs-00754156, May, DOI: 10.1111/j.1467-9442.2006.00440.x.
• van Hemert, Otto, 2006, "Life-Cycle Housing and Portfolio Choice with Bond Markets," SIFR Research Report Series, Institute for Financial Research, number 44, Sep.
• Zagaglia, Paolo, 2006, "The Predictive Power of the Yield Spread under the Veil of Time," Research Papers in Economics, Stockholm University, Department of Economics, number 2006:4, Jun.
• Zagaglia, Paolo, 2006, "Does the Yield Spread Predict the Output Gap in the U.S.?," Research Papers in Economics, Stockholm University, Department of Economics, number 2006:5, May.
• Selander, Carina, 2006, "Chartist Trading in Exchange Rate Theory," Umeå Economic Studies, Umeå University, Department of Economics, number 698, Nov.
• Kjellberg, David, 2006, "Measuring Expectations," Working Paper Series, Uppsala University, Department of Economics, number 2006:9, Feb.
• Alexius, Annika & Welz, Peter, 2006, "Can a time-varying equilibrium real interest rate explain the excess sensitivity puzzle?," Working Paper Series, Uppsala University, Department of Economics, number 2006:20, Sep.
• Sugita, Katsuhiro & 杉田, 勝弘, 2006, "Time Series Analysis of the Expectations Hypothesis for the Japanese Term Structure of Interest Rates in the Presence of Multiple Structural Breaks," Discussion Papers, Graduate School of Economics, Hitotsubashi University, number 2006-15, Nov.
• Ansgar Belke & Thorsten Polleit, 2006, "How the ECB and the US Fed Set Interest Rates," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim, Department of Economics, University of Hohenheim, Germany, number 269/2006.
• Nuno Cassola & Christian Ewerhart & Claudio Morana, 2006, "Structural Econometric Approach to Bidding in the Main refinancing Operations of the Eurosystem," ICER Working Papers, ICER - International Centre for Economic Research, number 26-2006, Jul.
• Schwarzbauer, Wolfgang, 2006, "Financial Structure and its Impact on the Convergence of Interest Rate Pass-through in Europe. A Time-varying Interest Rate Pass-through Model," Economics Series, Institute for Advanced Studies, number 191, Sep.
• Reschreiter, Andreas, 2006, "Indexed Bonds and Revisions of Inflation Expectations," Economics Series, Institute for Advanced Studies, number 199, Nov.
• Naohiko Baba & Motoharu Nakashima & Yosuke Shigemi & Kazuo Ueda, 2006, "The Bank of Japan's Monetary Policy and Bank Risk Premiums in the Money Market," International Journal of Central Banking, International Journal of Central Banking, volume 2, issue 1, March.
• Naohiko Baba, 2006, "Financial Market Functioning and Monetary Policy: Japan's Experience," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 24, issue S1, pages 39-71, December.
• Glenn D. Rudebusch & Eric T. Swanson & Tao Wu, 2006, "The Bond Yield "Conundrum" from a Macro-Finance Perspective," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 24, issue S1, pages 83-109, December.
• Mr. Gaston Gelos, 2006, "Banking Spreads in Latin America," IMF Working Papers, International Monetary Fund, number 2006/044, Feb.
• Hortènsia Fontanals & Elisabet Ruiz & Catalina Bolancé, 2006, "Term structure of interest rate. european financial integration," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 200610, Dec, revised Dec 2006.
• Ángel León & Francis Benito & Juan Nave, 2006, "Modeling The Euro Overnight Rate," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2006-11, Jun.
• Marco Lyrio & Hans Dewachter & Konstantijn Maes, 2006, "A joint model for the term structure of interest rates and the macroeconomy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 21, issue 4, pages 439-462, DOI: 10.1002/jae.848.
• Markku Lanne, 2006, "Nonlinear dynamics of interest rate and inflation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 21, issue 8, pages 1157-1168, DOI: 10.1002/jae.908.
• Abdullatif, Alani Emad M.A., 2006, "Crowding-out and Crowding-in Effects of Government Bonds Market on Private Sector Investment (Japanese Case Study)," IDE Discussion Papers, Institute of Developing Economies, Japan External Trade Organization(JETRO), number 74, Oct.
• Nehls Hiltrud, 2006, "The Interest Rate Pass-Through in German Banking Groups," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 226, issue 4, pages 463-480, August, DOI: 10.1515/jbnst-2006-0407.
• L. Wray, 2006, "Keynes's Approach to Money: An Assessment After Seventy Years," Atlantic Economic Journal, Springer;International Atlantic Economic Society, volume 34, issue 2, pages 183-193, June, DOI: 10.1007/s11293-006-9005-2.
• Boris Hofmann, 2006, "EMU and the transmission of monetary policy: evidence from business lending rates," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, volume 33, issue 4, pages 209-229, September, DOI: 10.1007/s10663-006-9002-3.
• Pedro Gomes & Pedro Bom & Pedro Leão, 2006, "The Effect of Labor Share on the Natural Interest Rate," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 12, issue 1, pages 140-140, February, DOI: 10.1007/s11294-006-6147-6.
• Samih Azar, 2006, "Liquidity Cost Premia," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 12, issue 4, pages 461-467, November, DOI: 10.1007/s11294-006-9040-4.
• Emanuel Leao & Pedro Leao, 2006, "Technological Innovations and the Interest Rate," Journal of Economics, Springer, volume 89, issue 2, pages 129-163, November, DOI: 10.1007/s00712-006-0205-7.
• Dragon Tang & Hong Yan, 2006, "Macroeconomic Conditions, Firm Characteristics, and Credit Spreads," Journal of Financial Services Research, Springer;Western Finance Association, volume 29, issue 3, pages 177-210, June, DOI: 10.1007/s10693-006-7625-y.
• Costas Milas & Ilias Lekkos & Theodore Panagiotidis, 2006, "Forecasting interest rate swap spreads using domestic and international risk factors: Evidence from linear and non-linear models," Keele Economics Research Papers, Centre for Economic Research, Keele University, number KERP 2006/05, Apr.
• Helge Berger & Jakob de Haan & Jan-Egbert Sturm, 2006, "Does money matter in the ECB strategy?," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 06-125, Jan, DOI: 10.3929/ethz-a-005118418.
• Michael J. Lamla & Sarah M. Rupprecht, 2006, "The Impact of ECB Communication on Financial Market Expectations," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 06-135, Apr, DOI: 10.3929/ethz-a-005187503.
• Kocsis, Zalán & Mosolygó, Zsuzsa, 2006, "A devizakötvény-felárak és a hitelminősítések összefüggése - keresztmetszeti elemzés. A cross-section analysis
  [The relationship of international bond spreads and sovereign credit ratings]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 9, pages 769-798.
• Ilias Lekkos & Costas Milas & Theodore Panagiotidis, 2006, "Forecasting interest rate swap spreads using domestic and international risk factors: Evidence from linear and non-linear models," Discussion Paper Series, Department of Economics, Loughborough University, number 2006_6, Mar, revised Mar 2006.
• Viktors Ajevskis & Kristine Vitola, 2006, "A Factor Model of the Term Structure of Interest Rates and Risk Premium Estimation for Latvia's Money Market," Working Papers, Latvijas Banka, number 2006/01, Feb.
• Dewachter, Hans & Lyrio, Marco, 2006, "Macro Factors and the Term Structure of Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, volume 38, issue 1, pages 119-140, February, DOI: 10.1353/mcb.2006.0014.
• Baum, Christopher F. & Barkoulas, John, 2006, "Dynamics of Intra-EMS Interest Rate Linkages," Journal of Money, Credit and Banking, Blackwell Publishing, volume 38, issue 2, pages 469-482, March, DOI: 10.1353/mcb.2006.0024.
• Péter Gábriel & Klára Pintér, 2006, "Whom should we believe? Information content of the yield curve and analysts’ expectations," MNB Bulletin (discontinued), Magyar Nemzeti Bank (Central Bank of Hungary), volume 1, issue 2, pages 6-13, December.
• Péter Gábriel & Klára Pintér, 2006, "The effect of the MNB’s communication on financial markets," MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2006/9.
• Gianluca Di Lorenzo & Giuseppe Marotta, 2006, "Multiple breaks in lending rate pass-through A cross country study for the euro area," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0524, Feb.
• Giuseppe Marotta, 2006, "Structural breaks in the interest rate pass-through and the euro. A cross-country study in the euro area and the UK," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0549, Dec.
• Gianluca Di Lorenzo & Giuseppe Marotta, 2006, "Multiple breaks in lending rate pass-through A cross country study for the euro area," Heterogeneity and monetary policy, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica, number 0602, Feb.
• Gianluca Di Lorenzo & Giuseppe Marotta, 2006, "Multiple breaks in lending rate pass-through A cross country study for the euro area," Heterogeneity and monetary policy, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica, number 0603, Feb.
• Giuseppe Marotta, 2006, "Structural breaks in the interest rate pass-through and the euro. A cross-country study in the euro area and the UK," Heterogeneity and monetary policy, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica, number 0612, Dec.
• J. Boeckx, 2006, "Globalisation and monetary policy," Economic Review, National Bank of Belgium, issue ii, pages 7-22, September.
• Marina Emiris, 2006, "The term structure of interest rates in a DSGE model," Working Paper Research, National Bank of Belgium, number 88, Jul.
• Seok-Kyun Hur, 2006, "Money Growth and Interest Rates," NBER Chapters, National Bureau of Economic Research, Inc, "Monetary Policy with Very Low Inflation in the Pacific Rim".
• Anders B. Trolle & Eduardo S. Schwartz, 2006, "A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives," NBER Working Papers, National Bureau of Economic Research, Inc, number 12337, Jun.
• Kenneth Kuttner, 2006, "Can Central Banks Target Bond Prices?," NBER Working Papers, National Bureau of Economic Research, Inc, number 12454, Aug.
• Patrick Kehoe & Varadarajan V. Chari, 2006, "Modern Macroeconomics in Practice: How Theory is Shaping Policy," NBER Working Papers, National Bureau of Economic Research, Inc, number 12476, Aug.
• Francis E. Warnock & Veronica Cacdac Warnock, 2006, "International Capital Flows and U.S. Interest Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 12560, Oct.
• Glenn D. Rudebusch & John C. Williams, 2006, "Revealing the Secrets of the Temple: The Value of Publishing Central Bank Interest Rate Projections," NBER Working Papers, National Bureau of Economic Research, Inc, number 12638, Oct.
• Wei Xiong & Hongjun Yan, 2006, "Heterogeneous Expectations and Bond Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 12781, Dec.
• Ali Al-Eyd, 2006, "Financial Crisis, Effective Policy Rules and Bounded Rationality in a New Keynesian Framework," National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research, number 272, Apr.
• Rudiger Ahrend & Pietro Catte & Robert Price, 2006, "Factors Behind Low Long-Term Interest Rates," OECD Economics Department Working Papers, OECD Publishing, number 490, Jun, DOI: 10.1787/761527811285.
• Jesus Crespo Cuaresma & Balázs Égert & Thomas Reininger, 2006, "Interest Rate Pass-Through in Central and Eastern Europe: Reborn from Ashes Merely to Pass Away?," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 88-111.
• Eduardo Levy Yeyati, 2006, "Financial dollarization: evaluating the consequences
  [‘A simple model of monetary policy and currency crises’]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, volume 21, issue 45, pages 62-118.
• Francis X. Diebold & Lei Ji & Canlin Li, 2006, "A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 06-017, Mar.
• John Duffy & Wei Xiao, 2006, "The Value of Interest Rate Stabilization Policies When Agents are Learning," Working Paper, Department of Economics, University of Pittsburgh, number 284, Sep, revised Oct 2006.
• Wenge Huang, 2006, "A Reinterpretation and Remedy of Keynes’s Liquidity Preference Theory," RePAd Working Paper Series, Département des sciences administratives, UQO, number China-wp1, Jun.
• Juan Marcelo, Ochoa, 2006, "An Interpretation of An Affine Term Structure Model for Chile," MPRA Paper, University Library of Munich, Germany, number 1072, Nov.
• Idrovo Aguirre, Byron, 2006, "Estimación del spread de tasas de corto y largo plazo: Un indicador de alerta temprana
  [An estimation of short and long term rates spread: a leading indicator]," MPRA Paper, University Library of Munich, Germany, number 11116, Dec, revised 12 Mar 2007.
• Henrard, Marc, 2006, "TIPS Options in the Jarrow-Yildirim model," MPRA Paper, University Library of Munich, Germany, number 1423, Jan.
• John, Tatom, 2006, "Why Are Interest Rates So Low?," MPRA Paper, University Library of Munich, Germany, number 17752, Apr.
• Henrard, Marc, 2006, "Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning," MPRA Paper, University Library of Munich, Germany, number 2001, May.
• Henrard, Marc, 2006, "Bonds futures: Delta? No gamma!," MPRA Paper, University Library of Munich, Germany, number 2249, Apr, revised 01 May 2006.
• Ielpo, Florian & Guégan, Dominique, 2006, "Further evidence on the impact of economic news on interest rates," MPRA Paper, University Library of Munich, Germany, number 3425, Dec, revised Jun 2007.
• Cebula, Richard & McGrath, Richard, 2006, "Identifying Determinants of the Cost of Long Term Borrowing for U.S. Firms: Insights for Management," MPRA Paper, University Library of Munich, Germany, number 49647, Oct.
• Sarkar, Prabirjit, 2006, "Stock Market Development, Capital Accumulation and Growth in India since 1950," MPRA Paper, University Library of Munich, Germany, number 5050, Sep.
• Jiménez Sotelo, Renzo, 2006, "Acceso de la banca de desarrollo al banco central: El caso de COFIDE y las tasas de interés en el Perú
  [Access of development banks to the central bank: The case of COFIDE and interest rates in Per," MPRA Paper, University Library of Munich, Germany, number 76420, Aug, revised 30 Sep 2008.
• Horvath, Roman, 2006, "Real-Time Time-Varying Equilibrium Interest Rates: Evidence on the Czech Republic," MPRA Paper, University Library of Munich, Germany, number 845, Oct.
• Karel Brůna, 2006, "Glenn Rudebusch's View on the Targeting of Short-Term Interest Rates
  [Cílování krátkodobých úrokových sazeb pohledem Glenna Rudebusche]," Český finanční a účetní časopis, Prague University of Economics and Business, volume 2006, issue 1, pages 163-169, DOI: 10.18267/j.cfuc.135.
• Zdeněk Dvorný, 2006, "Budget Deficit and Interest Rates," Prague Economic Papers, Prague University of Economics and Business, volume 2006, issue 1, pages 3-13, DOI: 10.18267/j.pep.272.
• Mete Feridun, 2006, "An Investigation of the German Dominance Hypothesis in the Context of Eastern Enlargement of the EU," Prague Economic Papers, Prague University of Economics and Business, volume 2006, issue 2, pages 172-182, DOI: 10.18267/j.pep.283.
• Alan S. Blinder, 2006, "Monetary Policy Today: Sixteen Questions and about Twelve Answers," Working Papers, Princeton University, Department of Economics, Center for Economic Policy Studies., number 73, Jul.
• Woosik Moon & Yeongseop Rhee, 2006, "Spot and foward market intervention during the 1997 Korean currency crisis," BNL Quarterly Review, Banca Nazionale del Lavoro, volume 59, issue 238, pages 243-268.
• Woosik Moon & Yeongseop Rhee, 2006, "Spot and foward market intervention during the 1997 Korean currency crisis," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, volume 59, issue 238, pages 243-268.
• José Ferreira Machado, 2006, "Identifying asset price booms and busts with quantile regressions," Working Papers, Banco de Portugal, Economics and Research Department, number w200608.
• Mariano Kulish, 2006, "Term Structure Rules for Monetary Policy," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2006-02, Apr.
• Kristoffer Nimark, 2006, "Optimal Monetary Policy with Real-time Signal Extraction from the Bond Market," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2006-05, Jun.
• Paul Castillo & Carlos Montoro & Vicente Tuesta, 2006, "Measuring the Natural Interest Rate for the Peruvian Economy," Working Papers, Banco Central de Reserva del Perú, number 2006-003, Jun.
• Geoffrey Dunbar, 2006, "Production, Collateral and the Risk-Free Rate," 2006 Meeting Papers, Society for Economic Dynamics, number 448.
• Elisa Faraglia & Albert Marcet & Andrew Scott, 2006, "Debt Management Under Complete Markets," 2006 Meeting Papers, Society for Economic Dynamics, number 540.
• Fernando Broner & Guido Lorenzoni & Sergio Schmuckler, 2006, "Why Do Emerging Economies Borrow Short Term?," 2006 Meeting Papers, Society for Economic Dynamics, number 841.
• Andre Faria, 2006, "Growth-Indexed Bonds in Emerging Markets: a Quantitative Approach," 2006 Meeting Papers, Society for Economic Dynamics, number 847.
• Sen Dong, 2006, "Monetary Policy Rules and Exchange Rates:A Structural VAR Identified by No Arbitrage," 2006 Meeting Papers, Society for Economic Dynamics, number 875.
• Márcio Gomes Pinto Garcia & Juliana Salomão, 2006, "Alongamento dos títulos de renda fixa no Brasil," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 515, Mar.
• Donal Bredin & Stuart Hyde & Gerard O'Reilly, 2006, "Monetary policy surprises and international bond markets," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1160, Oct.
• Bertrand Candelon & Gianluca Cubadda, 2006, "Testing for Parameter Stability in Dynamic Models Across Frequencies," CEIS Research Paper, Tor Vergata University, CEIS, number 82, May.
• David Cobham, 2006, "Using Taylor Rules to Assess the Relative Activism of the European Central Bank, the Bank of England and the Federal Reserve Board," CDMA Conference Paper Series, Centre for Dynamic Macroeconomic Analysis, number 0602, Sep.
• Raphael A. Espinoza & Charles A. E. Goodhart & Dimitrios P. Tsomocos, 2006, "Endogenous State Prices, Liquidity, Default, and the Yield Curve," OFRC Working Papers Series, Oxford Financial Research Centre, number 2006fe15.
• Jagjit Chadha & Sean Holly, 2006, "Macroeconomic Models and the Yield Curve," Computing in Economics and Finance 2006, Society for Computational Economics, number 105, Jul.
• Esben Hoeg & Per Frederiksen, 2006, "The Fractional OU Process: Term Structure Theory and Application," Computing in Economics and Finance 2006, Society for Computational Economics, number 194, Jul.
• Federico Ravenna & University of California & Juha Seppala & University of Illinois, 2006, "Monetary Policy and the Term Structure of Interest Rates," Computing in Economics and Finance 2006, Society for Computational Economics, number 197, Jul.
• Peter Hördahl & Oreste Tristani & David Vestin, 2006, "The term structure of inflation risk premia and macroeconomic dynamics," Computing in Economics and Finance 2006, Society for Computational Economics, number 203, Jul.
• Ricardo Gimeno & Juan M. Nave, 2006, "Using genetic algorithms to improve the term structure of interest rates fitting," Computing in Economics and Finance 2006, Society for Computational Economics, number 276, Jul.
• Silvia Sgherri & Marco J. Lombardi, 2006, "(Un)naturally low?," Computing in Economics and Finance 2006, Society for Computational Economics, number 321, Jul.
• Costanza Torricelli & Marianna Brunetti, 2006, "Economic activity and Recession Probabilities: spread predictive power in Italy," Computing in Economics and Finance 2006, Society for Computational Economics, number 350, Jul.
• Massimiliano Marzo & Ulf Sodestrom & Paolo Zagaglia, 2006, "Monetary Policy and the Term Structure: A Fully Structural DSGE approach," Computing in Economics and Finance 2006, Society for Computational Economics, number 352, Jul.
• Bianca De Paoli & Alasdair Scott & Olaf Weeken, 2006, "Asset pricing implications of a New Keynesian model," Computing in Economics and Finance 2006, Society for Computational Economics, number 358, Jul.
• Paolo Zagaglia & Massimiliano Marzo & Ingvar Strid, 2006, "Optimal Simple Nonlinear Rules for Monetary Policy in a New-Keynesian Model," Computing in Economics and Finance 2006, Society for Computational Economics, number 392, Jul.
• Erdenebat Bataa & Dong Heon Kim & Denise R. Osborn, 2006, "On the Expectations Hypothesis in US Term Structure," Computing in Economics and Finance 2006, Society for Computational Economics, number 508, Jul.
• Thomas Laubach & Robert J. Tetlow & John C. Williams, 2006, "Macroeconomic factors in the term structure of interest rates when agents learn," Computing in Economics and Finance 2006, Society for Computational Economics, number 83, Jul.
• Marie Briere, 2006, "Market Reactions to Central Bank Communication Policies :Reading Interest Rate Options Smiles," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 38.
• Raoul Pietersz & Marcel Regenmortel, 2006, "Generic market models," Finance and Stochastics, Springer, volume 10, issue 4, pages 507-528, December, DOI: 10.1007/s00780-006-0023-3.
• Nathanael Ringer & Michael Tehranchi, 2006, "Optimal portfolio choice in the bond market," Finance and Stochastics, Springer, volume 10, issue 4, pages 553-573, December, DOI: 10.1007/s00780-006-0019-z.
• Suzan Hol, 2006, "Determinants of long-term interest rates in the Scandinavian countries," Discussion Papers, Statistics Norway, Research Department, number 469, Aug.
• Nuno Cassola & Claudio Morana, 2006, "Volatility of interest rates in the euro area: Evidence from high frequency data," The European Journal of Finance, Taylor & Francis Journals, volume 12, issue 6-7, pages 513-528, DOI: 10.1080/13518470500162758.
• Olcay Yucel Culha & Fatih Ozatay & Gulbin Sahinbeyoglu, 2006, "The Determinants of Sovereign Spreads in Emerging Markets," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 0604.
• Ozge Akinci & Burcu Gurcihan & Refet Gurkaynak & Ozgur Ozel, 2006, "Devlet Ic Borclanma Senetleri Icin Getiri Egrisi Tahmini," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 0608.
• Tesfaselassie, M.F. & Schaling, E. & Eijffinger, S.C.W., 2006, "Learning about the Term Structure and Optimal Rules for Inflation Targeting," Discussion Paper, Tilburg University, Center for Economic Research, number 2006-88.
• Tesfaselassie, M.F. & Schaling, E. & Eijffinger, S.C.W., 2006, "Learning about the Term Structure and Optimal Rules for Inflation Targeting," Other publications TiSEM, Tilburg University, School of Economics and Management, number fddff8c7-43e7-4776-9b72-4.
• Bernoth, Kerstin & Hagen, Jürgen von & Schuknecht, Ludger, 2006, "Sovereign Risk Premiums in the European Government Bond Market," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich, number 151, May.
• Pilar Abad & Sonia Benito, 2006, "Valor en Riesgo en carteras de renta fija: una comparación entre modelos empíricos de la estructura temporal," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0604.
• Richard H. Clarida & Lucio Sarno & Mark P. Taylor & Giorgio Valente, 2006, "The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates," The Journal of Business, University of Chicago Press, volume 79, issue 3, pages 1193-1224, May, DOI: 10.1086/500674.
• J.Marcelo Ochoa, 2006, "An interpretation of an affine term structure model of Chile," Estudios de Economia, University of Chile, Department of Economics, volume 33, issue 2 Year 20, pages 155-184, December.
• John K. Ashton & Robert Hudson, 2006, "Interest Rate Clustering in UK Financial Services Markets," Working Paper series, University of East Anglia, Centre for Competition Policy (CCP), Centre for Competition Policy, University of East Anglia, Norwich, UK., number 2006-14, Oct.
• Tapas K. Mishra, 2006, "A Further Look into the Demography-based GDP Forecasting Method," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2006-17.
• Bevilacqua, Franco, 2006, "Random walks and cointegration relationships in international parity conditions between Germany and USA for the post Bretton-Woods period," MERIT Working Papers, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT), number 2006-012.
• Bevilacqua, Franco, 2006, "Random walks and cointegration relationships in international parity conditions between Germany and USA for the Bretton-Woods period," MERIT Working Papers, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT), number 2006-016.
• Ruby Shih & David E. A. Giles, 2006, "Modelling the Duration of Interest Rate Spells Under Inflation Targeting in Canada," Econometrics Working Papers, Department of Economics, University of Victoria, number 0605, Sep.
• Jansen, Pieter W., 2006, "Did capital market convergence lower the effectiveness of the interest rate as a monetary policy tool?," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0010.
• Jansen, Pieter W., 2006, "Low inflation, a high net savings surplus and institutional restrictions keep the Japanese long-term interest rate low," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0011.
• Leo Krippner, 2006, "A Yield Curve Perspective on Uncovered Interest Parity," Working Papers in Economics, University of Waikato, number 06/16, Dec.
• Tigran Poghosyan & Evzen Kocenda, 2006, "Foreign Exchange Risk Premium Determinants: Case of Armenia," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp811, Feb.
• Roman Horv??th, 2006, "Real-Time Time-Varying Equilibrium Interest Rates: Evidence on the Czech Republic," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp848, Oct.
• Bal??zs ??gert & Jesus Crespo-Cuaresma & Thomas Reininger, 2006, "Interest Rate Pass-Through in Central and Eastern Europe: Reborn from Ashes Merely to Pass Away?," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp851, Nov.
• Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2006, "A joint model for the term structure of interest rates and the macroeconomy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 21, issue 4, pages 439-462, May, DOI: 10.1002/jae.848.
• Markku Lanne, 2006, "Nonlinear dynamics of interest rate and inflation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 21, issue 8, pages 1157-1168, December, DOI: 10.1002/jae.908.
• Enlin Pan & Liuren Wu, 2006, "Taking Positive Interest Rates Seriously," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 14, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting".
• Kempa, Michal, 2006, "Money market volatility: a simulation study," Bank of Finland Research Discussion Papers, Bank of Finland, number 13/2006.
• Ravenna, Federico & Seppälä, Juha, 2006, "Monetary policy and rejections of the expectations hypothesis," Bank of Finland Research Discussion Papers, Bank of Finland, number 25/2006.
• Offermanns, Christian J. & Nautz, Dieter, 2006, "The dynamic relationship between the Euro overnight rate, the ECB´s policy rate and the term spread," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2006,01.
• Lemke, Wolfgang & Archontakis, Theofanis, 2006, "Bond pricing when the short term interest rate follows a threshold process," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2006,06.
• Bernoth, Kerstin & Wolff, Guntram B., 2006, "Fool the markets? Creative accounting, fiscal transparency and sovereign risk premia," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2006,19.
• Hallerberg, Mark & Wolff, Guntram B., 2006, "Fiscal institutions, fiscal policy and sovereign risk premia," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2006,35.
• Parpas, Panos & Rustem, Berc & Wieland, Volker & Zakovic, Stan, 2006, "Mean variance optimization of non-linear systems and worst-case analysis," CFS Working Paper Series, Center for Financial Studies (CFS), number 2006/03.
• Beck, Günter W. & Wieland, Volker, 2006, "Money in monetary policy design under uncertainty: The two-pillar Phillips curve versus ECB-style cross-checking," CFS Working Paper Series, Center for Financial Studies (CFS), number 2007/17.
• Beck, Günter W. & Wieland, Volker, 2006, "Money in monetary policy design under uncertainty: A formal characterization of ECB-style cross-checking," CFS Working Paper Series, Center for Financial Studies (CFS), number 2007/18.
• Belke, Ansgar & Polleit, Thorsten, 2006, "How the ECB and US Fed set interest rates," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 72.
• Berger, Helge & de Haan, Jakob & Sturm, Jan-Egbert, 2006, "Does money matter in the ECB strategy? New evidence based on ECB communication," Discussion Papers, Free University Berlin, School of Business & Economics, number 2006/1.
• Weber, Enzo, 2006, "British interest rate convergence between the US and Europe: A recursive cointegration analysis," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-005.
• Köhler, Matthias & Hommel, Judith & Grote, Matthias, 2006, "The Role of Banks in the Transmission of Monetary Policy in the Baltics," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 06-005.

2005

• Timothy Cogley, 2005, "Changing Beliefs and the Term Structure of Interest Rates: Cross-Equation Restrictions with Drifting Parameters," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 8, issue 2, pages 420-451, April, DOI: 10.1016/j.red.2005.01.004.
• Jean-Pascal Benassy, 2005, "Interest Rate Rules, Price Determinacy and the Value of Money in a non Ricardian World," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 8, issue 3, pages 651-667, July, DOI: 10.1016/j.red.2005.01.013.
• Andrew Ang & Sen Dong, 2005, "No-Arbitrage Taylor Rules," 2005 Meeting Papers, Society for Economic Dynamics, number 22.
• Christopher Phelan & Marco Bassetto, 2005, "Tax Riots," 2005 Meeting Papers, Society for Economic Dynamics, number 433.
• Juha Seppala & Federico Ravenna, 2005, "Monetary Policy and the Term Structure of Interest Rates," 2005 Meeting Papers, Society for Economic Dynamics, number 804.
• Marcio Gomes Pinto Garcia & Alexandre Lowenkron, 2005, "Cousin risks: the extent and the causes of positive correlation between country and currency risks," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 507, Sep.
• Konstantinos Drakos, 2005, "The Elasticity of Substitution across Maturities in International Capital Markets: A Simple Test," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 20, pages 727-745.
• Tao Wu & Glenn Rudebusch, 2005, "The Recent Shift in Term Structure Behavior from a No-Arbitrage Macro-Finance Perspective," Computing in Economics and Finance 2005, Society for Computational Economics, number 3, Nov.
• Refet Gürkaynak & Brian Sack, 2005, "Do Actions Speak Louder Than Words?The Response of Asset Prices to Monetary Policy Actions and Statements," Computing in Economics and Finance 2005, Society for Computational Economics, number 323, Nov.
• Wolfgang Lemke, 2005, "Using a Nonlinear Filter to Estimate a Multifactor Term Structure Model with Gaussian Mixture Innovations," Computing in Economics and Finance 2005, Society for Computational Economics, number 341, Nov.
• Min Wei & Stefania D'Amico & Don H. Kim, 2005, "TIPS: Taking Inflation Premium Seriously," Computing in Economics and Finance 2005, Society for Computational Economics, number 363, Nov.
• Bovorn Vichiansin, 2005, "Bond Yield Predictability and Estimation of Affine Term Structure Models," Computing in Economics and Finance 2005, Society for Computational Economics, number 390, Nov.
• A. Onatski & V. Karguine, 2005, "Curve Forecasting by Functional Autoregression," Computing in Economics and Finance 2005, Society for Computational Economics, number 59, Nov.
• Christina Gerberding & Franz Seitz & Andreas Worms, 2005, "How the Bundesbank really conducted monetary policy," Computing in Economics and Finance 2005, Society for Computational Economics, number 60, Nov.
• Albert Lee Chun, 2005, "Expectations, Bond Yields and Monetary Policy," Discussion Papers, Stanford Institute for Economic Policy Research, number 04-023, Jun, revised Nov 2010.
• Günter Coenen, 2005, "Asymptotic confidence bands for the estimated autocovariance and autocorrelation functions of vector autoregressive models," Empirical Economics, Springer, volume 30, issue 1, pages 65-75, January, DOI: 10.1007/s00181-004-0214-8.
• Teresa Corzo Santamaría & Javier Gómez Biscarri, 2005, "Nonparametric estimation of convergence of interest rates: Effects on bond pricing," Spanish Economic Review, Springer;Spanish Economic Association, volume 7, issue 3, pages 167-190, September, DOI: 10.1007/s10108-004-0094-2.
• Oscar Bajo-Rubio & Carmen Diaz-Roldan & Vicente Esteve, 2005, "Is the Fisher effect non-linear? some evidence for Spain, 1963-2002," Applied Financial Economics, Taylor & Francis Journals, volume 15, issue 12, pages 849-854, DOI: 10.1080/09603100500123187.
• Koijen, R.S.J. & Nijman, T.E. & Werker, B.J.M., 2005, "Labor Income and the Demand for Long-term Bonds," Discussion Paper, Tilburg University, Center for Economic Research, number 2005-95.
• Eijffinger, S.C.W. & Tesfaselassie, M.F., 2005, "Central Bank Forecasts and Disclosure Policy : Why it Pays to be Optimistic," Other publications TiSEM, Tilburg University, School of Economics and Management, number 7f9abf44-b1ec-45ff-88c4-7.