## Research classified by
*Journal of
Economic Literature* (JEL) codes

Top JEL

/ E: Macroeconomics and Monetary Economics

/ / E4: Money and Interest Rates

/ / /

**E43: Interest Rates: Determination, Term Structure, and Effects**

**This JEL code is mentioned in the follow RePEc Biblio entries:**

**This topic is covered by the following reading lists:**

- Quantitative Macroeconomics and Real Business Cycles (QM&RBC)
- Mondialisation
- Advanced Monetary Theory and Policy (ECON 447)

Most recent items first, undated at the end.

**Financial Structure and Instability in an Open Economy**

*by*Kenshiro Ninomiya

**Temptation and Forward Guidance**

*by*Airaudo, Marco

**Economic Fundamentals and Spill-over among Asian Term Structures**

*by*Wachirawat Banchuen

**Effets sectoriels de la politique monétaire et activité économique: cas du Maroc**

*by*Moussir, Charaf Eddine

**Impact of the Degree of Relative Risk Aversion, the Interest Rate and the Exchange Rate Depreciation on Economic Welfare in a Small Open Economy**

*by*Soriano-Morales, Yazmín Viridiana & Vallejo-Jiménez, Benjamín & Venegas-Martínez, Francisco

**Is bank lending corruption self-regulatory? A note**

*by*Erotokritos Varelas

**The Long-run Determinants of Indian Government Bond Yields**

*by*Tanweer Akram & Anupam Das

**Search-for-Yield and Business Cycle**

*by*Katsuhiro Oshima

**Sovereign yield spreads in the EMU: crisis and structural determinants**

*by*António Afonso & Frederico Silva Leal

**Stock-Flow Adjustments and Interest Rates**

*by*António Afonso & José Alves

**Term Structure Models with Negative Interest Rates**

*by*Yoichi Ueno

**"Low-For-Long" Interest Rates and Banks' Interest Margins and Profitability : Cross-Country Evidence**

*by*Stijn Claessens & Nicholas Coleman & Michael S. Donnelly

**Capital Misallocation and Secular Stagnation**

*by*Andrea Caggese & Ander Perez

**Updating the Long Term Rate in Time: A Possible Approach**

*by*Diana Zigraiova & Petr Jakubik

**Stagnation traps**

*by*Gianluca Benigno & Luca Fornaro

**Secular stagnation: Determinants and consequences for Australia**

*by*Grace Taylor & Rod Tyers

**Hoarding international reserves and global liquidity expansion, what are the links and do they matter?**

*by*Nady Rapelanoro

**Inefficient Liquidity Provision**

*by*John Geanakoplos & Kieran James Walsh

**"Low-For-Long” Interest Rates and Banks' Interest Margins and Profitability: Cross-Country Evidence**

*by*Claessens, Stijn & Coleman, Nicholas & Donnelly, Michael

**Ambiguity, Monetary Policy and Trend Inflation**

*by*Ricardo M. Masolo & Francesca Monti

**The effect of house prices on household borrowing: a new approach**

*by*Cloyne, James & Huber, Kilian & Ilzetzki, Ethan & Kleven, Henrik

**Central bank sentiment and policy expectations**

*by*Hubert, Paul & Labondance, Fabien

**Subjective Interest Rate Uncertainty and the Macroeconomy: A Cross-country Analysis**

*by*K. Istrefi & S. Mouabbi

**Searching for the Fed’s reaction function**

*by*Katrin Wölfel & Christoph S. Weber

**Excess Reserves and Monetary Policy Implementation**

*by*Roc Armenter & Benjamin Lester

**The Dynamic Relationship Between Housing Prices and the Macroeconomy: Evidence from OECD Countries**

*by*N. Kundan Kishor & Hardik A. Marfatia

**Monitoring of Russia's Economic Outlook**

*by*Drobyshevsky Sergey & Turuntseva Marina & Loginova Daria & Bozhechkova Alexandra & Trunin Pavel & Averkiev Vladimir

**Monitoring of Russia's Economic Outlook**

*by*Drobyshevsky Sergey & Turuntseva Marina & Loginova Daria & Bozhechkova Alexandra & Trunin Pavel & Averkiev Vladimir

**Towards an asymmetric long run equilibrium between stock market uncertainty and the yield spread. A threshold vector error correction approach**

*by*Evgenidis, Anastasios & Tsagkanos, Athanasios & Siriopoulos, Costas

**Do analysts' forecasts of term spread differential help predict directional change in exchange rates?**

*by*Baghestani, Hamid & Toledo, Hugo

**The asymmetry of U.S. monetary policy: Evidence from a threshold Taylor rule with time-varying threshold values**

*by*Zhu, Yanli & Chen, Haiqiang

**Excess reserves, monetary policy and financial volatility**

*by*Primus, Keyra

**The impact of fiscal rules on sovereign risk premia: International evidence**

*by*Thornton, John & Vasilakis, Chrysovalantis

**The role of oil prices in the forecasts of South African interest rates: A Bayesian approach**

*by*Gupta, Rangan & Kotzé, Kevin

**The expected real yield and inflation components of the nominal yield curve**

*by*Lange, Ronald H.

**Influencing Factors of Net Interest Margin in Turkish Banking Sector**

*by*Serhat Yuksel & Sinemis Zengin

**A model of the euro-area yield curve with discrete policy rates**

*by*Renne Jean-Paul

**Asymmetric Effects on Financial Cycles in a Monetary Union with Diverging Country Preferences for Variable- and Fixed-Rate Mortgages**

*by*Michael Richter

**Determinants of Foreign Direct Investment in Romania: a Quantitative Approach**

*by*Calcedonia Enache & Fernando Merino

**Determinants of Bank-Sovereign Distress**

*by*Raphael Espinoza & Miguel Segoviano

**Is Inflation Persistence Different in Reality?**

*by*Nikolaos Antonakakis & Juncal Cunado & Luis A. Gil-Alana & Rangan Gupta

**Functioning of monetary and financial system and the depression of the Russian economy**

*by*V. Manevitch.

**Global-Soziale Marktwirtschaft und die Flüchtlingsfrage**

*by*von Weizsäcker, Carl Christian

**Sovereign Stress, Banking Stress, and Corporate Financing Costs in the Euro Area**

*by*Holtemöller, Oliver

**Regional Banking Instability and FOMC Voting**

*by*Eichler, Stefan & Lähner, Tom & Noth, Felix

**Forward Guidance under Disagreement - Evidence from the Fed’s dot projections**

*by*Detmers, Gunda-Alexandra

**Understanding Benign Liquidity Traps: The Case of Japan**

*by*Homburg, Stefan

**Spillovers of banking regulation: The effect of the German bank levy on the lending rates of regional banks and their local competitors**

*by*Haskamp, Ulrich

**Equilibrium real interest rates and secular stagnation: An empirical analysis for euro area member countries**

*by*Belke, Ansgar & Klose, Jens

**House prices and interest rates: Bayesian evidence from Germany**

*by*Hanck, Christoph & Prüser, Jan

**Did quantitative easing affect interest rates outside the US? New evidence based on interest tate differentials**

*by*Belke, Ansgar & Gros, Daniel & Osowski, Thomas

**Regional Banking Instability and FOMC Voting**

*by*Eichler, Stefan & Lähner, Tom & Noth, Felix

**Much ado about nothing: Sovereign ratings and government bond yields in the OECD**

*by*El-Shagi, Makram

**Why are policy real interest rates so high in Brazil? An analysis of the determinants of the Central Bank of Brazil's real interest rate**

*by*Balliester Reis, Thereza

**Forward guidance and "lower for longer": The case of the ECB**

*by*Bletzinger, Tilman & Wieland, Volker

**Asset market response to monetary policy news from SNB press releases**

*by*Hüning, Hendrik

**Global-Soziale Marktwirtschaft und die Flüchtlingsfrage**

*by*von Weizsäcker, Carl Christian

**Population growth, saving, interest rates and stagnation: Discussing the Eggertsson-Mehrotra model**

*by*Spahn, Peter

**Investitionen: Warum wir sie brauchen und wie wir sie kriegen**

*by*Christl, Michael & Köppl-Turyna, Monika & Lorenz, Hanno

**The effect of conventional and unconventional euro area monetary policy on macroeconomic variables**

*by*Halberstadt, Arne & Krippner, Leo

**Below the zero lower bound: A shadow-rate term structure model for the euro area**

*by*Lemke, Wolfgang & Vladu, Andreea L.

**中国地方政府性债务风险与国债定价--基于城投债利差与国债收益率的分析**

*by*牛霖琳 & 洪智武 & 陈国进

**Interest rates, corporate lending and growth in the Euro Area**

*by*Gabriele Tondl

**Conventional monetary policy and the degree of interest rate pass through in the long run: a non-normal approach**

*by*Dong-Yop Oh & Hyejin Lee & Karl David Boulware

**Il Debito Pubblico Italiano Analisi Della Sua Composizione Dal 1999 Ad Oggi**

*by*Francesco Rossi & Riccardo Zanrossi

**Explaining the Failure of the Expectations Hypothesis with Short-Term Rates**

*by*Ranaldo, Angelo & Rupprecht, Matthias

**Unsecured and Secured Funding**

*by*Ranaldo, Angelo & Wrampelmeyer, Jan

**Fragility of Money Markets**

*by*Ranaldo, Angelo & Rupprecht, Matthias & Wrampelmeyer, Jan

**The Macroeconomic Determinants of the US Term-Structure During The Great Moderation**

*by*Alessia Paccagnini

**Alternative User Costs, Rates of Return and TFP Growth Rates for the US Nonfinancial Corporate and Noncorporate Business Sectors: 1960-2014**

*by*Diewert, W. Erwin & Fox, Kevin J.

**Persistent Stochastic Shocks in a New Keynesian Model with Uncertainty**

*by*Tobias Kranz

**Interest Rate Rules, Exchange Market Pressure, and Successful Exchange Rate Management**

*by*Franc Klaassen & Kostas Mavromatis

**Co-movement of Exchange Rates with Interest Rate Differential, Risk Premium and FED Policy in “Fragile Economies”**

*by*M. Utku Ozmen & Erdal Yilmaz

**The Impact of the ECB’s Conventional and Unconventional Monetary Policies on Stock Markets**

*by*Reinder Haitsma & Deren Unalmis & Jakob de Haan

**The Effect of Inflation and Interest Rates on Forward-Looking Effective Tax Rates**

*by*Centre for European Economic Reserach (ZEW)

**The shadow rate as a predictor of real activity and inflation: Evidence from a data-rich environment**

*by*Hännikäinen Jari

**When does the yield curve contain predictive power? Evidence from a data-rich environment**

*by*Jari Hännikäinen

**Credit market heterogeneity, balance sheet (in)dependence, financial shocks**

*by*Chris Garbers & Guangling Liu

**Fractionality and co-fractionality between Government Bond yields**

*by*Håvard Hungnes

**Central Bank Sentiment and Policy Expectations**

*by*Paul Hubert & Fabien Labondance

**Solving Endogenous Regime Switching Models**

*by*Jean Barthélemy & Magali Marx

**Central Bank Sentiment and Policy Expectations**

*by*Paul Hubert & Fabien Labondance

**The effect of ECB forward guidance on policy expectations**

*by*Paul Hubert & Fabien Labondance

**Previdência e taxa de juros no Brasil**

*by*Brian Bolarinwa Ogundairo & Mauro Rodrigues

**A Portfolio Model of Quantitative Easing**

*by*Jens H. E. Christensen & Signe Krogstrup

**Securitisation, loan growth and bank funding: the Swiss experience since 1932**

*by*Jonas Meuli & Thomas Nellen & Thomas Nitschka

**Networks and lending conditions: Empirical evidence from the Swiss franc money markets**

*by*Silvio Schumacher

**Is Poland at risk of the zero lower bound?**

*by*Michal Brzoza-Brzezina & Marcin Kolasa & Mateusz Szetela

**Why may large economies suffer more at the zero lower bound?**

*by*Michal Brzoza-Brzezina

**Do Ownership Structure and Market Power Matter in Interest Rate Pass-through? Evidence from Pakistan’s Bank Level Data**

*by*Syed Zulqernain Hussain & Mahmood ul Hasan Khan

**Should Central Bank Forget Reserve Requirements? Assessment of Reserve Requirements in Transmitting SBP’s Policy Shocks to Retail Interest Rates and Exchange Rate**

*by*Muhammad Omer

**Assessing Monetary Policy Effectiveness in Rich Data Environment**

*by*Muhammad Nadim Hanif & Javed Iqbal

**Effects of South African Monetary Policy Implementation on the CMA: A Panel Vector Autoregression Approach**

*by*Monaheng Seleteng (PhD)

**Credit market heterogeneity, balance sheet (in) dependence, financial shocks**

*by*Chris Garbers & Guangling Liu

**Qualitative Guidance and Predictability of Monetary Policy in South Africa**

*by*Alain Kabundi & NtuthukoTsokodibane

**Population growth, saving, interest rates and stagnation**

*by*Peter Spahn

**Housing Prices, Mortgage Interest Rates and the Rising Share of Capital Income in the United States**

*by*Gianni La Cava

**Dynamic Capital inflow transmission of monetary policy to emerging markets**

*by*Adugna Olani

**Interest rate pass-through: a nonlinear vector error-correction approach**

*by*Michal Popiel

**The Output Euler Equation and Real Interest Rate Regimes**

*by*Pym Manopimoke

**Daily Movements in the Thai Yield Curve: Fundamental and Non-Fundamental Drivers**

*by*Jakree Koosakul

**Central Bank Communication and Monetary Policy Effectiveness: Evidence from Thailand**

*by*Pongsak Luangaram & Yuthana Sethapramote

**The Effect of Quantitative Easing on Lending Conditions**

*by*Laura Blattner & Luisa Farinha & Gil Nogueira

**Mathematical model of the economic trend**

*by*Krouglov, Alexei

**Preference for Liquidity of Agents: An Analyse of Brasilian Case**

*by*LAGES, ANDRÉ MAIA GOMES & SANTOS, FABRÍCIO RIOS NASCIMENTO & FERREIRA, HUMBERTO BARBOSA

**Influence de la politique monétaire sur le taux long Quelques évidences empiriques, cas du Maroc**

*by*EL FAIZ, Zakaria & ZIANI, Manal

**Recalibrarea sistemului bancar european in contextul noilor cerinte si realitati**

*by*Danila, Marius

**Implicatii ale plasarii dobanzilor in zona negativa**

*by*Danila, Marius

**Yield Curve for Japanese Agency Bonds: From 2002 to the Present**

*by*Hattori, Takahiro & Miyake, Hiroki

**The Strategic Determination of the Supply of Liquid Assets**

*by*Geromichalos, Athanasios & Herrenbrueck, Lucas

**The shadow rate as a predictor of real activity and inflation: Evidence from a data-rich environment**

*by*Hännikäinen, Jari

**Effectiveness of Monetary Policy: Evidence from Turkey**

*by*Avci, S. Burcu & Yucel, Eray

**Inflation is Always and Everywhere an Interest-Rate Phenomenon**

*by*Belanger, Gilles

**When does the yield curve contain predictive power? Evidence from a data-rich environment**

*by*Hännikäinen, Jari

**Public spending, monetary policy and growth: Evidence from EU countries**

*by*Papaioannou, Sotiris

**Did the global financial crisis alter equilibrium adjustment dynamics between the US Fed rates and stock price volatility in the SSA region?**

*by*Phiri, Andrew

**The Japan Municipal Bond Yield Curve: 2002 to the Present**

*by*Hattori, Takahiro & Miyake, Hiroki

**Inflation expectations derived from a portfolio model**

*by*Covarrubias, Enrique & Hernández-del-Valle, Gerardo

**Is there a crowding-out effect in the Moroccan context ? Evidence from structural VAR Analysis**

*by*BOUNADER, Lahcen

**Effect of interest rate on bank deposits: evidences from Islamic and non-Islamic economies**

*by*Mushtaq, Saba & Siddiqui, Danish Ahmed

**Три Варианта Экономической Политики Для России**

*by*BLINOV, Sergey

**The Evasive Predictive Ability of Core Inflation**

*by*Pincheira, Pablo & Selaive, Jorge & Nolazco, Jose Luis

**Estimating the Taylor Rule in the Time-Frequency Domain**

*by*Luís Aguiar-Conraria & Manuel M. F. Martins & Maria Joana Soares

**Macro Risks and the Term Structure of Interest Rates**

*by*Geert Bekaert & Eric Engstrom & Andrey Ermolov

**Monetary Policy and the Stock Market: Time-Series Evidence**

*by*Andreas Neuhierl & Michael Weber

**Forward Guidance without Common Knowledge**

*by*George-Marios Angeletos & Chen Lian

**Cash Flow Duration and the Term Structure of Equity Returns**

*by*Michael Weber

**Are Supply Shocks Contractionary at the ZLB? Evidence from Utilization-Adjusted TFP Data**

*by*Julio Garín & Robert Lester & Eric Sims

**A Model of the International Monetary System**

*by*Emmanuel Farhi & Matteo Maggiori

**Bernanke's No-arbitrage Argument Revisited: Can Open Market Operations in Real Assets Eliminate the Liquidity Trap?**

*by*Gauti B. Eggertsson & Kevin Proulx

**Understanding the Decline in the Safe Real Interest Rate**

*by*Robert E. Hall

**Bond Risk Premia in Consumption-based Models**

*by*Drew D. Creal & Jing Cynthia Wu

**Raise Rates to Raise Inflation? Neo-Fisherianism in the New Keynesian Model**

*by*Julio Garín & Robert Lester & Eric Sims

**The Term Structure of Interest Rates in India**

*by*Rajnish Mehra & Arunima Sinha

**Japanization: Is it Endemic or Epidemic?**

*by*Takatoshi Ito

**The nonlinear nature of country risk and its implications for DSGE models**

*by*Michał Brzoza-Brzezina & Jacek Kotlowski

**Monetary policy transmission mechanism in Poland.What do we know in 2015?**

*by*Mariusz Kapuściński & Andrzej Kocięcki & Halina Kowalczyk & Tomasz Łyziak & Jan Przystupa & Ewa Stanisławska & Anna Sznajderska & Ewa Wróbel

**Interest rate pass-through in Poland since the global financial crisis**

*by*Mariusz Kapuściński & Ewa Stanisławska

**The role of bank balance sheets in monetary policy transmission. Evidence from Poland**

*by*Mariusz Kapuściński

**Do long term interest rates drive GDP and inflation in small open economies? Evidence from Poland**

*by*Grzegorz Wesołowski

**Do inflation expectations matter in a stylised New Keynesian model? The case of Poland**

*by*Tomasz Łyziak

**Why may large economies suffer more at the zero lower bound?**

*by*Michał Brzoza-Brzezina

**Forward Guidance, Quantitative Easing, or both?**

*by*Ferre De Graeve & Konstantinos Theodoridis

**Forward Guidance, Quantitative Easing, or both?**

*by*Ferre De Graeve & Konstantinos Theodoridis

**Interest Rates Rules**

*by*Ceri Davies & Max Gillman & Michal Kejak

**The Eurozone deposit rates' puzzle: choosing the right benchmark**

*by*Julien Pinter & Charles Boissel

**A European Disease? Non-tradable inflation and real interest rate divergence**

*by*Sophie Piton

**Empirical Estimation of Intraday Yield Curves on the Italian Interbank Credit Market e-MID**

*by*Anastasios Demertzidis & Vahidin Jeleskovic

**Intraday volatility, trading volume and trading intensity in the interbank market e-MID**

*by*Markus Engler & Vahidin Jeleskovic

**A Term Structure of Interest Rates Model with Zero Lower Bound and the European Central Bank's Non-standard Monetary Policy Measures**

*by*Viktors Ajevskis

**The Empirics of Long-Term US Interest Rates**

*by*Tanweer Akram & Huiqing Li

**Japan's Liquidity Trap**

*by*Tanweer Akram

**Foreign Official Holdings of U.S Treasuries, Stock Effect and the Economy: A DSGE Approach**

*by*John Nana Francois

**Regional Banking Instability and FOMC Voting**

*by*Stefan Eichler & T. Lähner & Felix Noth

**Governed by the Cycle: Direct and Inverted Interest-Rate Sensitivity of Emerging Market Corporate Debt**

*by*Mariya Gubareva & Maria Rosa Borges

**Interest Rate (In)sensitivity of Emerging Market Corporate Debt: Economic Analysis based on 2002-2015 Empirical Evidence**

*by*Mariya Gubareva & Maria Rosa Borges

**Is the supply of long-term debt independent of the term premia? Evidence from Portugal**

*by*António Afonso, & Manish K. Singh

**Revisiting Sovereign Bond Spreads’Determinants in the EMU**

*by*António Afonso, & Manuel Reis

**Stocks or flows? New thinking about monetary transmission through the lending channel**

*by*Javier Villar Burke

**A Portfolio Model of Quantitative Easing**

*by*Jens H. E. Christensen & Signe Krogstrup

**Non-Linearities in the Relationship between House Prices and Interest Rates: Implications for Monetary Policy**

*by*Guay Lim & Sarantis Tsiaplias

**The interest rate effects of government bond purchases away from the lower bound**

*by*De Rezende, Rafael B.

**Fed Liftoff and Subprime Loan Interest Rates: Evidence from the Peer-to-Peer Lending Market**

*by*Bertsch, Christoph & Hull, Isaiah & Zhang, Xin

**Pure Theory of the Federal Funds Rate**

*by*Homburg, Stefan

**An Empirical Assessment of Global Capital Productivity**

*by*Knolle, Julia & Lehmann, Kai

**Political Economics of Fiscal Consolidations and External Sovereign Accidents**

*by*Carolina Achury & Christos Koulovatianos & John Tsoukalas

**Japan's Currency Intervention Regimes: A Microstructural Analysis with Speculation and Sentiment**

*by*Ronald McDonald & Xuxin Mao

**Government Wealth Funds and Monetary Policy**

*by*Sergey Sinelnikov-Murylev & Pavel Trunin

**Russia’s Monetary Policy in 2015**

*by*Bozhechkova Alexandra & Trunin Pavel & Kiyutsevskaya Anna

**The impact of unconventional monetary policy on the sovereign bank nexus within and across EU countries. A time-varying conditional correlation analysis**

*by*Giulio Cifarelli & Giovanna Paladino

**Bankruptcy and Delinquency in a Model of Unsecured Debt**

*by*Athreya, Kartik B. & Sanchez, Juan M. & Tam, Xuan S. & Young, Eric R.

**Term structures of inflation expectations and real interest rates**

*by*Aruoba, S. Boragan

**Excess Reserves and Monetary Policy Implementation**

*by*Armenter, Roc & Lester, Benjamin

**How to escape a liquidity trap with interest rate rules**

*by*Duarte, Fernando M.

**The Equilibrium Term Structure of Equity and Interest Rates**

*by*Doh, Taeyoung & Wu, Shu

**The Term Structure and Inflation Uncertainty**

*by*Breach , Tomas & D'Amico, Stefania & Orphanides, Athanasios

**Measuring Interest Rate Risk in the Life Insurance Sector: The U.S. and the U.K**

*by*Hartley, Daniel & Paulson, Anna L. & Rosen, Richard J.

**Option-Implied Libor Rate Expectations across Currencies**

*by*Nick Gebbia

**The Effect of Monetary Policy on Housing Tenure Choice as an Explanation for the Price Puzzle**

*by*Daniel A. Dias & Joao B. Duarte

**Changes in Prudential Policy Instruments ---- A New Cross-Country Database**

*by*Eugenio Cerutti & Ricardo Correa & Elisabetta Fiorentino & Esther Segalla

**Equilibrium Yield Curves and the Interest Rate Lower Bound**

*by*Taisuke Nakata & Hiroatsu Tanaka

**Effects of Changing Monetary and Regulatory Policy on Overnight Money Markets**

*by*Elizabeth C. Klee & Zeynep Senyuz & Emre Yoldas

**Measuring the Natural Rate of Interest : International Trends and Determinants**

*by*Holston, Kathryn & Laubach, Thomas & Williams, John C.

**Financial Stability and Optimal Interest-Rate Policy**

*by*Andrea Ajello & Thomas Laubach & J. David Lopez-Salido & Taisuke Nakata

**Funding Liquidity Risk and the Cross-section of MBS Returns**

*by*Yuriy Kitsul & Marcelo Ochoa

**A Time Series Model of Interest Rates With the Effective Lower Bound**

*by*Benjamin K. Johannsen & Elmar Mertens

**Real and Nominal Equilibrium Yield Curves: Wage Rigidities and Permanent Shocks**

*by*Alex Hsu & Erica X. N. Li & Francisco J. Palomino

**A Portfolio Model of Quantitative Easing**

*by*Christensen, Jens H. E. & Krogstrup, Signe

**Measuring the natural rate of interest: International trends and determinants**

*by*Holston, Kathryn & Laubach, Thomas & Williams, John C.

**Measuring the effect of the zero lower bound on monetary policy**

*by*Carvalho, Carlos & Hsu, Eric & Nechio, Fernanda

**Forward guidance and the state of the economy**

*by*Keen, Benjamin D. & Richter, Alexander & Throckmorton, Nathaniel

**Are nonlinear methods necessary at the zero lower bound?**

*by*Richter, Alexander & Throckmorton, Nathaniel

**Monetary policy and regional house-price appreciation**

*by*Cooper, Daniel H. & Luengo-Prado, Maria Jose & Olivei, Giovanni P.

**Forecasts of inflation and interest rates in no-arbitrage affine models**

*by*Gospodinov, Nikolay & Wei, Bin

**Affine term structure pricing with bond supply as factors**

*by*Hayashi, Fumio

**The effect of ECB forward guidance on policy expectations**

*by*Paul Hubert & Fabien Labondance

**Central Bank sentiment and policy expectations**

*by*Paul Hubert & Fabien Labondance

**Financial Variables in a Policy Rule: Does It Bring Macroeconomic Benefits?**

*by*Jan Zacek

**A Note on Simple Monetary Policy Rules with Labour Market and Financial Frictions**

*by*Sarunas Girdenas

**Sovereign Debt Issuance and Selective Default**

*by*Paczos, Wojtek; Shakhnov, Kirill

**University differences in the graduation minorities in STEM fields: evidence from California**

*by*Peter Arcidiacono & Esteban M. Aucejo & V. Joseph Hotz

**Covered interest parity: evidence from Russian money market**

*by*Kuga Iakov & Elena Kuzmina

**Financial factors and monetary policy: Determinacy and learnability of equilibrium**

*by*Paul Kitney

**Media Coverage and ECB Policy-Making: Evidence from a New Index**

*by*Hamza Bennani

**Interest margins and bank regulation in Central America and the Caribbean**

*by*Anthony Birchwood & Michael Brei & Dorian Noel

**Bank profitability and risk taking in a prolonged environment of low interest rates: a study of interest rate risk in the banking book of Dutch banks**

*by*Raymond Chaudron

**Ambiguity and Time-Varying Risk Aversion in Sovereign Debt Markets**

*by*Christoph Große Steffen & Maximilian Podstawski

**Optimal Debt Management in a Liquidity Trap**

*by*Hafedh BOUAKEZ & Rigas OIKONOMOU & Romanos PRIFTIS

**Eurozone Debt Crisis and Bond Yields Convergence: Evidence from the New EU Countries**

*by*Minoas Koukouritakis

**The Effect of ECB Forward Guidance on Policy Expectations**

*by*Paul Hubert & Fabien Labondance

**Central Bank Sentiment and Policy Expectations**

*by*Paul Hubert & Fabien Labondance

**The Term Structure and Inflation Uncertainty**

*by*Breach, Tomas & D'Amico, Stefania & Orphanides, Athanasios

**QE: the story so far**

*by*Haldane, Andrew & Roberts-Sklar, Matt & Wieladek, Tomasz & Young, Chris

**A Macrofinance View of U.S. Sovereign CDS Premiums**

*by*Chernov, Mikhail & Schmid, Lukas & Schneider, Andres

**Expectations, Stagnation and Fiscal Policy**

*by*Evans, George W. & Honkapohja, Seppo & Mitra, Kaushik

**A Demand Theory of the Price Level**

*by*Hagedorn, Marcus

**Finding the Equilibrium Real Interest Rate in a Fog of Policy Deviations**

*by*Taylor, John B. & Wieland, Volker

**Bank Leverage and Monetary Policy's Risk-Taking Channel: Evidence from the United States**

*by*DellAriccia, Giovanni & Laeven, Luc & Suarez, Gustavo

**Union Debt Management**

*by*Equiza-Goni, Juan & Faraglia, Elisa & Oikonomou, Rigas

**Forward guidance and "lower for longer": The case of the ECB**

*by*Bletzinger, Tilman & Wieland, Volker

**Stagnation Traps**

*by*Benigno, Gianluca & Fornaro, Luca

**International Transmissions of Monetary Shocks**

*by*Han, Xuehui & Wei, Shang-Jin

**Efectos de los cambios de la tasa de interés de Estados Unidos sobre Colombia, Perú y Chile**

*by*Carlos Fernando Daza Moreno & Jorge Mario Uribe

**Monetary Transmission: Are Emerging Market and Low-Income Countries Different?**

*by*Ales Bulir & Jan Vlcek

**Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns**

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**Monetary Policy Rules and Exchange Rates:A Structural VAR Identified by No Arbitrage**

*by*Sen Dong

**Growth-Indexed Bonds in Emerging Markets: a Quantitative Approach**

*by*Andre Faria

**Why Do Emerging Economies Borrow Short Term?**

*by*Fernando Broner & Guido Lorenzoni & Sergio Schmuckler

**Measuring the Natural Interest Rate for the Peruvian Economy**

*by*Paul Castillo & Carlos Montoro & Vicente Tuesta

**Optimal Monetary Policy with Real-time Signal Extraction from the Bond Market**

*by*Kristoffer Nimark

**Term Structure Rules for Monetary Policy**

*by*Mariano Kulish

**Identifying asset price booms and busts with quantile regressions**

*by*José Ferreira Machado & João Sousa

**Monetary Policy Today: Sixteen Questions and about Twelve Answers**

*by*Alan S. Blinder

**Real-Time Time-Varying Equilibrium Interest Rates: Evidence on the Czech Republic**

*by*Horvath, Roman

**Acceso de la banca de desarrollo al banco central: El caso de COFIDE y las tasas de interés en el Perú**

*by*Jiménez Sotelo, Renzo

**Stock Market Development, Capital Accumulation and Growth in India since 1950**

*by*Sarkar, Prabirjit

**Identifying Determinants of the Cost of Long Term Borrowing for U.S. Firms: Insights for Management**

*by*Cebula, Richard & McGrath, Richard

**Further evidence on the impact of economic news on interest rates**

*by*Ielpo, Florian & Guégan, Dominique

**Bonds futures: Delta? No gamma!**

*by*Henrard, Marc

**Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning**

*by*Henrard, Marc

**Why Are Interest Rates So Low?**

*by*John, Tatom

**TIPS Options in the Jarrow-Yildirim model**

*by*Henrard, Marc

**An Interpretation of An Affine Term Structure Model for Chile**

*by*Juan Marcelo, Ochoa

**A Reinterpretation and Remedy of Keynes’s Liquidity Preference Theory**

*by*Wenge Huang

**A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration**

*by*Francis X. Diebold & Lei Ji & Canlin Li

**Factors Behind Low Long-Term Interest Rates**

*by*Rudiger Ahrend & Pietro Catte & Robert W. R. Price

**Heterogeneous Expectations and Bond Markets**

*by*Wei Xiong & Hongjun Yan

**Revealing the Secrets of the Temple: The Value of Publishing Central Bank Interest Rate Projections**

*by*Glenn D. Rudebusch & John C. Williams

**International Capital Flows and U.S. Interest Rates**

*by*Francis E. Warnock & Veronica Cacdac Warnock

**Modern Macroeconomics in Practice: How Theory is Shaping Policy**

*by*Patrick Kehoe & Varadarajan V. Chari

**Can Central Banks Target Bond Prices?**

*by*Kenneth Kuttner

**A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives**

*by*Anders B. Trolle & Eduardo S. Schwartz

**The term structure of interest rates in a DSGE model**

*by*Marina Emiris

**The term structure of interest rates in a DSGE model**

*by*Marina Emiris

**Structural breaks in the interest rate pass-through and the euro. A cross-country study in the euro area and the UK**

*by*Giuseppe Marotta

**Multiple breaks in lending rate pass-through A cross country study for the euro area**

*by*Gianluca Di Lorenzo & Giuseppe Marotta

**Multiple breaks in lending rate pass-through A cross country study for the euro area**

*by*Gianluca Di Lorenzo & Giuseppe Marotta

**Structural breaks in the interest rate pass-through and the euro. A cross-country study in the euro area and the UK**

*by*Giuseppe Marotta

**Multiple breaks in lending rate pass-through A cross country study for the euro area**

*by*Gianluca Di Lorenzo & Giuseppe Marotta

**The effect of the MNB’s communication on financial markets**

*by*Péter Gábriel & Klára Pintér

**A Factor Model of the Term Structure of Interest Rates and Risk Premium Estimation for Latvia's Money Market**

*by*Viktors Ajevskis & Kristine Vitola

**Forecasting interest rate swap spreads using domestic and international risk factors: Evidence from linear and non-linear models**

*by*Ilias Lekkos & Costas Milas & Theodore Panagiotidis

**The Impact of ECB Communication on Financial Market Expectations**

*by*Michael Lamla & Sarah M. Rupprecht

**Does Money Matter in the ECB Strategy? New Evidence Based on ECB Communication**

*by*Helge Berger & Jakob de Haan & Jan-Egbert Sturm

**Forecasting interest rate swap spreads using domestic and international risk factors: Evidence from linear and non-linear models**

*by*Costas Milas & Ilias Lekkos & Theodore Panagiotidis

**Crowding-out and Crowding-in Effects of Government Bonds Market on Private Sector Investment (Japanese Case Study)**

*by*Abdullatif Alani, Emad M.A.

**Modeling The Euro Overnight Rate**

*by*Ángel León & Francis Benito & Juan Nave

**Term structure of interest rate. european financial integration**

*by*Hortènsia Fontanals & Elisabet Ruiz & Catalina Bolancé

**Indexed Bonds and Revisions of Inflation Expectations**

*by*Reschreiter, Andreas

**Financial Structure and its Impact on the Convergence of Interest Rate Pass-through in Europe. A Time-varying Interest Rate Pass-through Model**

*by*Schwarzbauer, Wolfgang

**Structural Econometric Approach to Bidding in the Main refinancing Operations of the Eurosystem**

*by*Nuno Cassola & Christian Ewerhart & Claudio Morana

**British Interest Rate Convergence between the US and Europe: A Recursive Cointegration Analysis**

*by*Enzo Weber

**Time Series Analysis of the Expectations Hypothesis for the Japanese Term Structure of Interest Rates in the Presence of Multiple Structural Breaks**

*by*Sugita, Katsuhiro

**Can a time-varying equilibrium real interest rate explain the excess sensitivity puzzle?**

*by*Alexius, Annika & Welz, Peter

**Measuring Expectations**

*by*Kjellberg, David

**Chartist Trading in Exchange Rate Theory**

*by*Selander, Carina

**Does the Yield Spread Predict the Output Gap in the U.S.?**

*by*Zagaglia, Paolo

**The Predictive Power of the Yield Spread under the Veil of Time**

*by*Zagaglia, Paolo

**Life-Cycle Housing and Portfolio Choice with Bond Markets**

*by*van Hemert, Otto

**A Re-examination of the link between Real Exchange Rates and Real Interest Rate Differentials**

*by*Mathias Hoffmann & Ronald MacDonald

**Learning About the Term Structure and Optimal Rules for Inflation Targeting**

*by*Tesfaselassie, M.F. & Schaling, E. & Eijffinger, S.C.W.

**On Simple Conditions for Mixed Equilibria in Dualistic Models. Part II: Degree of Coverage**

*by*Ana Paula Martins

**On Simple Conditions for Mixed Equilibria in Dualistic Models. Part I: Degree of Mobility**

*by*Ana Paula Martins

**A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete**

*by*Peter C. B. Phillips & Jun Yu

**Fool the markets? Creative accounting, fiscal transparency and sovereign risk premia**

*by*Kerstin Bernoth & Guntram Wolff

**Uncovering Yield Parity: A new insight into the UIP puzzle through the stationarity of long maturity forward rates**

*by*Zsolt Darvas & Gábor Rappai & Zoltán Schepp

**Monetary Policy, the Bond Market, and Changes in FOMC Communication Policy**

*by*Troy Davig & Jeffrey R. Gerlach

**Money and Production, and Liquidity Trap**

*by*Pradeep Dubey & John Geanakoplos

**The Term Structure of Interest Rates in the European Union**

*by*Minoas Koukouritakis & Leo Michelis

**New-Keynesian Macroeconomics and the Term Structure**

*by*Bekaert, Geert & Cho, Seonghoon & Moreno Ibáñez, Antonio

**Learning About the Term Structure and Optimal Rules for Inflation Targeting**

*by*Eijffinger, Sylvester C W & Schaling, Eric & Tesfaselassie, Mewael F.

**Una Aproximación a La Dinámica de las Tasas de Interés de Corto Plazo en Colombia a través de Modelos GARCH Multivariados**

*by*Luis Fernando Melo Velandia & Oscar Reinaldo Becerra Camargo

**Tasa De Rendimiento De Capital De Colombia Para El Período Entre 1990-2001**

*by*Ana María Tribín Uribe

**La Tasa de Interés Natural en Colombia**

*by*Juan José Echavarría & Enrique López Enciso & Martha Misas Arango & Juana Tellez Corredor

**Interest Rate Pass-Through In Colombia: A Micro- Banking Perspective**

*by*Rocío Betancourt & Hernando Vargas & Norberto Rodríguez Niño

**Efectos de los cambios en la tasa de intervención del Banco de la República sobre la estructura a plazo**

*by*Luis Eduardo Arango & Andrés González & Jhon Jairo León & Luis Fernando Melo

**Taux d’intérêt et marchés boursiers : une analyse empirique de l’intégration financière internationale**

*by*vladimir Borgy & Valérie Mignon

**The Role of the IMF in Well-Performing Low-Income Countries**

*by*Steve Radelet

**Does Money Matter in the ECB Strategy? New Evidence Based on ECB Communication**

*by*Helge Berger & Jan-Egbert Sturm

**Foreign Exchange Risk Premium Determinants: Case of Armenia**

*by*Tigran Poghosyan & Evzen Kocenda

**Monetary policy before and after the euro: Evidence from Greece**

*by*Arghyrou, Michael G

**Interest Rate Clustering in UK Financial Services Markets**

*by*John K. Ashton & Robert Hudson

**Macroeconomic Models and the Yield Curve: An assessment of the Fit**

*by*Chadha, J.S. & Holly, S.

**Monetary Policy and the Yield Curve at Zero Interest: The Macro-Finance Model of Interest Rates as Options**

*by*Hibiki Ichiue & Yoichi Ueno

**The Use of the Black Model of Interest Rates as Options for Monitoring the JGB Market Expectations**

*by*Yoichi Ueno & Naohiko Baba & Yuji Sakurai

**Effects of the Quantitative Easing Policy: A Survey of Empirical Analyses**

*by*Hiroshi Ugai

**Monetary Policy Rules under Heterogeneous Inflation Expectations**

*by*Sophocles N. Brissimis & Nicholas S. Magginas

**Monetary policy and rejections of the expectations hypothesis**

*by*Ravenna, Federico & Seppälä, Juha

**Money market volatility : a simulation study**

*by*Kempa, Michal

**Term Structure Anomalies: Term Premium or Peso problem?**

*by*JARDET, C.

**An empirical analysis of national differences in the retail bank interest rates of the euro area**

*by*Massimiliano Affinito & Fabio Farabullini

**House prices and real interest rates in Spain**

*by*Juan Ayuso & Roberto Blanco & Fernando Restoy

**Can Affine Term Structure Models Help Us Predict Exchange Rates?**

*by*Antonio Diez de los Rios

**A comparative Long-memory Analysis between Spanish, Mexican and U.S. interest rates**

*by*Fernando Espinosa Navarro & Klender Cortez & Roman Jordi Adillon Boladeres

**Forecasting US bond yields at weekly frequency**

*by*Riccardo LUCCHETTI & Giulio PALOMBA

**An interpretation of an affine term structure model of Chile**

*by*J.Marcelo Ochoa

**Spot and foward market intervention during the 1997 Korean currency crisis**

*by*Woosik Moon & Yeongseop Rhee

**Spot and foward market intervention during the 1997 Korean currency crisis**

*by*Woosik Moon & Yeongseop Rhee

**An Investigation of the German Dominance Hypothesis in the Context of Eastern Enlargement of the EU**

*by*Mete Feridun

**Budget Deficit and Interest Rates**

*by*Zdeněk Dvorný

**Glenn Rudebusch’s View on the Targeting of Short-Term Interest Rates**

*by*Karel Brůna

**Globalisation and monetary policy**

*by*J. Boeckx

**Globalisation and monetary policy**

*by*J. Boeckx

**Whom should we believe? Information content of the yield curve and analysts’ expectations**

*by*Péter Gábriel & Klára Pintér

**A devizakötvény-felárak és a hitelminősítések összefüggése - keresztmetszeti elemzés. A cross-section analysis**

*by*Kocsis, Zalán & Mosolygó, Zsuzsa

**EMU and the transmission of monetary policy: evidence from business lending rates**

*by*Boris Hofmann

**The Bond Yield "Conundrum" from a Macro-Finance Perspective**

*by*Glenn D. Rudebusch & Eric T. Swanson & Tao Wu

**Financial Market Functioning and Monetary Policy: Japan fs Experience**

*by*Naohiko Baba

**The Bank of Japan's Monetary Policy and Bank Risk Premiums in the Money Market**

*by*Naohiko Baba & Motoharu Nakashima & Yosuke Shigemi & Kazuo Ueda

**Time-Varying Risk Premia in the Single European Treasury Bill Market**

*by*Nikolaos Mylonidis

**On The Fisher Effect And Inflation Dynamics In Low-Income Countries: An Assessment Of Sub-Saharan Africa Economies**

*by*NANDWA, Boaz

**The Role of Global Risk Aversion in Explaining Sovereign Spreads**

*by*Alicia Garcia-Herrero & Alvaro Ortiz

**Interest Rate Setting and the Colombian Monetary Transmission Mechanism**

*by*Carlos Andrés Amaya

**Règle de Taylor vs Règle-icm. Application à la zone euro**

*by*Grégory Levieuge

**Libéralisation de la rémunération des dépôts à vue en France : premier bilan**

*by*FONTENY, E. & KIERZENKOWSKI, R. & LASCAR, J.

**Modélisation et analyse des mécanismes du Club de Paris de rachat de créances par prépaiement**

*by*DANIEL, L. & MANAS, A.

**Analyse des taux de soumission aux appels d’offres de l’Eurosystème**

*by*LECINQ, F.

**How the Bundesbank really conducted monetary policy**

*by*Christina Gerberding & Franz Seitz & Andreas Worms

**Bond Yield Predictability and Estimation of Affine Term Structure Models**

*by*Bovorn Vichiansin

**Using a Nonlinear Filter to Estimate a Multifactor Term Structure Model with Gaussian Mixture Innovations**

*by*Wolfgang Lemke

**Do Actions Speak Louder Than Words?The Response of Asset Prices to Monetary Policy Actions and Statements**

*by*Refet GÃ¼rkaynak & Brian Sack

**Central bank power is a matter of faith**

*by*Bengtsson, Ingemar

**A Note on Deficit, Implicit Debt, and Interest Rates**

*by*Zijun Wang

**The Elasticity of Substitution across Maturities in International Capital Markets: A Simple Test**

*by*Drakos, Konstantinos

**Dibs Faiz Oranlarında Oynaklığın Koşulu Değişen Varyans Modeli İle Tahmini Ve Öngörülmesi**

*by*Kıvılcım M. ÖZCAN & Suat AYDIN

**Does it Pay to Watch Central Bankers' Lips? The Information Content of ECB Wording**

*by*Heinemann, Friedrich & Ullrich, Katrin

**The Changing Role of the Yen/Dollar Exchange Rate for Japanese Monetary Policy**

*by*Schnabl, Gunther & Danne, Christian

**Modeling the FIBOR/EURIBOR Swap Term Structure : An Empirical Approach**

*by*Blaskowitz, Oliver J. & Herwartz, Helmut & de Cadenas Santiago, Gonzalo

**Liquidity Preference Theory Revisited—To Ditch or to Build on It?**

*by*Joerg Bibow

**Modeling Interest Rate Transmission Dynamics In Greece. Is There Any Structural Break After Emu?**

*by*DIONYSIOS CHIONIS & COSTAS LEON

**Are Europe's Interest Rates led by FED Announcements?**

*by*Andrea Monticini & Giacomo Vaciago

**Interest Rate Rules and the Response to the Output Gap**

*by*Juan Paez-Farrell

**The CNB’s Policy Decisions – Are They Priced in by the Markets?**

*by*David Navrátil & Viktor Kotlán

**The Role Of Global Risk Aversion In Explaining Latin American Sovereign Spreads**

*by*ALICIA GARCIA HERRERO & ALVARO ORTIZ

**The Changing Role of the Yen/Dollar Exchange Rate for Japanese Monetary Policy**

*by*Gunther Schnabl & Christian Danne

**Expectations, Bond Yields and Monetary Policy**

*by*Albert Lee Chun

**Libor Market Model and Gaussian HJM explicit approaches to option on composition**

*by*Marc Henrard

**Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures**

*by*Marc Henrard

**Modelling International Bond Markets with Affine Term Structure Models**

*by*Georg Mosburger & Paul Schneider

**Bank interest rates in a small European economy: Some exploratory macro level analyses using Finnish data**

*by*Karlo Kauko

**The intraday price of money: evidence from the e-MID market**

*by*Angelo Baglioni & Andrea Monticini

**Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches**

*by*Marc Henrard

**Bond Yield Compression in the Countries Converging to the Euro**

*by*Lucjan T. Orlowski & Kirsten Lommatzsch &

**A New Framework for Yield Curve, Output and Inflation Relationships**

*by*Leo Krippner

**A New Framework for Yield Curve, Output and Inflation Relationships**

*by*Leo Krippner

**Attributing Returns and Optimising United States Swaps Portfolios Using an Intertemporally-Consistent and Arbitrage-Free Model of the Yield Curve**

*by*Leo Krippner

**Attributing Returns and Optimising United States Swaps Portfolios Using an Intertemporally-Consistent and Arbitrage-Free Model of the Yield Curve**

*by*Leo Krippner

**Investigating the Relationships between the Yield Curve, Output and Inflation using an Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models**

*by*Leo Krippner

**Investigating the Relationships between the Yield Curve, Output and Inflation using an Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models**

*by*Leo Krippner

**An Intertemporally-Consistent and Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models**

*by*Leo Krippner

**An Intertemporally-Consistent and Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models**

*by*Leo Krippner

**A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps**

*by*Carl Chiarella & Christina Nikitopoulos-Sklibosios & Erik Schlogl

**The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach**

*by*Carl Chiarella & Hing Hung & Thuy-Duong To

**The Multifactor Nature of the Volatility of the Eurodollar Futures Market**

*by*Carl Chiarella & Thuy-Duong To

**A note on the Malliavin differentiability of the Heston volatility**

*by*Elisa Alòs & Christian-Olivier Ewald

**New-Keynesian Macroeconomics and the Term Structure**

*by*Seonghoon Cho & Antonio Moreno & Geert Bekaert

**Labor Income and the Demand for Long-term Bonds**

*by*Koijen, R.S.J. & Nijman, T.E. & Werker, B.J.M.

**Expectations, Bond Yields and Monetary Policy**

*by*Albert Lee Chun

**Curve Forecasting by Functional Autoregression**

*by*A. Onatski & V. Karguine

**TIPS: Taking Inflation Premium Seriously**

*by*Min Wei & Stefania D'Amico & Don H. Kim

**The Recent Shift in Term Structure Behavior from a No-Arbitrage Macro-Finance Perspective**

*by*Tao Wu & Glenn Rudebusch

**Inflation Targeting, Committee Decision Making and Uncertainty: The Case of the Bank of Englandâ€™s MPC**

*by*Arnab Bhattacharjee & Sean Holly

**Cousin risks: the extent and the causes of positive correlation between country and currency risks**

*by*Marcio Gomes Pinto Garcia & Alexandre Lowenkron

**Monetary Policy and the Term Structure of Interest Rates**

*by*Juha Seppala & Federico Ravenna

**Tax Riots**

*by*Christopher Phelan & Marco Bassetto

**No-Arbitrage Taylor Rules**

*by*Andrew Ang & Sen Dong

**Interest Rate Pass-through in Sri Lanka**

*by*Amarasekara, Chandranath

**Macroeconomic Determinants of the Movement of the Yield Curve**

*by*Vargas, Gregorio A.

**Implied Volatilities of Caps: a Gaussian approach**

*by*Flavio Angelini & Stefano Herzel

**Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?**

*by*Andrew Ang & Geert Bekaert & Min Wei

**Self-Fulfilling Currency Crises: The Role of Interest Rates**

*by*Christian Hellwig & Arijit Mukherji & Aleh Tsyvinski

**Money Growth and Interest Rates**

*by*Seok-Kyun Hur

**A less effective monetary transmission in the wake of EMU? Evidence from lending rates pass-through**

*by*Gianluca Di Lorenzo & Giuseppe Marotta

**The aim of the present work is to test the predictive power of the term spread in forecasting real economic growth rates and recession probabilities in Italy. According to the most recent literature, the relationship between the term spread and economic growth rates is modelled as a nonlinear one and specifically the Logistic Smooth Transition model is used, while a probit model is implemented to forecast recession probabilities. In both applications evidence supports a relevant informative content of the spread in Italy**

*by*Costanza Torricelli & Marianna Brunetti

**A less effective monetary transmission in the wake of EMU? Evidence from lending rates pass-through**

*by*Gianluca Di Lorenzo & Giuseppe Marotta

**Repegging of the Lats to the Euro: Implications for the Financial Sector**

*by*Viktors Ajevskis & Armands Pogulis

**On the predictability of common risk factors in the US and UK interest rate swap markets: Evidence from non-linear and linear models**

*by*Ilias Lekkos & Costas Milas & Theodore Panagiotidis

**On the predictability of common risk factors in the US and UK interest rate swap markets:Evidence from non-linear and linear models**

*by*Ilias Lekkos & Costas Milas & Theodore Panagiotidis

**The Term Structure of Interest Rates under Regime Shifts and Jumps**

*by*Shu Wu & Yong Zeng

**Monetary Policy and Long-term Interest Rates**

*by*Shu Wu

**Interest rate pass-through estimates from vector autoregressive models**

*by*Johann Burgstaller

**International Capital Flows and U.S. Interest Rates**

*by*Francis E. Warnock & Veronica C. Warnock

**The Yield Curve Slope and Monetary Policy Innovations**

*by*Gamber, Edward N. & Joutz, Frederick L.

**Modeling the FIBOR/EURIBOR Swap Term Structure: An Empirical Approach**

*by*Oliver Blaskowitz & Helmut Herwartz & Gonzalo de Cadenas Santiago

**US Monetary Policy Announcements and the Term Structure of Interest Rate Differentials: Evidence from Hong Kong and Singapore**

*by*Giorgio Valente

**The Rate of Return of Pay-As-You-Go Pension Systems: A More Exact Consumption-Loan Model of Interest**

*by*Settergren, Ole & Mikula, Boguslaw D.

**Some Further Evidence on Interest-Rate Smoothing: The Role of Measurement Errors in the Output Gap**

*by*Apel, Mikael & Jansson, Per

**Identifying the Interdependence between US Monetary Policy and the Stock Market**

*by*Bjørnland, Hilde C. & Leitemo, Kai

**Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations**

*by*Bindseil, Ulrich & Nyborg, Kjell G. & Strebulaev, Ilya A.

**A framework for understanding inflation - with or without money**

*by*Bengtsson, Ingemar

**A Tale of Two Effects**

*by*Paul Evans & Xiaojun Wang

**Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations**

*by*Kjell G. Nyborg & Ulrich Bindseil & Ilya A. Strebulaev

**Immunization Using a Parametric Model of the Term Structure**

*by*Jorge Miguel Ventura Bravo & Carlos Manuel Pereira da Silva

**Efficient Rank Reduction of Correlation Matrices**

*by*Grubisic, I. & Pietersz, R.

**Generic Market Models**

*by*Pietersz, R. & van Regenmortel, M.

**Consumer Confidence and Yield Spreads in Europe**

*by*Ferreira García, María Eva & Rubio Irigoyen, Gonzalo & Martínez, María Isabel & Navarro, Eliseo

**The importance of the wording of the ECB**

*by*Carlo Rosa & Giovanni Verga

**The bank lending survey for the euro area**

*by*Jesper Berg & Annalisa Ferrando & Gabe de Bondt & Silvia Scopel

**Forecasting Interest Rates - A Comparative Assessment Of Some Second Generation Non-Linear Models**

*by*Dilip M. Nachane & Jose G. Clavel

**Is a Word to the Wise Indeed Enough? ECB Statements and the Predictibility of Interest Rate Decisions**

*by*David-Jan Jansen & Jakob de Haan

**Fisher Hypothesis Revisited: A Fractional Cointegration Analysis**

*by*Saadet Kirbas Kasman & Adnan Kasman & Evrim Turgutlu

**A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations**

*by*Peter C.B. Phillips & Jun Yu

**Term Structure Linkages Among the New EU Countries and the EMU**

*by*Minoas Koukouritakis & Leo Michelis

**The Term Structures of Interest Rates in the New and Prospective EU Countries**

*by*Minoas Koukouritakis & Leo Michelis

**Term Structure Estimation with Survey Data on Interest Rate Forecasts**

*by*Kim, Don H. & Orphanides, Athanasios

**The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields**

*by*Sarno, Lucio & Thornton, Daniel L & Valente, Giorgio

**Why Are Returns on Swiss Franc Assets So Low? Rare Events May Solve the Puzzle**

*by*Kugler, Peter & Weder di Mauro, Beatrice

**Time Variation in Term Premia: International Evidence**

*by*Jongen, Ron & Verschoor, Willem F C & Wolff, Christian C

**The Predictive Power of the Yield Spread: Further Evidence and A Structural Interpretation**

*by*Favero, Carlo A. & Kaminska, Iryna & Söderström, Ulf

**Central Bank Forecasts and Disclosure Policy: Why it Pays to be Optimistic**

*by*Eijffinger, Sylvester C W & Tesfaselassie, Mewael F.

**The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates**

*by*Clarida, Richard & Sarno, Lucio & Taylor, Mark P & Valente, Giorgio

**The CNB's Policy Decisions - Are They Priced in by the Markets?**

*by*David Navratil & Viktor Kotlan

**The Consumption-Based Determinants of the Term Structure of Discount Rates**

*by*Christian Gollier

**Inflation Expectations in the Czech Interbank Market**

*by*Martin Fukac

**The Importance of the Wording of the ECB**

*by*Carlo Rosa & Giovanni Verga

**Inflation Targeting, Committee Decision Making and Uncertainty: The case of the Bank of England’s MPC**

*by*Bhattacharjee, A. & Holly, S.

**Why are Returns on Swiss Franc Asset so Low?**

*by*Peter Kugler & Beatrice Weder

**Monetary Policy Uncertainty and Market Interest Rates**

*by*Ryo Kato & Yoshifumi Hisata

**The Effects of the Bank of Japan's Zero Interest Rate Commitment and Quantitative Monetary Easing on the Yield Curve: A Macro-Finance Approach**

*by*Nobuyuki Oda & Kazuo Ueda

**How Do Monetary Policy Rules Affect Term Premia?**

*by*Hibiki Ichiue

**Identifying the interdependence between US monetary policy and the stock market**

*by*Bjørnland, Hilde C. & Leitemo, Kai

**Bank interest rates in a small European economy : Some exploratory macro level analyses using Finnish data**

*by*Kauko, Karlo

**The natural real interest rate and the output gap in the euro area: A joint estimation**

*by*Julien Garnier & Bjørn-Roger Wilhelmsen

**Japan's deflation, problems in the financial system and monetary policy**

*by*Naohiko Baba & Shinichi Nishioka & Nobuyuki Oda & Masaaki Shirakawa & Kazuo Ueda & Hiroshi Ugai

**The role of the natural rate of interest in monetary policy**

*by*Jeffery D. Amato

**Are there asymmetries in the response of bank interest rates monetary shocks?**

*by*Leonardo Gambacorta & Simonetta Iannotti

**The role of global risk aversion in explaining Latin American sovereign spreads**

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**A Semi-Parametric Factor Model for Interest Rates**

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**Financial liberalisation and interest rate risk management in sub-Saharan Africa**

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**Monetary Policy, Forward Rates and Long Rates: Does Germany Differ from the United States?**

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**Exchange Rate Premia and the Credibility of the Crawling Target Zone in Hungary**

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**Lognormality of Rates and Term Structure Models**

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**German Unification and the EMS: A Non-Parametric Approach to the Asymmetry Question**

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**Nonlinear Nonparametric Prediction of the 90-Day T-Bill Rate**

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**Fractional Cointegration Analysis of Long Term International Interest Rates**

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**Nearest-Neighbor Forecasts of U.S. Interest Rates**

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**Time-Varying Risk Premia in the Foreign Currency Futures Basis**

*by*John Barkoulas & Christopher F. Baum

**The Expectation Theory: Tests on French, German, and American Euro-Rates**

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**Real short-term interest rates and expected inflation: Measurement and interpretation**

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**Money Growth Variability and the Term Structure of Interest in Japan**

*by*Lynch, G-J & Ewing, B-T

**Forecasting Inflation from the Term Structure**

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**Regulatory Change and Bank Profitability in Italy**

*by*Calcagnini, G. & Hester, D.D.

**Single Factor Heath-Jarrow-Morton Term Structure Models Based on Markov Spot Interest Rate Dynamics**

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**The fundamental determinants of financial integration in the European Union**

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**Sources of Variation in International Real Interest Rates**

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**Some Lessons from the Yield Curve**

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**Forward Interest Rates as Indicators of Inflation Expectations**

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**The Information Content of the Term Structure: Evidence for Germany**

*by*Gerlach, Stefan

**The Equity Premium and the Risk Free Rate: A Cross Country, Cross Maturity Examination**

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**Real Interest Rates and Central Bank Operating Procedures**

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**An Analysis of the Real Interest Rate Under Regime Shifts**

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**Determining the Value of a Financial Unit of Account Based on Composite Currencies: The Case of the Private ECU**

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**Explaining devaluation expectations in the EMS**

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**Co-integration and the term structure of Finnish short-term interest rates**

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**Inflation Non-neutralities and the Response of Interest Rates to Inflation Expectations**

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**The Monetary Transmission Mechanism: An Empirical Framework**

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**Some Lessons from the Yield Curve**

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**Explaining Devaluation Expectations in the EMS**

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**The French-German Interest Rate Differential since German Unification: The Impact of the 1992 and 1993 EMS Crisis**

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**Testing Long-run Neutrality: Empirical Evidence for G7-Countries with Special Emphasis on Germany**

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**Asymmetry in the EMS revisited: Evidence from the causality analysis of daily Eurorates**

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**The Credibility of the United Kingdom's Commitment to the ERM : Intentions versus Actions**

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**Monetary Policy and the Term Structure of Interest Rates**

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**Reverse Engineering the Yield Curve**

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**The Simplest Test of Inflation Target Credibility**

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**Testing Long-run Neutrality: Empirical Evidence for G7 Countries with Special Emphasis on Germany**

*by*Weber, Axel A

**An Alternative Strategy for Estimation of a Nonlinear Model of the Term Structure of Interest Rates**

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**Covered Interest Parity: Evidence from the U.S.- Canadian Money Markets**

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**The Simplest Test of Inflation Target Credibility**

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**Term, Inflation, and Foreign Exchange Risk Premia: A Unified Treatment**

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**A Model of Target Changes and the Term Structure of Interest Rates**

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**Financial Openness and the Effectiveness of Capital Controls in Greece**

*by*Christodoulakis, Nikos & Karamouzis, Nick

**Liquidity Effects and the Determinants of Short-term Interest Rates in Italy (1991-92)**

*by*Angeloni, Ignazio & Prati, Alessandro

**Signalling Debt Sustainability**

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**Liquidity and Financial Intermediation**

*by*DUTTA, Jayasri & KAPUR, Sandeep

**French-German Interest Rate Differentials and Time-Varying Realignment Risk**

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**Asymmetry in the ERM: A Case Study of French and German Interest Rates Before and After German Unification**

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**Dynamic Capital Mobility in Pacific Basin Developing Countries: Estimation and Policy Implications**

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**La política monetaria en españa: la historia reciente y la crisis en 1992**

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**Paridad entre la tasa de interés real interna y externa: Notas sobre el caso colombiano**

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**Financial Innovations and the Distributional Effects of Interest Rate Changes in the UK**

*by*Philip Arestis & Peter Howells

**The Long-term Decline in Real Interest Rates: Comment**

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**Some Structural Hypotheses in a Multivariate Cointegration Analysis of the Purchasing Power Parity and the Uncovered Interest Parity for UK**

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**A Note on Federal Budget Deficits and the Term Structure of Real Interest Rates in the United States**

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**A Strategic Market Game with a Mutual Bank with Fractional Reserves and Redemption in Gold (A Continuum of Traders)**

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**An Empirical Note on Deficits, Interest Rates, and International Capital Flows**

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**The Lucas Critique in Practice: An Empirical Investigation of the Impact of European Monetary Integration on the Term Structure**

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**An Open-Economy Macro-Finance Model of Internatinal Interdependence: The OECD, US and the UK**

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**The Use Of Spreads In Forecasting Medium Term U.K Interest Rates**

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**The Role of Financial Sector Competition for Monetary Policy**

*by*Edgar A. Ghossoub & Robert Reed & Thanarak Laosuthi

**Central Bank Liquidity Provision and Financial Sector Competition This paper presents a general equilibrium production economy where money is essential and financial intermediaries provide important economic functions. In this setting, we study the effects of liquidity provision by the monetary authority under two different banking structures: a perfectly competitive and a fully concentrated banking system. When the banking sector is perfectly competitive, liquidity injections through an open market purchase stimulate capital investment and production. Interestingly, an expansionary monetary policy can become contractionary when the banking sector is fully concentrated. This necessarily happens in economies where government liabilities constitute a large fraction of total deposits and inflation is high. Moreover, we demonstrate that imperfect banking competition is a source of indeterminacy of dynamical equilibria. More specifically, the economy can display Hopf bifurcation. However, monetary policy plays an important role in controlling deterministic cycles and endogenous volatility that could arise under a fully concentrated banking sector**

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**Inflation Co-movement across Countries in Multi-maturity Term Structure: An Arbitrage-Free Approach**

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**Stock market liquidity and macro-liquidity shocks: Evidence from the 2007-2009 financial crisis**

*by*Chris Florackis & Alexandros Kontonikas & Alexandros Kostakis

**Optimal Long-Term Allocation with Pension Fund Liabilities**

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*by*Damir FILIPOVIC & Martin LARSSON & Anders TROLLE

**Understanding Asset Correlations**

*by*Henrik Hasseltoft & Dominic Burkhardt

**Time-Changed LÃ©vy LIBOR Market Model: Pricing and Joint Estimation of the Cap Surface and Swaption Cube**

*by*Markus Leippold & Jacob Stromberg

**The Term Structure of Interbank Risk**

*by*Damir FILIPOVIC & Anders B. TROLLE

**International Bond Risk Premia**

*by*Magnus DAHLQUIST & Henrik HASSELTOFT

**The New "Normal" for Interest Rates in Canada: The Implications of Long-Term Shifts in Global Saving and Investment**

*by*Paul Beaudry & Philippe Bergevin

**The New "Normal" for Interest Rates in Canada: The Implications of Long-Term Shifts in Global Saving and Investment**

*by*Paul Beaudry & Philippe Bergevin

**Tasa De Rendimiento De Capital De Colombia Para El Periodo Entre 1990 Y 2001**

*by*Ana María Tribín Uribe

**Una aproximación a la dinámica de las tasas de interés de corto plazo en Colombia a través de modelos GARCH multivariados**

*by*Luis Fernando Melo Velandia & Oscar Reinaldo Becerra Camargo

**Tramo Corto de la Curva de Rendimientos, Cambio de Régimen Inflacionario y Expectativas de Inflación en Colombia**

*by*Luis Eduardo Arango & Luz Adriana Flórez

**Interest Rate Setting and the Colombian Monetary Transmission Mechanism**

*by*Carlos Andrés Amaya

**Expectativas de Actividad Económica en Colombia y Estructura a Plazo: Un Poco más de Evidencia**

*by*Luis Eduardo Arango & Luz Adriana Flórez

**El Tramo Corto de la Estructura a Plazo como Predictor de Expectativas de la Actividad Económica en Colombia**

*by*Luis Eduardo Arango & Luz Adriana Flórez & Angélica María Arosemena

**El Tramo Corto de la Estructura a Plazo como predictor de Expectativas de Inflación en Colombia**

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**Affine Bond Pricing with a Mixture Distribution for Interest Rate Time-Series DynamicsCreation-Date: 20100225**

*by*Torben B. Rasmussen