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

• 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, Centre for Economic Policy Research, number 3917, May.
• Farmer, Roger & Beyer, Andreas, 2003, "Identifying the Monetary Transmission Mechanism Using Structural Breaks," CEPR Discussion Papers, Centre for Economic Policy Research, 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, "Endogeneidade de risco país, fluxos de capital e controles de capital no Brasil," Brazilian Journal of Political Economy, FGV EAESP, volume 23, issue 1, pages 12-38, January, DOI: 10.1590/0101-31572003-0703.
• 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.
• 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

• Patrick Artus, 2002, "La trop faible intégration des marchés obligataires publics de la zone euro," Revue d'Économie Financière, Programme National Persée, volume 65, issue 1, pages 113-125, DOI: 10.3406/ecofi.2002.3770.
• 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, Centre for Economic Policy Research, number 3090, Feb.
• Gerlach, Stefan, 2002, "Interpreting the Term Structure of Interbank Rates in Hong Kong," CEPR Discussion Papers, Centre for Economic Policy Research, 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, Centre for Economic Policy Research, 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, Centre for Economic Policy Research, 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.