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

2004

• Óscar Bajo Rubio & Carmen Díaz Roldán & Vicente Esteve, 2004, "Is the Fisher Effect Nonlinear? Some Evidence for Spain, 1963-2002," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number E2004/05.
• Jesús Vázquez, 2004, "Switching Regimes in the Term Structure of Interest Rates During U.S. Post-War: A case for the Lucas proof equilibrium?," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number E2004/11.
• Martin Vojtek, 2004, "Calibration of Interest Rate Models - Transition Market Case," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp237, Sep.
• Luis Óscar Herrera & Rodrigo O. Valdés, 2004, "Dedollarization, Indexation and Nominalization: The Chilean Experience," Working Papers Central Bank of Chile, Central Bank of Chile, number 261, May.
• Bronka Rzepkowski, 2004, "Speculating on the Yuan," La Lettre du CEPII, CEPII research center, issue 234.
• Arman Mansoorian & Mohammed Mohsin, 2004, "Monetary policy in a cash-in-advance economy: employment, capital accumulation, and the term structure of interest rates," Canadian Journal of Economics, Canadian Economics Association, volume 37, issue 2, pages 336-352, May.
• Luis Eduardo Arango & Luz Adriana Fl�rez, 2004, "Expectativas De Actividad Econ�Mica En Colombia Y Estructura A Plazo: Un Poco M�S De Evidencia," Borradores de Economia, Banco de la Republica, number 2692, Aug.
• Luis Eduardo Arango & Luz Adriana Fl�rez, 2004, "Expectativas De Actividad Económica En Colombia Y Estructura A Plazo: Un Poco Más De Evidencia," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 22, issue 47, pages 126-160, DOI: 10.32468/Espe.4704.
• Ignacio V√©lez-Pareja, 2004, "Tasas de inter√©s efectivas y nominales: el calvario de los estudiantes de finanzas," Proyecciones Financieras y Valoración, Master Consultores, number 3541, Feb.
• Driffill, John & Sola, Martin & Kenc, Turalay & Spagnolo, Fabio, 2004, "On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4165, Jan.
• Schaling, Eric & Eijffinger, Sylvester & Tesfaselassie, Mewael F., 2004, "Heterogenous Information About the Term Structure of Interest Rates, Least-Squares Learning and Optimal Interest Rate Rules," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4279, Mar.
• Favero, Carlo A. & Carriero, Andrea & Kaminska, Iryna, 2004, "Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4301, Mar.
• Hardouvelis, Gikas & Malliaropoulos, Dimitrios, 2004, "The Yield Spread as a Symmetric Predictor of Output and Inflation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4314, Mar.
• Ellingsen, Tore & Söderström, Ulf, 2004, "Why are Long Rates Sensitive to Monetary Policy?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4360, Apr.
• Nyborg, Kjell & Strebulaev, Ilya & Bindseil, Ulrich, 2004, "Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4367, Apr.
• Auerbach, Alan & Obstfeld, Maurice, 2004, "The Case for Open-Market Purchases in a Liquidity Trap," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4447, Jun.
• von Hagen, Jurgen & Schuknecht, Ludger & Bernoth, Kerstin, 2004, "Sovereign Risk Premia in the European Bond Market," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4465, Jul.
• Kugler, Peter & Weder di Mauro, Beatrice, 2004, "International Portfolio Holdings and Swiss Franc Asset Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4467, Jul.
• Bekaert, Geert & Ang, Andrew, 2004, "The Term Structure of Real Rates and Expected Inflation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4518, Aug.
• Sarno, Lucio & Thornton, Daniel L & Valente, Giorgio, 2004, "Federal Funds Rate Prediction," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4587, Sep.
• Gerlach, Stefan, 2004, "Interest Rate Setting by the ECB: Words and Deeds," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4775, Dec.
• Thomas Quint & Martin Shubik, 2004, "A Consumable Money. An Elementary Discussion of Commodity Money, Fiat Money and Credit: Part I," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1455, Mar.
• Thomas Quint & Martin Shubik, 2004, "Gold, Fiat and Credit. An Elementary Discussion of Commodity Money, Fiat Money and Credit, Part II," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1460, Apr.
• Ehrmann, Michael & Fratzscher, Marcel, 2004, "Equal size, equal role? Interdependence between the euro area and the United States," Working Paper Series, European Central Bank, number 342, Apr.
• Schuknecht, Ludger & von Hagen, Jürgen & Bernoth, Kerstin, 2004, "Sovereign risk premia in the European government bond market," Working Paper Series, European Central Bank, number 369, Jun.
• Bindseil, Ulrich, 2004, "The operational target of monetary policy and the rise and fall of reserve position doctrine," Working Paper Series, European Central Bank, number 372, Jun.
• Moschitz, Julius, 2004, "The determinants of the overnight interest rate in the euro area," Working Paper Series, European Central Bank, number 393, Sep.
• Tristani, Oreste & Vestin, David & Hördahl, Peter, 2004, "A joint econometric model of macroeconomic and term structure dynamics," Working Paper Series, European Central Bank, number 405, Nov.
• Keith R. McLaren & H. Youn Kim & Russel J. Cooper, 2004, "Intertemporal Consumption and Consumer Demand," Econometric Society 2004 Australasian Meetings, Econometric Society, number 152, Aug.
• Thuy Duong To & Carl Chiarella, 2004, "Estimation of the Volatility Structure of the Fixed Income Market," Econometric Society 2004 Australasian Meetings, Econometric Society, number 219, Aug.
• Farshid Vahid & Lin Luo, 2004, "Forecasting Australian GDP Growth Using Coefficients Constrained by A Term Structure Model," Econometric Society 2004 Australasian Meetings, Econometric Society, number 232, Aug.
• Dong Heon Kim, 2004, "Nonlinearity in the Term Structure," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 440, Aug.
• Hibiki Ichiue, 2004, "Why Can the Yield Curve Predict Output Growth, Inflation, and Interest Rates? An Analysis with Affine Term Structure Model," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 581, Aug.
• R. Valdes & L.O. Herrera, 2004, "Dedollarization, Indexation and Nominalization: the Chilean experience," Econometric Society 2004 Latin American Meetings, Econometric Society, number 183, Aug.
• Eduardo Levy-Yeyati, 2004, "FINANCIAL DOLLARIZATION: Evaluating the consequences," Econometric Society 2004 Latin American Meetings, Econometric Society, number 184, Aug.
• Jonathan Kearns & Ricardo J. Caballero & Kevin Cowan, 2004, "Fear of Sudden Stops: lessons from Australia and Chile," Econometric Society 2004 Latin American Meetings, Econometric Society, number 185, Aug.
• Marcio Garcia & Alexandre Lowenkron, 2004, "Cousin Risks: The Extent and the Causes of Positive Correlation between Country and Currency Risks," Econometric Society 2004 Latin American Meetings, Econometric Society, number 68, Aug.
• Michael Bordo & Joseph Haubrich, 2004, "The Yield Curve, Recession and the Credibility of the Monetary Regime: long run evidence 1875-1997," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 165, Aug.
• Alexei Onatski & Slava Kargin, 2004, "Dynamics of Interest Rate Curve by Functional Auto-regression," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 229, Aug.
• Peter Tillmann, 2004, "Cointegration and Regime-Switching Risk Premia in the US Term Structure of Interest Rates," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 26, Aug.
• Yong Zeng & Shu Wu, 2004, "A General Equilibrium Model of the Term Structure of Interest Rates under Regime-switching Risk," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 304, Aug.
• Peter Hoerdahl & Oreste Tristani, 2004, "A joint econometric model of macroeconomic and term structure dynamics," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 379, Aug.
• Alexandre Cunha, 2004, "The Friedman Rule in a Two Sector Small Open Economy," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 530, Aug.
• Mewael Tesfaselassie & Eric Schaling & Sylvester Eijffinger, 2004, "Heterogeneous Information about the Term Structure of Interest Rates, Least-Squares Learning and Optimal Interest Rate Rules for Inflation Forecast Targeting," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 78, Aug.
• Jun Yu & Peter Phillips, 2004, "Jackknifing Bond Option Prices," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 115, Aug.
• Martin Barbie & Marcus Hagedorn, 2004, "On the Feasibility of Debt Ponzi Schemes - A Bond Portfolio Approach," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 541, Aug.
• Giordani, Paolo & Soderlind, Paul, 2004, "Solution of macromodels with Hansen-Sargent robust policies: some extensions," Journal of Economic Dynamics and Control, Elsevier, volume 28, issue 12, pages 2367-2397, December.
• Valadkhani, Abbas, 2004, "Does the Term Structure Predict Australia's Future Output Growth?," Economic Analysis and Policy, Elsevier, volume 34, issue 2, pages 121-144, September.
• Repullo, Rafael & Suarez, Javier, 2004, "Loan pricing under Basel capital requirements," Journal of Financial Intermediation, Elsevier, volume 13, issue 4, pages 496-521, October.

2003

• Antzoulatos, Angelos A. & Wilfling, Bernd, 2003, "Exchange and Interest Rates prior to EMU: The Case of Greece," Discussion Paper Series, Hamburg Institute of International Economics, number 26325, DOI: 10.22004/ag.econ.26325.
• Emilio Barucci & Claudio Impenna & Roberto Reno, 2003, "The Italian overnight market: microstructure effects, the martingale hypothesis and the payment system," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 475, Jun.
• Luis Eduardo Arango & María Angélica Arosemena, 2003, "El Tramo Corto de la Estructura a Plazo como predictor de Expectativas de Inflación en Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 264, Oct, DOI: 10.32468/be.264.
• Bernd Wilfling, 2003, "Interest Rate Volatility Prior to Monetary Union under Alternative Pre‐Switch Regimes," German Economic Review, Verein für Socialpolitik, volume 4, issue 4, pages 433-457, November, DOI: 10.1111/j.1465-6485.2003.00088.x.
• Luis Fernando Escobar Patiño, 2003, "Efectos de las variaciones del tipo de cambio sobre las actividades de intermediación financiera de Bolivia 1990-2003," Revista de Análisis del BCB, Banco Central de Bolivia, volume 6, issue 1, pages 73-121, June.
• Thanasis N. Christodoulopoulos & Ioulia Grigoratou, 2003, "The Effect of Dynamic Hedging of Options Positions on Intermediate-Maturity Interest Rates," Working Papers, Bank of Greece, number 08, Dec.
• Wilfling Bernd, 2003, "Interest Rate Volatility Prior to Monetary Union under Alternative Pre-Switch Regimes," German Economic Review, De Gruyter, volume 4, issue 4, pages 433-457, December, DOI: 10.1111/j.1465-6485.2003.00088.x.
• Benjamin Miranda Tabak & Sandro Canesso de Andrade, 2003, "Testing the Expectations Hypothesis in the Brazilian Term Structure of Interest Rates," Brazilian Review of Finance, Brazilian Society of Finance, volume 1, issue 1, pages 19-43.
• Oscar Bajo-Rubio & Carmen Díaz-Roldán & Vicente Esteve, 2003, "Testing the Fisher Effect in the Presence of Structural Change: A Case Study of the UK,1961-2001," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number E2003_22.
• Mathias Hoffmann & Ronald MacDonald, 2003, "A Re-examination of the Link between Real Exchange Rates and Real Interest Rate Differentials," CESifo Working Paper Series, CESifo, number 894.
• Rafael Repullo & Javier Suarez, 2003, "Loan Pricing Under Basel Capital Requirements," Working Papers, CEMFI, number wp2003_0308.
• Luis Eduardo Arango & Ang�lica Mar�a Arosemena, 2003, "El tramo Corto de la Estructura a Plazo como predictor de Expectativas de Inflaci�n en Colombia," Borradores de Economia, Banco de la Republica, number 2558, Oct.
• Luis Eduardo Arango & Luz Adriana Fl�rez & Ang�lica Mar�a Arosemena, 2003, "El tramo corto de la estructura a plazo como predictor de expectativas de la actividad econ�mica en Colombia," Borradores de Economia, Banco de la Republica, number 2559, Oct.
• Luis Eduardo Arango & Luis Fernando Melo & Diego Mauricio V�squez, 2003, "Estimación de la estructura a plazo de las tasas de interés en Colombia," Coyuntura Económica, Fedesarrollo, volume 33, issue 1, pages 51-76.
• Michiel van Leuvensteijn & Wolter Hassink, 2003, "Price-setting and price dispersion in the Dutch mortgage market," CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis, number 21, Sep.
• Repullo, Rafael & Suarez, Javier, 2003, "Loan Pricing Under Basel Capital Requirements," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3917, May.
• Farmer, Roger & Beyer, Andreas, 2003, "Identifying the Monetary Transmission Mechanism Using Structural Breaks," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4106, Nov.
• Voth, Hans-Joachim, 2003, "With a Bang, not a Whimper: Pricking Germany's “Stock Market Bubble” in 1927 and the Slide into Depression," The Journal of Economic History, Cambridge University Press, volume 63, issue 1, pages 65-99, March.
• Driessen, Joost & Klaassen, Pieter & Melenberg, Bertrand, 2003, "The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 38, issue 3, pages 635-672, September.
• Neiss, Katharine S. & Nelson, Edward, 2003, "The Real-Interest-Rate Gap As An Inflation Indicator," Macroeconomic Dynamics, Cambridge University Press, volume 7, issue 2, pages 239-262, April.
• Peter C.B. Phillips & Jun Yu, 2003, "Jackknifing Bond Option Prices," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1392, Jan.
• John Geanakoplos, 2003, "The Ideal Inflation Indexed Bond and Irving Fisher's Impatience Theory of Interest in an Overlapping Generations World," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1429, Jul.
• N R Bhanumurthy & Shashi Agarwal, 2003, "Interest - Rate Price Nexus in India," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 38, issue 2, pages 189-203, July.
• Würtz, Flemming Reinhardt, 2003, "A comprehensive model on the euro overnight rate," Working Paper Series, European Central Bank, number 207, Jan.
• Durré, Alain & Evjen, Snorre & Pilegaard, Rasmus, 2003, "Estimating risk premia in money market rates," Working Paper Series, European Central Bank, number 221, Apr.
• Cassola, Nuno & Morana, Claudio, 2003, "Volatility of interest rates in the euro area: evidence from high frequency data," Working Paper Series, European Central Bank, number 235, Jun.
• Ehrmann, Michael & Backé, Peter, 2003, "Monetary policy transmission in the euro area: any changes after EMU?," Working Paper Series, European Central Bank, number 240, Jul.
• Ejerskov, Steen & Martin Moss, Clara & Stracca, Livio, 2003, "How does the ECB allot liquidity in its weekly main refinancing operations? A look at the empirical evidence," Working Paper Series, European Central Bank, number 244, Jul.
• Bruggeman, Annick & Donnay, Marie, 2003, "A monthly monetary model with banking intermediation for the euro area," Working Paper Series, European Central Bank, number 264, Sep.
• Castelnuovo, Efrem & Rodriguez-Palenzuela, Diego & Nicoletti Altimari, Sergio, 2003, "Definition of price stability, range and point inflation targets: the anchoring of long-term inflation expectations," Working Paper Series, European Central Bank, number 273, Sep.
• Vestin, David & Hördahl, Peter, 2003, "Interpreting implied risk-neutral densities: the role of risk premia," Working Paper Series, European Central Bank, number 274, Sep.
• Beyer, Andreas & Farmer, Roger E. A., 2003, "Identifying the monetary transmission mechanism using structural breaks," Working Paper Series, European Central Bank, number 275, Sep.
• Cassola, Nuno & Ejerskov, Steen & Ewerhart, Christian & Valla, Natacha, 2003, "Optimal allotment policy in the Eurosystem's main refinancing operations," Working Paper Series, European Central Bank, number 295, Dec.
• Kenc, Turalay & John Driffill & Martin Sola, 2003, "An Empirical Examination of Term Structure Models with Regime Shifts," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 119, Jun.
• Sarno, Lucio & Daniel l Thornton & Giorgio Valente, 2003, "Federal Funds Rate Prediction," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 183, Jun.
• To, Thuy Duong & Carl Chiarella, 2003, "The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 205, Jun.
• Martin D. D. Evans, 2003, "Real risk, inflation risk, and the term structure," Economic Journal, Royal Economic Society, volume 113, issue 487, pages 345-389, April.
• Juan Ayuso & Rafael Repullo, 2003, "A Model of the Open Market Operations of the European Central Bank," Economic Journal, Royal Economic Society, volume 113, issue 490, pages 883-902, October.
• Seo, Byeongseon, 2003, "Nonlinear mean reversion in the term structure of interest rates," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 11, pages 2243-2265, DOI: 10.1016/S0165-1889(02)00124-0.
• Bams, Dennis & Wolff, Christian C. P., 2003, "Risk premia in the term structure of interest rates: a panel data approach," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 13, issue 3, pages 211-236, July.
• Prati, Alessandro & Bartolini, Leonardo & Bertola, Giuseppe, 2003, "The overnight interbank market: Evidence from the G-7 and the Euro zone," Journal of Banking & Finance, Elsevier, volume 27, issue 10, pages 2045-2083, October.
• Sarno, Lucio & Thornton, Daniel L., 2003, "The dynamic relationship between the federal funds rate and the Treasury bill rate: An empirical investigation," Journal of Banking & Finance, Elsevier, volume 27, issue 6, pages 1079-1110, June.
• Driessen, Joost & Melenberg, Bertrand & Nijman, Theo, 2003, "Common factors in international bond returns," Journal of International Money and Finance, Elsevier, volume 22, issue 5, pages 629-656, October.
• Gerlach, Stefan, 2003, "Interpreting the term structure of interbank rates in Hong Kong," Pacific-Basin Finance Journal, Elsevier, volume 11, issue 5, pages 593-609, November.
• T. Windsor Fields & William R. Hart, 2003, "Bridging the Gap between the Interest Rate and Price Level Approaches in the AD-AS Model: The Role of the Loanable Funds Market," Eastern Economic Journal, Eastern Economic Association, volume 29, issue 3, pages 377-390, Summer.
• Adrienne A. Kearney, 2003, "The Changing Probability of a Monetary Policy Response to Inflation and Employment Announcements," Eastern Economic Journal, Eastern Economic Association, volume 29, issue 4, pages 565-574, Fall.
• Flávio Vieira & Márcio Holland, 2003, "Country risk endogeneity, capital flows and capital controls in Brazil," Brazilian Journal of Political Economy, Center of Political Economy, volume 23, issue 1, pages 12-38.
• Alicia Gacía Herrero & César Martín Machuca, 2003, "La política monetaria en Japón: lecciones a extraer en la comparación con la de los EE.UU," EKONOMIAZ. Revista vasca de Economía, Gobierno Vasco / Eusko Jaurlaritza / Basque Government, volume 52, issue 01, pages 26-53.
• Angel Ubide, 2003, "La trampa estructural de Japón. Lecciones para Europa y Estados Unidos," EKONOMIAZ. Revista vasca de Economía, Gobierno Vasco / Eusko Jaurlaritza / Basque Government, volume 52, issue 01, pages 54-73.
• David Cano Martínez, 2003, "Experiencias y herramientas para anticipar y curar la deflación. ¿Qué puede hacer un banco central?," EKONOMIAZ. Revista vasca de Economía, Gobierno Vasco / Eusko Jaurlaritza / Basque Government, volume 52, issue 01, pages 128-153.
• Castellanos, Sara Gabriela & Camero, Eduardo, 2003, "¿Qué información acerca de las tasas de interés spot futuras contiene la estructura temporal de tasas de interés en México?," El Trimestre Económico, Fondo de Cultura Económica, volume 70, issue 278, pages 343-369, abril-jun.
• Dewachter, H.D.R. & Lyrio, M., 2003, "Macro factors and the Term Structure of Interest Rates," 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-2003-037-F&A, Apr.
• Annick Bruggeman & Marie Donnay, 2003, "A Monthly Monetary Model with Banking Intermediation for the Euro Area," Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven, number ces0309, Mar.
• Eric M. Leeper & Jennifer E. Roush, 2003, "Putting \\"M\\" back in monetary policy," Proceedings, Federal Reserve Bank of Cleveland, pages 1217-1264.
• Alan J. Auerbach & Maurice Obstfeld, 2003, "The case for open-market purchases in a liquidity trap," Proceedings, Federal Reserve Bank of San Francisco, issue mar.
• Kevin J. Lansing & Bharat Trehan, 2003, "Forward-Looking Behavior and the Optimality of the Taylor Rule," Working Paper Series, Federal Reserve Bank of San Francisco, number 2001-03, Feb, DOI: 10.24148/wp2001-03.
• Tao Wu, 2003, "Monetary Policy and the Slope Factors in Empirical Term Structure Estimations," Working Paper Series, Federal Reserve Bank of San Francisco, number 2002-07, Aug, DOI: 10.24148/wp2002-07.
• Glenn D. Rudebusch & Tao Wu, 2003, "A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economy," Working Paper Series, Federal Reserve Bank of San Francisco, number 2003-17, Dec, DOI: 10.24148/wp2003-17.
• Eric M. Leeper & Jennifer E. Roush, 2003, "Putting \"M\" back in monetary policy," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 761.
• Michael Ehrmann & Marcel Fratzscher, 2003, "Interdependence between the Euro area and the U.S.: what role for EMU?," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
• Sharon Kozicki & Peter A. Tinsley, 2003, "Permanent and transitory policy shocks in an empirical macro model with asymmetric information," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 03-09.
• Daniel L. Thornton, 2003, "Testing the expectations hypothesis: some new evidence for Japan," Working Papers, Federal Reserve Bank of St. Louis, number 2003-033, DOI: 10.20955/wp.2003.033.
• Leonardo Bartolini & Alessandro Prati, 2003, "The execution of monetary policy: a tale of two central banks," Staff Reports, Federal Reserve Bank of New York, number 165.
• Leonardo Bartolini & Alessandro Prati, 2003, "Cross-country differences in monetary policy execution and money market rates' volatility," Staff Reports, Federal Reserve Bank of New York, number 175, Oct.
• Grégory Levieuge, 2003, "Règle de Taylor vs Règle-ICM : Application à la Zone Euro," Post-Print, HAL, number halshs-00258312.
• Björk, Tomas, 2003, "On the Geometry of Interest Rate Models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 545, Nov.
• Gollier, Christian & Zeckhauser, Richard, 2003, "Collective Investment Decision Making with Heterogeneous Time Preferences," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 198.
• Magdalena Massot Perelló & Juan M. Nave Pineda, 2003, "La hipótesis de las expectativas en el largo plazo: evidencia en el mercado español de deuda pública," Investigaciones Economicas, Fundación SEPI, volume 27, issue 3, pages 533-564, September.
• Sara G. Castellanos & Eduardo Camero, 2003, "La estructura temporal de tasas de interés en México: ¿Puede predecir la actividad económica futura?," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, volume 18, issue 2, pages 33-66, December.
• Mr. Jun Nagayasu, 2003, "The Term Structure of Interest Rates and Monetary Policy During a Zero-Interest-Rate Period," IMF Working Papers, International Monetary Fund, number 2003/208, Oct.
• Joaquín Tapia Maruri, 2003, "El Riesgo De Mercado Y La Estructura Intertemporal De Las Tasas De Interés," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 2, issue 1, pages 49-80, Marzo 200.
• Javier Márquez Diez-Canedo & Carlos E. Nogués Nivón & Viviana Vélez Grajales, 2003, "Un Método Eficiente Para La Simulación De Curvas De Tasas De Interés," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 2, issue 3, pages 257-291, Septiembr.
• Johann Burgstaller, 2003, "Interest Rate Transmission to Commercial Credit Rates in Austria," Economics working papers, Department of Economics, Johannes Kepler University Linz, Austria, number 2003-06, May.
• Hakan Berument & Asli Günay, 2003, "Exchange Rate Risk and Interest Rate: A Case Study for Turkey," Open Economies Review, Springer, volume 14, issue 1, pages 19-27, January, DOI: 10.1023/A:1021243101272.
• Schepp, Zoltán, 2003, "Befektetői horizont és a „forwardrejtély”
  [The investor horizon and the ‘forward puzzle’]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 11, pages 939-963.
• Jakob B. Madsen, 2003, "The Dynamic Interaction between Equity Prices and Supply Shocks," EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics, number 03-12, Sep.
• Katarina Juselius & Ronald MacDonald, 2003, "International Parity Relationships Between Germany and the United States: A Joint Modelling Approach," FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit, number 2004/08, Oct.
• Hans Dewachter & Marco Lyrio, 2003, "Macro Factors and the Term Structure of Interest Rates," International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics, number ces0304, Apr.
• Jelena Zubkova, 2003, "Interest Rate Term Structure in Latvia in the Monetary Policy Context," Working Papers, Latvijas Banka, number 2003/03, Dec.
• Hakan Berument, 2003, "Public Sector Pricing Behavior and Inflation Risk Premium in Turkey," Eastern European Economics, Taylor & Francis Journals, volume 41, issue 1, pages 68-78, January.
• Andrew D. Sanford & Gael M. Martin, 2003, "Simulation-Based Bayesian Estimation of Affine Term Structure Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 15/03, Sep.
• Andrew Ang & Jun Liu, 2003, "How to Discount Cashflows with Time-Varying Expected Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 10042, Oct.
• Eric M. Leeper & Jennifer E. Roush, 2003, "Putting 'M' back in Monetary Policy," NBER Working Papers, National Bureau of Economic Research, Inc, number 9552, Mar.
• Christian Gollier & Richard Zeckhauser, 2003, "Collective Investment Decision Making with Heterogeneous Time Preferences," NBER Working Papers, National Bureau of Economic Research, Inc, number 9629, Apr.
• Alan J. Auerbach & Maurice Obstfeld, 2003, "The Case for Open-Market Purchases in a Liquidity Trap," NBER Working Papers, National Bureau of Economic Research, Inc, number 9814, Jul.
• Claudio Raddatz & Roberto Rigobon, 2003, "Monetary Policy and Sectoral Shocks: Did the FED react properly to the High-Tech Crisis?," NBER Working Papers, National Bureau of Economic Research, Inc, number 9835, Jul.
• Michael Gordon, 2003, "Estimates of time-varying term premia for New Zealand and Australia," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2003/06, Aug.
• Anne-Marie Brook, 2003, "Recent and Prospective Trends in Real Long-Term Interest Rates: Fiscal Policy and other Drivers," OECD Economics Department Working Papers, OECD Publishing, number 367, Sep, DOI: 10.1787/514820262776.
• Jesus Crespo Cuaresma & Ernest Gnan & Doris Ritzberger-Grünwald, 2003, "Searching for the Natural Rate of Interest: a Euro-Area Perspective," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 84, Jul.
• Leonardo Bartolini & Alessandro Prati, 2003, "The execution of monetary policy: a tale of two central banks
  [‘Estimating continuous-time stochastic volatility models of the short-term interest rate’]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, volume 18, issue 37, pages 435-467.
• David Feldman, 2003, "The Term Structure of Interest Rates: Bounded or Falling?," Review of Finance, European Finance Association, volume 7, issue 1, pages 103-113.
• Markus Leippold & Liuren Wu, 2003, "Design and Estimation of Quadratic Term Structure Models," Review of Finance, European Finance Association, volume 7, issue 1, pages 47-73.
• Fabio Canova & Gianni De Nicoló, 2003, "The Properties of the Equity Premium and the Risk-Free Rate: An Investigation Across Time and Countries," IMF Staff Papers, Palgrave Macmillan, volume 50, issue 2, pages 1-4.
• Dai, Meixing, 2003, "Une note sur la règle du taux d’intérêt et le rôle de la courbe LM
  [A note on the interest rate rule and the role of LM curve]," MPRA Paper, University Library of Munich, Germany, number 13779, Dec, revised Mar 2009.
• Palombini, Edgardo, 2003, "Volatility and liquidity in the Italian money market," MPRA Paper, University Library of Munich, Germany, number 42699, Mar.
• Cebula, Richard, 2003, "The Impact of the Federal Budget Deficit on the Nominal Interest Rate Yield on US Treasury Notes, 1979-2001," MPRA Paper, University Library of Munich, Germany, number 49400, Sep.
• Chmielewski, Tomasz, 2003, "Interest rate pass-through in the Polish banking sector and bank-specific financial disturbances," MPRA Paper, University Library of Munich, Germany, number 5133, Nov, revised 31 Jan 2004.
• Zdeněk Dvorný, 2003, "An institutional setup of the czech market for treasury securities," Prague Economic Papers, Prague University of Economics and Business, volume 2003, issue 2, pages 145-153, DOI: 10.18267/j.pep.211.
• Dušan Zbašnik, 2003, "Financial Deindexation in Slovenia," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 56, issue 1, pages 137-146.
• Emilio Barucci & Claudio Impenna & Roberto Reno, 2003, "The Italian Overnight Market: Microstructure Effects, the Martingale Hypothesis and the Payment System," CEIS Research Paper, Tor Vergata University, CEIS, number 24, Jun.
• Richard Taylor & David E. Giles, 2003, "Capturing Non-Linearity in the Term Structure of Interest Rates: A Fuzzy Logic to Approach Estimating the Yield Curve," Computing in Economics and Finance 2003, Society for Computational Economics, number 101, Aug.
• Christina Nikitopoulos-Sklibosios & Carl Chiarella, 2003, "An Implementation of the Shirakawa Jump-Diffusion Term Structure Model," Computing in Economics and Finance 2003, Society for Computational Economics, number 201, Aug.
• Tao Wu & Glenn Rudebusch, 2003, "Macroeconomics and the Yield Curve," Computing in Economics and Finance 2003, Society for Computational Economics, number 206, Aug.
• Martin Sola & John Driffil & Turalay Kenc, 2003, "An Empirical Examination of Term Structure Models with Regime Shifts," Computing in Economics and Finance 2003, Society for Computational Economics, number 65, Aug.
• Jamie Gascoigne & Paul Turner, 2003, "Asymmetries in Bank of England Monetary Policy," Working Papers, The University of Sheffield, Department of Economics, number 2003007, Aug, revised Aug 2003.
• Nicolas Merener & Paul Glasserman, 2003, "Numerical solution of jump-diffusion LIBOR market models," Finance and Stochastics, Springer, volume 7, issue 1, pages 1-27.
• Eleanor Virag & Fima C. Klebaner & Konstantin Borovkov, 2003, "Random step functions model for interest rates," Finance and Stochastics, Springer, volume 7, issue 1, pages 123-143.
• Nuno Cassola & Jorge Barros Luis, 2003, "A two-factor model of the German term structure of interest rates," Applied Financial Economics, Taylor & Francis Journals, volume 13, issue 11, pages 783-806, DOI: 10.1080/0960310022000020915.
• Winfried Hallerbach, 2003, "Cross- and auto-correlation effects arising from averaging: the case of US interest rates and equity duration," Applied Financial Economics, Taylor & Francis Journals, volume 13, issue 4, pages 287-294, DOI: 10.1080/09603100210135720.
• Tao Wu, 2003, "Stylized facts on nominal term structure and business cycles: an empirical VAR study," Applied Economics, Taylor & Francis Journals, volume 35, issue 8, pages 901-906, DOI: 10.1080/0003684022000018204.
• Schaling, E., 2003, "Learning, Inflation Reduction and Optimal Monetary Policy," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-74.
• Fernando Broner & Guido Lorenzoni & Sergio L. Schmukler, 2003, "Why do emerging economies borrow short term?," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 838, Aug, revised Dec 2011.
• Gebhard Kirchgässner, 2003, "Die Wiederkehr des Zinsbonus - Neue empirische Ergebnisse zum Einfluss der europäischen und der amerikanischen auf die schweizerischen Euromarktzinsen," Aussenwirtschaft, University of St. Gallen, School of Economics and Political Science, Swiss Institute for International Economics and Applied Economics Research, volume 58, issue 02, pages 249-274, June.
• Carl Chiarella & Peter Flaschel & Reiner Franke & Willi Semmler, 2003, "Output and the Term Structure of Interest Rates: Ways Out of th Jump-Variable Conundrum," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 125, Apr.
• Carl Chiarella & Peter Flaschel & Willi Semmler, 2003, "Real-Financial Interaction: Implications of Budget Equations and Capital Accumulation," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 127, May.
• Pilar Abad Romero, 2003, "Un Contraste Alternativo De La Hipótesis De Las Expectativas En Swaps De Tipos De Interés," Working Papers, Universidade de Vigo, Departamento de Economía Aplicada, number 0306, Apr.
• Leo Krippner, 2003, "Modelling the Yield Curve with Orthonomalised Laguerre Polynomials: An Intertemporally Consistent Approach with an Economic Interpretation," Working Papers in Economics, University of Waikato, number 03/01, Sep.
• Leo Krippner, 2003, "Modelling the Yield Curve with Orthonormalised Laguerre Polynomials: A Consistent Cross-Sectional and Inter-Temporal Approach," Working Papers in Economics, University of Waikato, number 03/02, Sep.
• Juraj Valachy & Ev??en Ko?enda, 2003, "Exchange Rate Regimes and Volatility: Comparison of the Snake and Visegrad," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 2003-622, Oct.
• Manuel Moreno, 2003, "A two‐mean reverting‐factor model of the term structure of interest rates," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 23, issue 11, pages 1075-1105, November.
• Carl Chiarella & Thuy‐Duong Tô, 2003, "The jump component of the volatility structure of interest rate futures markets: An international comparison," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 23, issue 12, pages 1125-1158, December.
• Marc Henrard, 2003, "Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model," Finance, University Library of Munich, Germany, number 0310009, Oct.
• Michal Brzoza-Brzezina, 2003, "Estimating the Natural Rate of Interest: A SVAR Approach," Macroeconomics, University Library of Munich, Germany, number 0301008, Jan.
• Juan Carlos Cordoba & Marla Ripoll, 2003, "Collateral Constraints in a Monetary Economy," Macroeconomics, University Library of Munich, Germany, number 0309003, Sep.
• Schaling, Eric, 2003, "Learning, inflation expectations and optimal monetary policy," Bank of Finland Research Discussion Papers, Bank of Finland, number 20/2003.
• Tillmann, Peter, 2003, "Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 27/2003.
• Kozicki, Sharon & Tinsley, P. A., 2003, "Permanent and transitory policy shocks in an empirical macro model with asymmetric information," CFS Working Paper Series, Center for Financial Studies (CFS), number 2003/41.
• Ehrmann, Michael & Fratzscher, Marcel, 2003, "Equal size, equal role? Interest rate interdependence between the Euro area and the United States," CFS Working Paper Series, Center for Financial Studies (CFS), number 2003/46.
• Antzoulatos, Angelos A. & Wilfling, Bernd, 2003, "Exchange and Interest Rates prior to EMU: The Case of Greece," HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA), number 244.