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

1998

• Frank F. Gong & Eli M. Remolona & Michael Wickens, 1998, "What was the market's view of U.K. monetary policy? Estimating inflation risk and expected inflation with indexed bonds," Staff Reports, Federal Reserve Bank of New York, number 57.
• Ngugi, R.W. & Kabubo, J.W., 1998, "Financial Sector Reforms and Interest Rate Liberalization: The Kenya Experience," Papers, African Economic Research Consortium, number 72.
• Fornari, F. & Violi, R., 1998, "The Probability Density Function of Interest Rates Implied in the Price of Options," Papers, Banca Italia - Servizio di Studi, number 339.
• Glasserman, P. & Zhao, X., 1998, "Arbitrage-Free Discretization of Lognormal Forward Libor and Swap Rate Models," Papers, Columbia - Graduate School of Business, number 98-09.
• Martin L. Weitzman, 1998, "Gamma Discounting," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1843.
• Shearer, P.R., 1998, "Yield Gap Momentum as a Leading Indicator to Predict Turning Points in Industrial Production Growth," Papers, University of Hertfordshire - Business Schoool, number 1998:21.
• Podevin, M., 1998, "Interaction entre taux d'interet allemands et francais: Un reexamen de l'hypothese de dominance allemande," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 98.27.
• Taylor, J.B., 1998, "The Robustness and Efficiency of Monetary Policy Rules as Guidelines for Interest Rate Setting by European Central Bank," Papers, Stockholm - International Economic Studies, number 649.
• Michael Rockinger & S. Coutant & Eric Jondeau, 1998, "Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election," Working Papers, HAL, number hal-00601499.
• Säfvenblad, Patrik, 1998, "The Informational Advantage of Foreign Investors: An Empirical Study of the Swedish Bond Market," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 240, May.
• Ellingsen, Tore & Söderström, Ulf, 1998, "Monetary Policy and Market Interest Rates," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 242, May, revised 08 Mar 1999.
• Bernard, Henri & Gerlach, Stefan, 1998, "Does the Term Structure Predict Recessions? The International Evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 3, issue 3, pages 195-215, July.
• Franco Parisi, 1998, "Tasas de Interés Nominal de Corto Plazo en Chile: Una Comparación Empírica de sus Modelos," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 35, issue 105, pages 161-182.
• Ryuzo Miyao, 1998, "Note on the Stability of Long-Run Money Demand: Is the Interest Elasticity Really Constant?," Discussion Paper Series, Research Institute for Economics & Business Administration, Kobe University, number 94, May.
• Balduzzi, Pierluigi, et al, 1998, "Interest Rate Targeting and the Dynamics of Short-Term Rates," Journal of Money, Credit and Banking, Blackwell Publishing, volume 30, issue 1, pages 26-50, February.
• Henry, O.T., 1998, "The Volatility of U.S. Term Structure Term Premia 1952-1991," Department of Economics - Working Papers Series, The University of Melbourne, number 620.
• Guest, R.G. & McDonald, I.M., 1998, "Simulating Optimal Consumption Paths in a Small Open Economy with Uzawa Preferences," Department of Economics - Working Papers Series, The University of Melbourne, number 639.
• Marie Podevin, 1998, "Interaction entre taux d'intérêt allemands et français : un réexamen de l'hypothèse de dominance allemande," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number 98027, Jun.
• RUGE-MURCIA, Francisco J., 1998, "Uncovering Financial Markets Beliefs About Inflation Targets," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 9803.
• Ruge-Murcia, F.J., 1998, "Uncovering Financial Markets Beliefs About Inflation Targets," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 9803.
• Oscar Bajo & Vicente Esteve, 1998, "¿Existe un efecto Fisher en el largo plazo? Evidencia para la economía española, 1962-1996," Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra, Departamento de Economía - Universidad Pública de Navarra, number 9810.
• David Backus & Silverio Foresi & Abon Mozumdar & Liuren Wu, 1998, "Predictable Changes in Yields and Forward Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 6379, Jan.
• David Backus & Silverio Foresi & Chris I. Telmer, 1998, "Discrete-Time Models of Bond Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 6736, Sep.
• Leo Krippner, 1998, "Testing the predictive power of New Zealand bank bill futures rates," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number G98/8, Jun.
• Daniel C. Hardy, 1998, "Anticipation and Surprises in Central Bank Interest Rate Policy: The Case of the Bundesbank," IMF Staff Papers, Palgrave Macmillan, volume 45, issue 4, pages 647-671, December.
• Jeffrey C. Fuhrer, 1998, "An Optimising Model for Monetary Policy Analysis: Can Habit Formation Help?," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp9812, Sep.
• Kennedy, P., 1998, "Eight Reasons Why Real Versus Nominal Interest Rates is the Most Important Concept in Macroeconomic Principles Courses," Discussion Papers, Department of Economics, Simon Fraser University, number dp98-09.
• Lisa R. Goldberg, 1998, "Volatility of the short rate in the rational lognormal model," Finance and Stochastics, Springer, volume 2, issue 2, pages 199-211.
• J.E. Kennedy & P.J. Hunt, 1998, "Implied interest rate pricing models," Finance and Stochastics, Springer, volume 2, issue 3, pages 275-293.
• Olivier Scaillet & Boris Leblanc, 1998, "Path dependent options on yields in the affine term structure model," Finance and Stochastics, Springer, volume 2, issue 4, pages 349-367.
• Juan-Manuel Renero, 1998, "Unstable and stable steady-states in the Kiyotaki-Wright model," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 11, issue 2, pages 275-294.
• Guido Tabellini & Scott Freeman, 1998, "The optimality of nominal contracts," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 11, issue 3, pages 545-562.
• Kim, Suk-Joong & Sheen, Jeffrey, 1998, "International Linkages and Macroeconomic News Effects on Interest Rate Volatility - Australia and the US'," Working Papers, University of Sydney, School of Economics, number 11, Oct.
• Eijffinger, S.C.W. & Schaling, E. & Verhagen, W.H., 1998, "The Term Structure of Interest Rates and Inflation Forecast Targeting," Discussion Paper, Tilburg University, Center for Economic Research, number 1998-85.
• Eijffinger, S.C.W. & Schaling, E. & Verhagen, W.H., 1998, "The Term Structure of Interest Rates and Inflation Forecast Targeting," Other publications TiSEM, Tilburg University, School of Economics and Management, number 55e1f73a-746b-49ef-9d24-0.
• Otrok, Christopher & Ravikumar, B. & Whiteman, Charles H., 1998, "Evaluating Asset-Pricing Models Using The Hansen-Jagannathan Bound: A Monte Carlo Investigation," Working Papers, University of Iowa, Department of Economics, number 99-01, Aug, revised Jan 1999.
• Josefa Ramoni Perazzi, 1998, "Interest rate parity: Is it alternative for the computation of the equilibrium exchange rate in Venezuela?," Economía, Instituto de Investigaciones Económicas y Sociales (IIES). Facultad de Ciencias Económicas y Sociales. Universidad de Los Andes. Mérida, Venezuela, volume 23, issue 14, pages 151-174, January-D.
• Hans Joachim Voth, 1998, "Inflationary expectations during Germany's great slump," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 333, Nov.
• Koning, Camiel de & Straetmans, Stefan, 1998, "Time varying forex market inefficiency," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0063.
• Richard J. Cebula, 1998, "An empirical analysis of the impact of federal budget deficits on long‐term nominal interest rate yields, 1973.2–1995.4, using alternative expected inflation measures," Review of Financial Economics, John Wiley & Sons, volume 7, issue 1, pages 55-64, DOI: 10.1016/S1058-3300(99)80145-1.
• Martin Evans, 1998, "Looking Behind the U. K.Term Structure: Were there Peso Problems in Inflation?," Finance, University Library of Munich, Germany, number 9809001, Sep.
• Alexei Krouglov, 1998, "Continuous-Time Model of Business Fluctuations, and Optimal Behavior of an Interest Rate," Macroeconomics, University Library of Munich, Germany, number 9802023, Mar.
• Boero, G. & Torricelli, C., 1998, "Tests of the Expectations Hypothesis and Policy Reaction to the Term Spread: Some Comparative Evidence," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 512.
• David Miles, 1998, "An International Study of Efficiency and Risk in Money Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 1, issue 03, pages 389-424, DOI: 10.1142/S0219024998000229.
• Kim, Dong-heon, 1998, "Another look at yield spreads: Monetary policy and the term structure of interest rates," Research Notes, Deutsche Bank Research, number 98-3.
• Stehle, Richard & Jaschke, Stefan R. & Wernicke, S., 1998, "Tax clientele effects in the German bond market," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1998,11.
• Jaschke, Stefan R., 1998, "Higher order forward rate agreements and the smoothness of the term structure," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1999,13.
• Éric Jondeau & Roland Ricart, 1998, "La théorie des anticipations de la structure par terme : test à partir de titres publics français," Annals of Economics and Statistics, GENES, issue 52, pages 1-22.
• Boero, Gianna & Torricelli, Costanza, , "Tests of the Expectations Hypothesis and Policy Reaction to the Term Spread: some comparative evidence," Economic Research Papers, University of Warwick - Department of Economics, number 268794, DOI: 10.22004/ag.econ.268794.
• Joseph Atta-Mensah & Greg Tkacz, 1998, "Predicting Canadian Recessions Using Financial Variables: A Probit Approach," Staff Working Papers, Bank of Canada, number 98-5, DOI: 10.34989/swp-1998-5.
• María C. Manzano & Isabel Sánchez, 1998, "Indicators of Short-Term Interest Rate Expectations. The Information Contained in the Options Market," Working Papers, Banco de España, number 9816.
• Fabio Fornari & Roberto Violi, 1998, "The Probability Density Function of Interest Rates Implied in the Price of Options," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 339, Oct.
• Backus, David & Foresi, Silverio & Zin, Stanley, 1998, "Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing," Journal of Business & Economic Statistics, American Statistical Association, volume 16, issue 1, pages 13-26, January.
• Pierre-Cyrille Hautcoeur & Pierre Sicsic, 1998, "Threat of a Capital Levy, Expected Devaluation and Interest Rates in France during the Interwar Period," Working papers, Banque de France, number 50.
• Sophie Coutant & Eric Jondeau & Michael Rockinger, 1998, "Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election," Working papers, Banque de France, number 54.
• Eric Jondeau & Frédéric Sedillot, 1998, "La pr vision des taux longs fran ais et allemands partir d'un modele anticipations rationnelles," Working papers, Banque de France, number 55.
• Basma Bekdache & Christopher F. Baum, 1998, "Modeling fixed income excess returns," Boston College Working Papers in Economics, Boston College Department of Economics, number 409, Jun, revised 14 Apr 2000.
• Oriana Bandiera & Gerard Caprio Jr. & Patrick Honohan & Fabio Schiantarelli, 1998, "Does Financial Reform Raise or Reduce Savings?," Boston College Working Papers in Economics, Boston College Department of Economics, number 413, Oct.
• Mauricio Cárdenas & Zeinab Partow, 1998, "¿Importa la independencia? el caso del Banco Central colombiano," Coyuntura Económica, Fedesarrollo.
• Söderlind, Paul, 1998, "Extracting Expectations about 1992 UK Monetary Policy from Option Prices," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1823, Mar.
• Sicsic, Pierre, 1998, "Threat of a Capital Levy, Expected Devaluation and Interest Rates in Inter-War France," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1824, Mar.
• Bernard, Henri J & Gerlach, Stefan, 1998, "Does the Term Structure Predict Recessions? The International Evidence," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1892, May.
• Coutant, Sophie & Jondeau, Eric & Rockinger, Michael, 1998, "Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2010, Oct.
• Jacobs, Mike & Remolona, Eli & Wickens, Michael R., 1998, "What was the Market's View of UK Monetary Policy? Estimating Inflation Risk and Expected Inflation with Indexed Bonds," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2022, Nov.
• Jean-Philippe Lesne & Jean-Luc Prigent & Olivier Scaillet, 1998, "Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates," Working Papers, Center for Research in Economics and Statistics, number 98-51.
• Jovanovic, B. & Ueda, M., 1998, "Stock-Returns and Inflation in a Principal-Agent Economy," Working Papers, C.V. Starr Center for Applied Economics, New York University, number 98-15.
• Hautcoeur, P. C. & Sicsic, P., 1998, "Threat of a capital levy, expected devaluation and interest rates in France during the interwar period," DELTA Working Papers, DELTA (Ecole normale supérieure), number 98-01.
• Jovanovic, Boyan & Ueda, Masako, 1998, "Stock-Returns and Inflation in a Principal-Agent Economy," Journal of Economic Theory, Elsevier, volume 82, issue 1, pages 223-247, September.
• Canzoneri, Matthew B. & Dellas, Harris, 1998, "Real interest rates and central bank operating procedures," Journal of Monetary Economics, Elsevier, volume 42, issue 3, pages 471-494, October.

1997

• Jim Day & Ron Lange, 1997, "The Structure of Interest Rates in Canada: Information Content about Medium-Term Inflation," Staff Working Papers, Bank of Canada, number 97-10, DOI: 10.34989/swp-1997-10.
• David Watt, 1997, "Canadian Short-Term Interest Rates and the BAX Futures Markets: An Analysis of the Impact of Volatility on Hedging Activity and the Correlation of Returns Between Markets," Staff Working Papers, Bank of Canada, number 97-18, DOI: 10.34989/swp-1997-18.
• Juan Ayuso & J. David López-Salido, 1997, "Are Ex-Post Real Interest Rates a Good Proxy for Ex-Ante Real Rates? An International Comparison with a CCAPM Framework," Working Papers, Banco de España, number 9710.
• Eric Jondeau & Roland Ricart, 1997, "Le contenu en information de la pente des taux : application au cas des titres publics fran ais," Working papers, Banque de France, number 43.
• Eric Jondeau & Roland Ricart, 1997, "La Théorie des anticipations de la structure par terme : test partir des titres publics fran ais," Working papers, Banque de France, number 45.
• John T. Barkoulas & Christopher F. Baum, 1997, "Fractional Differencing Modeling And Forecasting Of Eurocurrency Deposit Rates," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, volume 20, issue 3, pages 355-372, September.
• Basma Bekdache & Christopher F. Baum, 1997, "The Ex Ante Predictive Accuracy of Alternative Models of the Term Structure of Interest Rates," Boston College Working Papers in Economics, Boston College Department of Economics, number 372, Jun.
• Park, S.B., 1997, "Cointegration and Market Efficiency: An Application to the Canadian Treasury Bill Market," Carleton Economic Papers, Carleton University, Department of Economics, number 97-06, Oct.
• Fedesarrollo, 1997, "Análisis Coyuntural. I. Petróleo. II. evolución reciente de la tasa de cambio en Colombia," Coyuntura Económica, Fedesarrollo.
• Söderlind, Paul & Svensson, Lars E O, 1997, "New Techniques to Extract Market Expectations from Financial Instruments," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1556, Jan.
• Söderlind, Paul, 1997, "Monetary Policy and the Fisher Effect," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1610, Mar.
• Canova, Fabio & de Nicolò, Gianni, 1997, "Stock Returns, Term Structure, Inflation and Real Activity: An International Perspective," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1614, Mar.
• Driffill, John, 1997, "Real Interest Rates, Nominal Shocks, and Real Shocks," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1647, May.
• Favero, Carlo A. & Giavazzi, Francesco & Iacone, Fabrizio & Tabellini, Guido, 1997, "Extracting Information from Asset Prices: The Methodology of EMU Calculators," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1676, Jul.
• Smets, Frank & Tsatsaronis, Kostas, 1997, "Why Does the Yield Curve Predict Economic Activity? Dissecting the Evidence for Germany and the United States," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1758, Dec.
• Frédéric APRAHAMIAN & Georges FIORI & Philippe MICHEL, 1997, "Structure des taux d’intérêt et consommation," Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 1997024, Jun.
• Siklos, Pierre L. & Granger, Clive W.J., 1997, "Regime-Sensitive Cointegration With An Application To Interest-Rate Parity," Macroeconomic Dynamics, Cambridge University Press, volume 1, issue 3, pages 640-657, September.
• Balduzzi, Pierluigi & Bertola, Giuseppe & Foresi, Silverio, 1997, "A model of target changes and the term structure of interest rates," Journal of Monetary Economics, Elsevier, volume 39, issue 2, pages 223-249, July.
• Soderlind, Paul & Svensson, Lars, 1997, "New techniques to extract market expectations from financial instruments," Journal of Monetary Economics, Elsevier, volume 40, issue 2, pages 383-429, October.
• J. L. Prigent, 1997, "Incomplete markets : Convergence of options values under the minimal martingale measure. The multidimensional case," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 97-35.
• Tzavalis, Elias, 1997, "Which alternative to choose: does the excess sensitivity hypothesis or a time varying term premium explain the failure of the rational expectations hypothesis of the term structure?," Discussion Papers, University of Exeter, Department of Economics, number 9711.
• Angeloni, I. & Violi, R., 1997, "Long-Term Interest Rate Convergence in Europe and the Probability of EMU," Papers, Banca Italia - Servizio di Studi, number 322.
• Balmaseda, M. & Braun, R.A. & Nieto, E., 1997, "Monetary Policy and the Term Structure of Interest Rates," Papers, Centro de Estudios Monetarios Y Financieros-, number 9720.
• Thom, R, 1997, "Interest Rate Linkages in the Exchange Rate Mechanism : Tests for Asymmetry, German Dominance and Interest Rate Parity Using Daily Data Over 1990 to 1997," Papers, College Dublin, Department of Political Economy-, number 97/11.
• Lesne, J.P. & Prigent, J.L. & Scaillet, O., 1997, "Convergence of Discrete Time Options Pricing Models under Stochastic Rates," Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor., number 9734.
• Prigent, J.L., 1997, "Incomplete Markets: Convergence of Options Values under the Minimal Martingale Measure. The Multidimensional Case," Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor., number 9735.
• Roszbach, Kasper, 1997, "Reaction Function Estimation when Central Banks Face Adjustment Costs," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 155, Jan.
• Alexius, Annika & Sellin, Peter, 1997, "A Latent Factor Model of European Exchange Rate Risk Premia," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 156, Jan.
• Söderlind, Paul, 1997, "Monetary Policy and the Fisher Effect," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 159, Feb, revised 04 Mar 1999.
• Björk, Tomas & Gombani, Andrea, 1997, "Minimal Realizations of Forward Rates," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 182, Aug.
• Björk, Tomas & Christensen, Bent Jesper, 1997, "Interest Rate Dynamics and Consistent Forward Rate Curves," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 209, Nov.
• Söderlind, Paul, 1997, "Market Expectations in the UK Before and After the ERM Crisis," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 210, Dec, revised 19 Mar 1999.
• Söderlind, Paul, 1997, "Forward Interest Rates as Indicators of Inflation Expectations," Seminar Papers, Stockholm University, Institute for International Economic Studies, number 594, Oct.
• Söderlind, Paul & Svensson, Lars E.O., 1997, "New Techniques to Extract Market Expectations from Financial Instruments," Seminar Papers, Stockholm University, Institute for International Economic Studies, number 621, Oct.
• Barr, David & Campbell, John, 1997, "Inflation, Real Interest Rates, and the Bond Market: A Study of UK Nominal and Index-Linked Government Bond Prices," Scholarly Articles, Harvard University Department of Economics, number 3163261.
• Kitamura, Yukinobu, 1997, "Indexed Bonds and Monetary Policy: The Real Interest Rate and the Expected Rate of Inflation," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 15, issue 1, pages 1-25, May.
• Jeremy Bulow & Paul Klemperer, 1997, "The Generalized War of Attrition," NBER Working Papers, National Bureau of Economic Research, Inc, number 5872, Jan.
• Paul Soderlind & Lars E. O. Svensson, 1997, "New Techniques to Extract Market Expectations from Financial Instruments," NBER Working Papers, National Bureau of Economic Research, Inc, number 5877, Jan.
• Pierluigi Balduzzi & Giuseppe Bertola & Silverio Foresi & Leora Klapper, 1997, "Interest Rate Targeting and the Dynamics of Short-Term Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 5944, Feb.
• Sergio Rebelo & Danyang Xie, 1997, "On the Optimality of Interest Rate Smoothing," NBER Working Papers, National Bureau of Economic Research, Inc, number 5947, Feb.
• Menzie D. Chinn & Michael P. Dooley, 1997, "Monetary Policy in Japan, Germany and the United States: Does One Size Fit All?," NBER Working Papers, National Bureau of Economic Research, Inc, number 6092, Jul.
• Cebula, Richard, 1997, "An Empirical Analysis of the Impact of Federal Budget Deficits on Long-term Nominal Interest Rate Yields, 1973.2-1995.4, Using Alternative Expected Inflation Measures," MPRA Paper, University Library of Munich, Germany, number 50976, Jan.
• R.J. Cebula, 1997, "Government deficit, ex post real long-term interest rates and causality," BNL Quarterly Review, Banca Nazionale del Lavoro, volume 50, issue 202, pages 325-336.
• R.J. Cebula, 1997, "Government deficit, ex post real long-term interest rates and causality," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, volume 50, issue 202, pages 325-336.
• William R. Hosek & Frank Zahn, 1997, "The Impact of Changes in Expected Marginal Tax Rates on Nominal Interest Rates," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 50, issue 3, pages 427-436.
• Gerlach, Stefan, 1997, "The Information Content of the Term Structure: Evidence for Germany," Empirical Economics, Springer, volume 22, issue 2, pages 161-179.
• Giovanni Di Masi & Tomas Björk & Wolfgang Runggaldier & Yuri Kabanov, 1997, "Towards a general theory of bond markets (*)," Finance and Stochastics, Springer, volume 1, issue 2, pages 141-174.
• Marek Rutkowski & Marek Musiela, 1997, "Continuous-time term structure models: Forward measure approach (*)," Finance and Stochastics, Springer, volume 1, issue 4, pages 261-291.
• Farshid Jamshidian, 1997, "LIBOR and swap market models and measures (*)," Finance and Stochastics, Springer, volume 1, issue 4, pages 293-330.
• Beniamin Goldys, 1997, "A note on pricing interest rate derivatives when forward LIBOR rates are lognormal," Finance and Stochastics, Springer, volume 1, issue 4, pages 345-352.
• Stefan R. Jaschke, 1997, "Arbitrage bounds for the term structure of interest rates," Finance and Stochastics, Springer, volume 2, issue 1, pages 29-40.
• Fabio Canova & Gianni de Nicolo, 1997, "Stock returns, term structure, inflation and real activity: An international perspective," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 203, Jan.
• Manuel Moreno, 1997, "Risk management under a two-factor model of the term structure of interest rates," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 254, Dec.
• Manuel Moreno, 1997, "On the relevance of modeling volatility for pricing purposes," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 431, Sep, revised Oct 1999.
• Laidler, David, 1997, "The Wicksell Connection, The Quantity Theory and Keynes," University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics, number 9708.
• Border, Kim C. & Segal, Uzi, 1997, "Coherent Odds and Subjective Probability," University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics, number 9717.
• Siklos, P.L. & Granger, C.W.J., 1997, "Regime Sensitive Cointegration with an Application to Interest rate Parity," Working Papers, Wilfrid Laurier University, Department of Economics, number 97-5.
• Jean-Philippe BOUCHAUD & Rama CONT & Nicole EL KAROUI & Marc POTTERS & Nicolas SAGNA, 1997, "Phenomenology of the interest curve," Finance, University Library of Munich, Germany, number 9712009, Dec.
• Jens Weidmann, 1997, "New Hope for the Fisher Effect? A Re-Examination Using Threshold Cointegration," Macroeconomics, University Library of Munich, Germany, number 9705005, May.
• Manfred J.M. Neumann & Jens Weidmann, 1997, "The Information Content of German Discount Rate Changes," Macroeconomics, University Library of Munich, Germany, number 9706006, Jun.
• Riedel, Frank, 1997, "A class of Health-Jarrow-Morton models in which the unbiased expectations hypothesis holds," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1997,19.

1996

• Alison Tarditi, 1996, "Modelling the Australian Exchange Rate, Long Bond Yield and Inflationary Expectations," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp9608, Nov.
• Rebelo, S. & Xie, D., 1996, "On the Optimality of Interest Rate Smoothing," RCER Working Papers, University of Rochester - Center for Economic Research (RCER), number 427.
• Gerd Hansen, 1996, "The domestic term structure and international interest rate linkages: A cointegration analysis," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 132, issue 4, pages 675-689, December, DOI: 10.1007/BF02707588.
• Lemmen, J.J.G. & Eijffinger, S.C.W., 1996, "The Fundamental Determinants of Financial Integration in the European Union," Other publications TiSEM, Tilburg University, School of Economics and Management, number b994dede-d928-4b3b-bf51-7.
• Garcia, Rene & Perron, Pierre, 1996, "An Analysis of the Real Interest Rate under Regime Shifts," The Review of Economics and Statistics, MIT Press, volume 78, issue 1, pages 111-125, February.
• Brock, P.L., 1996, "High Real Interest rates and Banking Crisis in an Open Economy: A Case Study of Chile, 1975-1983," Working Papers, University of Washington, Department of Economics, number 96-12.
• Manuel Moreno & Juan I. Peña, 1996, "On the term structure of Interbank interest rates: Jump-diffusion processes and option pricing," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 191, Nov.
• Manuel Moreno, 1996, "A two-mean reverting-factor model of the term structure of interest rates," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 193, Nov.
• Christopher F. Baum & John Barkoulas, 1996, "Time‐varying risk premia in the foreign currency futures basis," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 16, issue 7, pages 735-755, October.
• Krämer, Jörg W., 1996, "Determinants of the expected real long-term interest rates in the G7-countries," Kiel Working Papers, Kiel Institute for the World Economy (IfW Kiel), number 751.
• Nicholas Ricketts, 1996, "Real short-term interest rates and expected inflation: Measurement and interpretation," Bank of Canada Review, Bank of Canada, volume 1996, issue Summer, pages 23-39.
• Agathe Côté & Jocelyn Jacob & John Nelmes & Miles Whittingham, 1996, "Inflation expectations and Real Return Bonds," Bank of Canada Review, Bank of Canada, volume 1996, issue Summer, pages 41-53.
• Juan Ayuso & J. David López-Salido, 1996, "What Does Consumption Tell Us about Inflation Expectations and Real Interest Rates?," Working Papers, Banco de España, number 9633.
• Eric Jondeau & Roland Ricart, 1996, "The Expectation Theory: Tests on French, German, and American Euro-Rates," Working papers, Banque de France, number 35.
• John Barkoulas & Christopher F. Baum, 1996, "Time-Varying Risk Premia in the Foreign Currency Futures Basis," Boston College Working Papers in Economics, Boston College Department of Economics, number 281., Jan.
• John Barkoulas & Christopher F. Baum & Atreya Chakraborty, 1996, "Nearest-Neighbor Forecasts of U.S. Interest Rates," Boston College Working Papers in Economics, Boston College Department of Economics, number 313., Feb, revised 01 Apr 2003.
• John Barkoulas & Christopher F. Baum & Gurkan S. Oguz, 1996, "Fractional Cointegration Analysis of Long Term International Interest Rates," Boston College Working Papers in Economics, Boston College Department of Economics, number 315., Jan.
• John Barkoulas & Christopher F. Baum, 1996, "Fractional Differencing Modeling and Forecasting of Eurocurrency Deposit Rates," Boston College Working Papers in Economics, Boston College Department of Economics, number 317., Jan.
• John Barkoulas & Christopher F. Baum & Joseph Onochie, 1996, "Nonlinear Nonparametric Prediction of the 90-Day T-Bill Rate," Boston College Working Papers in Economics, Boston College Department of Economics, number 320., Jan.
• Darvas, Zsolt, 1996, "Exchange Rate Premia and the Credibility of the Crawling Target Zone in Hungary," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1307, Jan.
• Favero, Carlo A. & Iacone, Fabrizio & Pifferi, Marco, 1996, "Monetary Policy, Forward Rates and Long Rates: Does Germany Differ from the United States?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1456, Sep.
• Willem Naudé, 1996, "Financial liberalisation and interest rate risk management in sub-Saharan Africa," CSAE Working Paper Series, Centre for the Study of African Economies, University of Oxford, number 1996-12.
• Tzavalis, Elias & Wickens, M. R., 1996, "Forecasting inflation from the term structure," Journal of Empirical Finance, Elsevier, volume 3, issue 1, pages 103-122, May.
• Artus, P., 1996, "Taux d'interet reels et inflation," Papers, Caisse des Depots et Consignations - Cahiers de recherche, number 1996-04/f.
• Beim, D-O, 1996, "The Prime Premium : Is Relationship Banking Too Costly for Some?," Papers, Columbia - Graduate School of Business, number 96-22.
• Fell, J.P.C., 1996, "The Role of Short Rates and Foreign Long Rates in the Determination of Long-Term Interest Rates," Papers, European Monetary Institute, number 4.
• Fell, J.P.C. & Levy, A., 1996, "Issues in the ECU Markets and Some Tentative Explanations fro Some Apparent Puzzles," Papers, European Monetary Institute, number 6.
• Pierre-Olivier Gourinchas & Aaron Tornell, 1996, "Exchange Rate Dynamics and Learning," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1771.
• Martin L. Weitzman, 1996, "On the Welfare Significance of National Product Under Interest-Rate Uncertainty," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1776.
• Monadjemi, M.S., 1996, "International Interest Rates Linkage: Evidence from OCDE Countries," Papers, New South Wales - School of Economics, number 96/24.
• Joyeux, R. & Worner, W.E., 1996, "Price and Change Rate determination Between Laos and Thailand," Papers, New South Wales - School of Economics, number 96/29.
• David Backus & Silverio Foresi & Stanley Zin, 1996, "Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 96-8, Apr.
• Brock, P.L., 1996, "High Real Interest rates and Banking Crisis in an Open Economy: A Case Study of Chile, 1975-1983," Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington, number 96-12.
• Söderlind, Paul & Svensson, Lars E.O., 1996, "New Techniques to Extract Market expectations from Financial Instruments," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 142, Dec.
• Ignazio Angeloni & Alessandro Prati, 1996, "The identification of liquidity effects in the EMS: Italy 1991–1992," Open Economies Review, Springer, volume 7, issue 3, pages 275-293, July, DOI: 10.1007/BF01886825.
• Darvas, Zsolt, 1996, "Kamatkülönbség és árfolyam-várakozások az előre bejelentett kúszó árfolyamrendszerben
  [Interest differential and exchange rate expectations in the preannounced crawling band system of Hungary]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 10, pages 920-947.
• Barabás, Gyula, 1996, "Kamatparitás lebegő és csúszó leértékeléses árfolyamrendszerben
  [Interest parity in floating and in crawling-peg foreign exchange rate régimes]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 11, pages 972-994.
• Ghysels, E. & Ng, S., 1996, "A Semi-Parametric Factor Model for Interest Rates," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 9612.
• Ghysels, E. & Ng, S., 1996, "A Semi-Parametric Factor Model for Interest Rates," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 9612.
• David Backus & Silverio Foresi & Stanley Zin, 1996, "Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 5638, Jun.
• Wouter J. Den Haan, 1996, "Understanding Equilibrium Models with a Small and a Large Number of Agents," NBER Working Papers, National Bureau of Economic Research, Inc, number 5792, Oct.
• David G. Barr & John Y. Campbell, 1996, "Inflation, Real Interest Rates, and the Bond Market: A Study of UK Nominal and Index-Linked Government Bond Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 5821, Nov.
• Deriet, M. & Seccareccia, M., 1996, "Bank Markups, Horizontalism and the Significance of Banks's Liquidity Preference: An Empirical Assessment," Working Papers, University of Ottawa, Department of Economics, number 9601e.
• Cebula, Richard, 1996, "An Empirical Note on the Impact of the Federal Budget Deficit on Ex Ante Real Long-Term, Interest Rates, 1973-1995," MPRA Paper, University Library of Munich, Germany, number 51414, Jan.
• Lara D. Shore-Sheppard, 1996, "The Precision of Instrumental Variables Estimates With Grouped Data," Working Papers, Princeton University, Department of Economics, Industrial Relations Section., number 753, Dec.

1995

• Laurence H. Meyer & Anandi P. Sahu, 1995, "Inflation Non-neutralities and the Response of Interest Rates to Inflation Expectations," Eastern Economic Journal, Eastern Economic Association, volume 21, issue 1, pages 67-81, Winter.
• Tzavalis, E. & Wickens, M.R., 1995, "Forecasting Inflation from the Term Structure," Discussion Papers, University of Exeter, Department of Economics, number 9519.
• Markku Lanne, 1995, "Co-integration and the term structure of Finnish short-term interest rates," Finnish Economic Papers, Finnish Economic Association, volume 8, issue 1, pages 3-16, Spring.
• Mika Linden, 1995, "Interest rate and inflation expectations in Finland 1987-1994 : a case for the inverted fisher hypothesis," Finnish Economic Papers, Finnish Economic Association, volume 8, issue 2, pages 108-115, Autumn.