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

• 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 Peru]," 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

• Karel Brůna, 2005, "Mechanismus stabilizace ultrakrátkých úrokových sazeb prostřednictvím repo operací České národní banky
  [The stabilization mechanism of ultra short-term interest rates in the context of Czech national bank's repo tenders]," Politická ekonomie, Prague University of Economics and Business, volume 2005, issue 4, pages 459-476, DOI: 10.18267/j.polek.517.
• Terenzio Cozzi, 2005, "Una rivisitazione delle teorie di Modigliani sulla finanza," Moneta e Credito, Economia civile, volume 58, issue 230-231, pages 233-254.
• 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.
• Nobuyuki Oda & Kazuo Ueda, 2005, "The Effects of the Bank of Japan's Zero Interest Rate Commitment and Quantitative Monetary Easing on the Yield Curve: A Macro-Finance Approach," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-336, Apr.
• Naohiko Baba & Motoharu Nakashima & Yosuke Shigemi & Kazuo Ueda, 2005, "The Bank of Japan's Monetary Policy and Bank Risk Premiums in the Money Market," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-339, Apr.
• Naohiko Baba & Motoharu Nakashima & Yousuke Shigemi & Kazuo Ueda, 2005, "The Bank of Japan's Monetary Policy and Bank Risk Premiums in the Money Market," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-374, Sep.
• Nobuhiro Kiyotaki & John Moore, 2005, "Financial Deepening," Journal of the European Economic Association, MIT Press, volume 3, issue 2-3, pages 701-713, 04/05.
• Alberto Alesina & Silvia Ardagna & Giuseppe Nicoletti & Fabio Schiantarelli, 2005, "Regulation And Investment," Journal of the European Economic Association, MIT Press, volume 3, issue 4, pages 791-825, June.
• Benjamin Ford & Karen Taylor, 2005, "Recent developments in Australian bond yields," Economic Roundup, The Treasury, Australian Government, issue 4, pages 111-120, December.
• Eduardo Levy Yeyati, 2005, "Financial Dollarisation: Evaluating The Consequences," Business School Working Papers, Universidad Torcuato Di Tella, number findollarisation.
• Seonghoon Cho & Antonio Moreno & Geert Bekaert, 2005, "New-Keynesian Macroeconomics and the Term Structure," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 04/05, Apr.
• Candelon, B. & Cubadda, G., 2005, "Testing for parameter stability in dynamic models across frequencies," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 021, Jan, DOI: 10.26481/umamet.2005021.
• Bruinshoofd, W.A. & Candelon, B. & Raabe, K., 2005, "Banking sector strength and the transmission of currency crises," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 022, Jan, DOI: 10.26481/umamet.2005022.
• Elisa Alòs & Christian-Olivier Ewald, 2005, "A note on the Malliavin differentiability of the Heston volatility," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 880, Aug.
• Carl Chiarella & Thuy-Duong To, 2005, "The Multifactor Nature of the Volatility of the Eurodollar Futures Market," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 150, Jan.
• Carl Chiarella & Hing Hung & Thuy-Duong To, 2005, "The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 151, Jan.
• Carl Chiarella & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2005, "A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 167, Sep.
• Leo Krippner, 2005, "An Intertemporally-Consistent and Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models," Working Papers in Economics, University of Waikato, number 05/01, Jan.
• Leo Krippner, 2005, "Investigating the Relationships between the Yield Curve, Output and Inflation using an Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models," Working Papers in Economics, University of Waikato, number 05/02, Feb.
• Leo Krippner, 2005, "Attributing Returns and Optimising United States Swaps Portfolios Using an Intertemporally-Consistent and Arbitrage-Free Model of the Yield Curve," Working Papers in Economics, University of Waikato, number 05/03, Mar.
• Leo Krippner, 2005, "A New Framework for Yield Curve, Output and Inflation Relationships," Working Papers in Economics, University of Waikato, number 05/07, Dec.
• Lucjan T. Orlowski & Kirsten Lommatzsch, 2005, "Bond Yield Compression in the Countries Converging to the Euro," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp799, Oct.
• Marc Henrard, 2005, "Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches," Finance, University Library of Munich, Germany, number 0505023, May.
• Angelo Baglioni & Andrea Monticini, 2005, "The intraday price of money: evidence from the e-MID market," Finance, University Library of Munich, Germany, number 0507020, Jul.
• Karlo Kauko, 2005, "Bank interest rates in a small European economy: Some exploratory macro level analyses using Finnish data," Finance, University Library of Munich, Germany, number 0508020, Aug.
• Georg Mosburger & Paul Schneider, 2005, "Modelling International Bond Markets with Affine Term Structure Models," Finance, University Library of Munich, Germany, number 0509003, Sep.
• Marc Henrard, 2005, "Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures," Finance, University Library of Munich, Germany, number 0509027, Sep.
• Marc Henrard, 2005, "Libor Market Model and Gaussian HJM explicit approaches to option on composition," Finance, University Library of Munich, Germany, number 0511016, Nov, revised 07 Dec 2005.
• Albert Lee Chun, 2005, "Expectations, Bond Yields and Monetary Policy," Finance, University Library of Munich, Germany, number 0512006, Dec.
• Gunther Schnabl & Christian Danne, 2005, "The Changing Role of the Yen/Dollar Exchange Rate for Japanese Monetary Policy," International Finance, University Library of Munich, Germany, number 0503001, Mar.
• Alicia Garcia Herrero & Alvaro Ortiz, 2005, "The Role Of Global Risk Aversion In Explaining Latin American Sovereign Spreads," International Finance, University Library of Munich, Germany, number 0503005, Mar.
• David Navrátil & Viktor Kotlán, 2005, "The CNB’s Policy Decisions – Are They Priced in by the Markets?," Macroeconomics, University Library of Munich, Germany, number 0503005, Mar.
• Juan Paez-Farrell, 2005, "Interest Rate Rules and the Response to the Output Gap," Macroeconomics, University Library of Munich, Germany, number 0503016, Mar.
• Andrea Monticini & Giacomo Vaciago, 2005, "Are Europe's Interest Rates led by FED Announcements?," Macroeconomics, University Library of Munich, Germany, number 0507022, Jul.
• Dionysios Chionis & Costas Leon, 2005, "Modeling Interest Rate Transmission Dynamics In Greece. Is There Any Structural Break After Emu?," Macroeconomics, University Library of Munich, Germany, number 0509016, Sep.
• Joerg Bibow, 2005, "Liquidity Preference Theory Revisited—To Ditch or to Build on It?," Method and Hist of Econ Thought, University Library of Munich, Germany, number 0508003, Aug.
• Shu Wu & Yong Zeng, 2005, "A General Equilibrium Model Of The Term Structure Of Interest Rates Under Regime-Switching Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 07, pages 839-869, DOI: 10.1142/S0219024905003323.
• A G Malliaris, 2005, "Economic Uncertainty, Instabilities and Asset Bubbles:Selected Essays," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 5864, ISBN: ARRAY(0x5419b3f8).
• Fwu-Ranq Chang & A. G. Malliaris, 2005, "Asymptotic Growth under Uncertainty: Existence and Uniqueness," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• A. G. Malliaris & Jorge L. Urrutia, 2005, "How big is the random walk in macroeconomic time series: Variance ratio tests," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• A. G. Malliaris & Jorge L. Urrutia, 2005, "An empirical investigation among real, monetary and financial variables," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• A. G. Malliaris & Walter F. Mullady & M. E. Malliaris, 2005, "Interest rates and inflation: A continuous time stochastic approach," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• A. G. Malliaris & Mary E. Malliaris, 2005, "Decomposition of Inflation and its Volatility: A Stochastic Approach," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• A. G. Malliaris, 2005, "Several Illustrations of the Quantity Theory of Money: 1947–1987 and 1867–1975," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• A. G. Malliaris & Silvana Stefani, 2005, "Money, inflation and interest rates: Illustrations from twelve European economies," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• A. G. Malliaris & Jerome L. Stein, 2005, "Methodological issues in asset pricing: Random walk or chaotic dynamics," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• George C. Philippatos & Efi Pilarinu & A. G. Malliaris, 2005, "Chaotic Behavior in Prices of European Equity Markets: A Comparative Analysis of Major Economic Regions," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 9, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• A. G. Malliaris & Jorge L. Urrutia, 2005, "European Stock Market Fluctuations: Short And Long Term Links," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• Marco Corazza & A. G. Malliaris, 2005, "Multi-Fractality in Foreign Currency Markets," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 11, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• Ramaprasad Bhar & A. G. Malliaris, 2005, "Are There Rational Bubbles In The U.S Stock Market? Overview And A New Test," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 12, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• Marc D. Hayford & A. G. Malliaris, 2005, "Is The Federal Reserve Stock Market Bubble-Neutral?," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 13, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• M. D. Hayford & A. G. Malliaris, 2005, "How did the Fed react to the 1990s stock market bubble? Evidence from an extended Taylor rule," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 14, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• Marc D. Hayford & A. G. Malliaris, 2005, "Monetary Policy And The U.S. Stock Market," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 15, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• A. G. Malliaris & Jorge L. Urrutia, 2005, "The International Crash of October 1987: Causality Tests," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 16, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• A. G. Malliaris & Jorge L. Urrutia, 2005, "The Impact Of The Persian Gulf Crisis On National Equity Markets," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 17, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• A. G. Malliaris & Jorge L. Urrutia, 2005, "Oil And World Stock Markets' Reaction To The Gulf Crisis," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 18, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• Jorge Urrutia & A. G. Malliaris, 2005, "Equity And Oil Markets Under External Shocks," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 19, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• A. G. Malliaris, 2005, "Global monetary instability: The role of the IMF, the EU and NAFTA," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 20, "Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays".
• Kauko, Karlo, 2005, "Bank interest rates in a small European economy: Some exploratory macro level analyses using Finnish data," Bank of Finland Research Discussion Papers, Bank of Finland, number 9/2005.
• Bjørnland, Hilde C. & Leitemo, Kai, 2005, "Identifying the interdependence between US monetary policy and the stock market," Bank of Finland Research Discussion Papers, Bank of Finland, number 17/2005.
• Blaskowitz, Oliver J. & Herwartz, Helmut & de Cadenas Santiago, Gonzalo, 2005, "Modeling the FIBOR/EURIBOR Swap Term Structure: An Empirical Approach," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2005-04.
• Blaskowitz, Oliver J. & Herwartz, Helmut & Cadenas Santiago, Gonzalo de, 2005, "Modeling the FIBOR/EURIBOR swap term structure: An empirical approach," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-024.
• Clostermann, Jörg & Seitz, Franz, 2005, "Are bond markets really overpriced: The case of the US," Arbeitsberichte – Working Papers, Technische Hochschule Ingolstadt (THI), number 11.
• Schnabl, Gunther & Danne, Christian, 2005, "The Changing Role of the Yen/Dollar Exchange Rate for Japanese Monetary Policy," Tübinger Diskussionsbeiträge, University of Tübingen, School of Business and Economics, number 290.
• Heinemann, Friedrich & Ullrich, Katrin, 2005, "Does it Pay to Watch Central Bankers' Lips? The Information Content of ECB Wording," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 05-70.
• Alan J. Auerbach & Maurice Obstfeld, 2005, "The Case for Open-Market Purchases in a Liquidity Trap," American Economic Review, American Economic Association, volume 95, issue 1, pages 110-137, March, DOI: 10.1257/0002828053828473.
• Pedro Gomes & Pedro Bom & Pedro Leão, 2005, "The Effect Of Labour Share On The Natural Rate Of Interest: Some Empirical Evidence," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33rd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 026.
• Fernando M. Gonçalves & Márcio Holland & Andrei D. Spacov, 2005, "Can Jurisdictional Uncertainty And Capital Controls Explain The High Level Of Real Interest Rates In Brazil? Evidence From Panel Data," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33rd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 028.
• Halid Konjhodžic & Tonci Svilokos, 2005, "The Management Of Interest Rate Risk In Small And Medium Banks," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
• René Garcia & Richard Luger, 2005, "The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach," Staff Working Papers, Bank of Canada, number 05-36, DOI: 10.34989/swp-2005-36.
• Ladislav Wintr & Paolo Guarda & Abdelaziz Rouabah, 2005, "Estimating the natural interest rate for the euro area and Luxembourg," BCL working papers, Central Bank of Luxembourg, number 15, Jun.
• Alicia García-Herrero & Álvaro Ortiz, 2005, "The role of global risk aversion in explaining Latin American sovereign spreads," Working Papers, Banco de España, number 0505, Feb.
• Leonardo Gambacorta & Simonetta Iannotti, 2005, "Are there asymmetries in the response of bank interest rates monetary shocks?," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 566, Nov.