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

2003

• 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.
• Wiemers, Jürgen & Neyer, Ulrike, 2003, "Why do we have an interbank money market?," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 182/2003.

2002

• Ulrich Bindseil, 2002, "Central bank forecasts of liquidity factors and the control of short term interest rates," BNL Quarterly Review, Banca Nazionale del Lavoro, volume 55, issue 220, pages 13-37.
• Richard J. Cebula, 2002, "A contemporary investigation of causality between the primary government budget deficit and the ex ante real long term interest rate in the US," BNL Quarterly Review, Banca Nazionale del Lavoro, volume 55, issue 223, pages 417-435.
• Ulrich Bindseil, 2002, "Central bank forecasts of liquidity factors and the control of short term interest rates," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, volume 55, issue 220, pages 13-37.
• Richard J. Cebula, 2002, "A contemporary investigation of causality between the primary government budget deficit and the ex ante real long term interest rate in the US," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, volume 55, issue 223, pages 417-435.
• Giacomo Vaciago, 2002, "LÕeuro, una moneta completa," Moneta e Credito, Economia civile, volume 55, issue 219, pages 221-236.
• Jaime Reis, 2002, "An "Art", not a "Science"? Central Bank Management in Portugal under the Gold Standard, 1854-1891," Working Papers, Banco de Portugal, Economics and Research Department, number w200206.
• Konstantinos Drakos, 2002, "Common Factors in Eurocurrency Rates: A Dynamic Analysis," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 17, pages 164-184.
• Christopher F Baum & John Barkoulas, 2002, "Dynamics of Intra-EMS Interest Rate Linkages," Computing in Economics and Finance 2002, Society for Computational Economics, number 13, Jul.
• Vassil A. Konstantinov, 2002, "Fed Funds Rate Targeting, Monetary Regimes and the Term Structure of Interbank Rates: Explaining the Predictability Smile," Computing in Economics and Finance 2002, Society for Computational Economics, number 132, Jul.
• Gadea Maria-Dolores & Antonio Montanes & Marcelo Reyes, 2002, "Level shifts, unit roots and the purchasing power parity," Computing in Economics and Finance 2002, Society for Computational Economics, number 208, Jul.
• Carl Chiarella & Silvana Musti, 2002, "Numerical Investigations of the Heath Jarrow Morton Model with Forward Rate Dependent Volatility," Computing in Economics and Finance 2002, Society for Computational Economics, number 84, Jul.
• Erik Schlögl, 2002, "A multicurrency extension of the lognormal interest rate Market Models," Finance and Stochastics, Springer, volume 6, issue 2, pages 173-196.
• Philip S. Griffin, 2002, "The expectations hypothesis with non-negative rates," Finance and Stochastics, Springer, volume 6, issue 2, pages 265-271.
• Camilla Landén & Tomas Björk, 2002, "On the construction of finite dimensional realizations for nonlinear forward rate models," Finance and Stochastics, Springer, volume 6, issue 3, pages 303-331.
• Simon H. Babbs, 2002, "Conditional Gaussian models of the term structure of interest rates," Finance and Stochastics, Springer, volume 6, issue 3, pages 333-353.
• Emilio Dominguez & Alfonso Novales, 2002, "A factor model of term structure slopes in Eurocurrency markets," Applied Economics Letters, Taylor & Francis Journals, volume 9, issue 9, pages 585-593, DOI: 10.1080/13504850110111199.
• Emilio Dominguez & Alfonso Novales, 2002, "Can forward rates be used to improve interest rate forecasts?," Applied Financial Economics, Taylor & Francis Journals, volume 12, issue 7, pages 493-504, DOI: 10.1080/09603100010007346.
• Pilar Abad & Alfonso Novales, 2002, "Volatility Transmission acros the Term Structure of Swap Markets: International Evidence," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0220.
• Pilar Abad & Alfonso Novales, 2002, "The Forecasting Ability of Factor Models of the Term Structure of IRS Markets," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0221.
• Pilar Abad & Alfonso Novales, 2002, "An Error Correction Factor Model of Term Structure Slopes in International Swaps Markets," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0222.
• Alfonso Novales & Emilio Domínguez, 2002, "A factor model of term structure slopes in eurocurrency markets," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0224.
• Alfonso Novales & Emilio Domínguez, 2002, "Can forward rates be used to improve interest rate forecasts?"," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0225.
• Alfonso Novales & Emilio Domínguez, 2002, "Dynamic correlations and forecasting of term structure slopes in eurocurrency market," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0226.
• Peter Kugler & Beatrice Weder, 2002, "The Puzzle of the Swiss Interest Rate Island: Stylized Facts and a New Interpretation," Aussenwirtschaft, University of St. Gallen, School of Economics and Political Science, Swiss Institute for International Economics and Applied Economics Research, volume 57, issue 01, pages 49-64, March.
• Antje Dudenhausen & Erik Schlögl & Lutz Schlögl, 1999, "Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 19, Aug.
• Erik Schlögl, 1999, "A Multicurrency Extension of the Lognormal Interest Rate Market Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 20, Aug.
• Carl Chiarella & Oh-Kang Kwon, 1999, "Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 5, Apr.
• Ram Bhar & Carl Chiarella & Thuy Duong To, 2002, "A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 80, May.
• Massoud Heidari & Liuren Wu, 2002, "Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives," Finance, University Library of Munich, Germany, number 0207010, Aug, revised 10 Sep 2002.
• Massoud Heidari & Liuren WU, 2002, "Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?," Finance, University Library of Munich, Germany, number 0207013, Aug.
• Markus Leippold & Liuren Wu, 2002, "Design and Estimation of Quadratic Term Structure Models," Finance, University Library of Munich, Germany, number 0207014, Aug.
• Markus Leippold & Liuren Wu, 2002, "Asset Pricing Under The Quadratic Class," Finance, University Library of Munich, Germany, number 0207015, Aug.
• David Backus & Liuren Wu & Stanley Zin, 2002, "Markov Chain Approximations For Term Structure Models," Finance, University Library of Munich, Germany, number 0207018, Sep.
• Arman Mansoorian & Mohammed Mohsin, 2002, "Monetary Policy in a Cash-in-Advance Economy Employment, Capital Accumulation and the Term Structure of Interest Rates," Working Papers, York University, Department of Economics, number 2002_02, Feb.
• Lanne, Markku, 2002, "Nonlinear dynamics of interest rate and inflation," Bank of Finland Research Discussion Papers, Bank of Finland, number 21/2002.
• Dudenhausen, Antje & Schlögl, Lutz, 2002, "An Examination of the Effects of Parameter Misspecification," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 22/2002.
• Zühlsdorff, Christian, 2002, "Extended Libor Market Models with Affine and Quadratic Volatility," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 6/2002.
• von Kalckreuth, Ulf & Schröder, Jürgen, 2002, "Monetary Transmission in the New Economy: Service Life of Capital, Transmission Channels and the Speed of Adjustment," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2002,16.
• Kugler, Peter & Weder, Beatrice, 2002, "The puzzle of the Swiss interest rate island: Stylized facts and a new interpretation," HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA), number 168.
• Antzoulatos, Angelos A., 2002, "Benchmark yield undershooting in the E.M.U," HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA), number 191.
• Heinemann, Friedrich & Schüler, Martin, 2002, "Integration benefits on EU retail credit markets: evidence from interest rate pass-through," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 02-26.
• Kugler, Peter & Weder, Beatrice, 2002, "The Puzzle of the Swiss Interest Rate Island: Stylized Facts and a New Interpretation," Discussion Paper Series, Hamburg Institute of International Economics, number 26190, DOI: 10.22004/ag.econ.26190.
• Yu, Jun & Phillips, Peter, 2002, "Jacknifing Bond Option Prices," Working Papers, Department of Economics, The University of Auckland, number 187.
• Hortensia Fontanals Albiol & Sergio Zuniga, 2002, "Modelos de tasas de interes en Chile: una revision," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 87.
• Marina Azzimonti and Nirvana Mitra, , "Sovereign Default and Tax-smoothing in the Shadow of Corruption and Institutional Weakness," Working Papers, Centre for Advanced Financial Research and Learning (CAFRAL), number 0001.
• Ulf Söderström, 2002, "Monetary Policy with Uncertain Parameters," Scandinavian Journal of Economics, Wiley Blackwell, volume 104, issue 1, pages 125-145, March, DOI: 10.1111/1467-9442.00275.
• Alberto Alesina & Silvia Ardagna & Giuseppe Nicoletti & Fabio Schiantarelli, 2002, "Regulation and Investment," Boston College Working Papers in Economics, Boston College Department of Economics, number 549, Dec.
• Ana María Iregui & Costas Milas & Jesus Otero, 2002, "On the dynamics of lending and deposit interest rates in emerging markets:a non-linear approach," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 02-29, Nov.
• Ana María Iregui & Costas Milas & Jesus Otero, 2002, "On the dynamics of lending and deposit interest rates in emerging markets:a non-linear approach," Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 02-29, Nov.
• Éric Dor & Alain Durré, 2002, "Monetary Policy and the New Economy. Between Supply Shock and Financial Bubble," Recherches économiques de Louvain, De Boeck Université, volume 68, issue 1, pages 221-237.
• Martin Hlusek, 2002, "Estimating Market Probabilities of Future Interest Rate Changes," Working Papers, Czech National Bank, Research and Statistics Department, number 2002/02, Dec.
• Luis Eduardo Arango & Luis Fernando Melo, 2002, "Estimaci�n de la Estructura a Plazo de las Tasas de Inter�s en Colombia," Borradores de Economia, Banco de la Republica, number 2594, Jan.
• Bertola, Giuseppe & Prati, Alessandro & Bartolini, Leonardo, 2002, "The Overnight Interbank Market: Evidence from the G7 and the Euro Zone," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3090, Feb.
• Gerlach, Stefan, 2002, "Interpreting the Term Structure of Interbank Rates in Hong Kong," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3187, Feb.
• Sarno, Lucio & Thornton, Daniel L, 2002, "The Dynamic Relationship Between the Federal Funds rate and the Treasury Bill Rate: An Empirical Investigation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3225, Feb.
• Voth, Hans-Joachim, 2002, "With a Bang, Not a Whimper: Pricking Germany's 'Stock Market Bubble' in 1927 and the Slide into Depression," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3257, Mar.
• Eric DOR & Alain DURRE, 2002, "Monetary Policy and the New Economy : Between Supply Shock and Financial Bubble," Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2002028, Jun.
• Leippold, Markus & Wu, Liuren, 2002, "Asset Pricing under the Quadratic Class," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 37, issue 2, pages 271-295, June.
• Ling Hu & Peter C.B. Phillips, 2002, "Dynamics of the Federal Funds Target Rate: A Nonstationary Discrete Choice Approach," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1365, May.
• John Geanakoplos & Michael Magill & Martine Quinzii, 2002, "Demography and the Long-run Predictability of the Stock Market," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1380, Aug.
• John Geanakoplos & Michael Magill & Martine Quinzii, 2002, "Demography and the Long-run Predictability of the Stock Market," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1380R, Aug, revised Jul 2004.
• Beyer, Andreas & Farmer, Roger E. A., 2002, "Natural rate doubts," Working Paper Series, European Central Bank, number 121, Feb.
• de Bondt, Gabe, 2002, "Retail bank interest rate pass-through: new evidence at the euro area level," Working Paper Series, European Central Bank, number 136, Apr.
• Bindseil, Ulrich, 2002, "Equilibrium bidding in the Eurosystem's open market operations," Working Paper Series, European Central Bank, number 137, Apr.
• Heravi, Saeed & Silver, Mick, 2002, "A failure in the measurement of inflation: results from a hedonic and matched experiment using scanner data," Working Paper Series, European Central Bank, number 144, May.
• Bindseil, Ulrich & Nyborg, Kjell G. & Strebulaev, Ilya A., 2002, "Bidding and performance in repo auctions: evidence from ECB open market operations," Working Paper Series, European Central Bank, number 157, Jul.
• Ehrmann, Michael & Fratzscher, Marcel, 2002, "Interdependence between the euro area and the US: what role for EMU?," Working Paper Series, European Central Bank, number 200, Dec.
• Malliaris, A. G., 2002, "Global monetary instability: The role of the IMF, the EU and NAFTA," The North American Journal of Economics and Finance, Elsevier, volume 13, issue 1, pages 72-92, May.
• Godbout, Lise & Storer, Paul & Zimmermann, Christian, 2002, "The Canadian treasury bill auction and the term structure of interest rates," Journal of Banking & Finance, Elsevier, volume 26, issue 6, pages 1165-1179, June.
• Gutiérrez Huerta, María José & Vázquez Pérez, Jesús, 2002, "Markov Switching Risk Premium and the term structure of interest rates. Empirical evidence from US post-war interest rates," DFAEII Working Papers, University of the Basque Country - Department of Foundations of Economic Analysis II, number 1988-088X, Apr.
• Gutiérrez Huerta, María José & Vázquez Pérez, Jesús, 2002, "The changing behaviour of the term structure of post-war US," DFAEII Working Papers, University of the Basque Country - Department of Foundations of Economic Analysis II, number 1988-088X, Jul.
• Vázquez Pérez, Jesús, 2002, "Switching Regimes in the Term Structure of Interest Rates During U.S. Post-War: A case for the Lucas proof equilibrium?," DFAEII Working Papers, University of the Basque Country - Department of Foundations of Economic Analysis II, number 1988-088X, Aug.
• João Sicsú, 2002, "Theory and Evidence of the Inflationary Targets Regime," Brazilian Journal of Political Economy, Center of Political Economy, volume 22, issue 1, pages 24-35.
• Persio Arida, 2002, "Multiple Balances," Brazilian Journal of Political Economy, Center of Political Economy, volume 22, issue 3, pages 508-517.
• Joaquim Elói Cirne de Toledo, 2002, "Risco-Brasil: The Lula Effect and the Central Bank Effects," Brazilian Journal of Political Economy, Center of Political Economy, volume 22, issue 3, pages 524-532.
• Venegas-Martinez, Francisco & Bernardo González-Aréchiga, 2002, "Cobertura de tasas de interés con futuros del mercado mexicano de derivados. Modelo estocástico de duración y convexidad," El Trimestre Económico, Fondo de Cultura Económica, volume 69, issue 274, pages 227-250, abril-jun.
• Ibarra, Carlos A., 2002, "Límites de la flotación mexicana," El Trimestre Económico, Fondo de Cultura Económica, volume 69, issue 276, pages 513-542, octubre-d.
• Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2002, "The Effect of Monetary Unification on German Bond Markets," Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven, number ces0205, Mar.
• Lucio Sarno & Daniel L. Thornton, 2002, "The dynamic relationship between the federal funds rate and the Treasury bill rate: an empirical investigation," Working Papers, Federal Reserve Bank of St. Louis, number 2000-032, DOI: 10.20955/wp.2000.032.
• Yamin Ahmad, 2002, "Money Market Rates and Implied CCAPM Rates: Some International Evidence," Working Papers, Georgetown University, Department of Economics, number gueconwpa~02-02-06, Feb.
• Martin Evans, 2002, "Real Risk, Inflation Risk, and the Term Structure," Working Papers, Georgetown University, Department of Economics, number gueconwpa~02-02-10, Feb.
• Grégory Levieuge, 2002, "Règle de Taylor vs Règle-ICM : Application à la Zone Euro," Post-Print, HAL, number halshs-00258403, Jun.
• Björk, Tomas & Landén, Camilla & Svensson, Lars, 2002, "Finite dimensional Markovian realizations for stochastic volatility forward rate models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 498, Apr, revised 07 May 2002.
• Giordani, Paolo & Söderlind, Paul, 2002, "Solution of Macromodels with Hansen-Sargent Robust Policies: Some Extensions," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 499, May, revised 15 May 2003.
• Erlandsson, Ulf, 2002, "Regime Switches in Swedish Interest Rates," Working Papers, Lund University, Department of Economics, number 2002:5, Feb, revised 04 Mar 2005.
• M. Isabel Martínez-Serna & Eliseo Navarro-Arribas, 2002, "El modelo de McCallum. Evidencia empírica en la estructura temporal de los tipos de interés española," Investigaciones Economicas, Fundación SEPI, volume 26, issue 2, pages 323-357, May.
• Jumah, Adusei & Kunst, Robert M., 2002, "On Mean Reversion in Real Interest Rates: An Application of Threshold Cointegtation," Economics Series, Institute for Advanced Studies, number 109, Jan.
• Elias D. Belessakos & Christos I. Giannikos, 2002, "The "Lack" of Volatility Trade-Offs in Exchange Rate Zones with Sticky Prices," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 1, issue 1, pages 69-78, April.
• Fujiki, Hiroshi & Shiratsuka, Shigenori, 2002, "Policy Duration Effect under the Zero Interest Rate Policy in 1999-2000: Evidence from Japan's Money Market Data," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 20, issue 1, pages 1-31, January.
• Wojciech Szatzschneider, 2002, "The Cox, Ingersoll And Ross Extended Model," 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 1, issue 4, pages 319-322, Diciembre.
• Francisco Rosende, 2002, "Introducción al Debate Acerca de los Efectos de la Nominalización de la Política Monetaria," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 39, issue 117, pages 235-236.
• Felipe Morandé, 2002, "Nominalización de la Tasa de Política Monetaria. Debate y Consecuencias," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 39, issue 117, pages 239-252.
• Juan Andrés Fontaine, 2002, "Consecuencias de la Nominalización de la Política Monetaria," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 39, issue 117, pages 253-275.
• Gloria M. Soto Pacheco & Mª Asunción Prats Albentosa, 2002, "La Inmunización Financiera: Evaluación De Diferentes Estructuras De Cartera," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2002-03, Feb.
• Gloria M. Soto Pacheco, 2002, "Modelos De Duración Y Gestión Del Riesgo De Interés: ¿Un Problema De Dimensión?," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2002-13, Jun.
• Ángel León & Juan Nave, 2002, "Modelización De La Volatilidad Del Tipo De Interés A Corto Plazo," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2002-28, Oct.
• Christopher Otrok & B. Ravikumar & Charles H. Whiteman, 2002, "Evaluating asset-pricing models using the Hansen-Jagannathan bound: a Monte Carlo investigation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 17, issue 2, pages 149-174.
• Hans Dewachter & Marco Lyrio, 2002, "Macro Factors and the Term Structure of Interest Rates," International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics, number wpie007, Oct.
• Marco Corazza & A. G. Malliaris, 2002, "Multi-Fractality in Foreign Currency Markets," Multinational Finance Journal, Multinational Finance Journal, volume 6, issue 2, pages 65-98, June.
• Giuseppe Tattara, 2002, "Un margine di arbitraggio non sfruttato sulla Rendita Italiana a Parigi?," Rivista di storia economica, Società editrice il Mulino, issue 1, pages 51-64.
• Michał Brzoza-Brzezina, 2002, "Estimating the Natural Rate of Interest: A SVAR Approach," NBP Working Papers, Narodowy Bank Polski, number 27, Dec.
• Leo Krippner, 2002, "Extracting expectations of New Zealand's Official Cash Rate from the bank-risk yield curve," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2002/01, Mar.
• David Feldman, 2002, "Production and the Real Rate of Interest: A Sample Path Equilibrium," Review of Finance, European Finance Association, volume 6, issue 2, pages 247-275.
• Woon Gyu Choi, 2002, "The Inverted Fisher Hypothesis: Inflation Forecastability and Asset Substitution," IMF Staff Papers, Palgrave Macmillan, volume 49, issue 2, pages 1-4.