## 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.

**The term structure of interest rates and the macroeconomy: Learning about economic dynamics from a FAVAR**

*by*Halberstadt, Arne

**The relevance of international spillovers and asymmetric effects in the Taylor rule**

*by*Joscha Beckmann & Ansgar Belke & Christian Dreger

**Can monetary policy surprise the market?**

*by*Edda Claus, Mardi Dungey

**TIPS and the VIX: Spillovers from Stock Market Panic to Breakeven Inflation in a Semi-automated, Non-linear Modeling Framework**

*by*Josh R. Stillwagon

**The Effects of Conventional and Unconventional Monetary Policy Surprises on Asset Markets in the United States**

*by*Unalmis, Deren & Unalmis, Ibrahim

**Overfunding and underfunding, a main cause of the business cycle?**

*by*De Koning, Kees

**Collaborative Research and Rate of Interests**

*by*Chatterjee, Rittwik & Chattopadhyay, Srobonti

**Semi-strong informational efficiency in the Polish foreign exchange market**

*by*Luksz Goczek

**The Conduct of Monetary Policy in the Future: Instrument Use**

*by*Kei-Ichiro Inaba & Rory O’Farrell & Łukasz Rawdanowicz & Ane Kathrine Christensen

**Global Sunspots and Asset Prices in a Monetary Economy**

*by*Roger E.A. Farmer

**Declining discount rates and the ‘Fisher Effect’: Inflated past, discounted future?**

*by*Mark C. Greeman & Ben Groom & Ekaterini Panopoulou & Theologos Pantelidis

**Does Keynesian Theory Explain Indian Government Bond Yields?**

*by*Tanweer Akram & Anupam Das

**Risks in macroeconomic fundamentals and excess bond returns predictability**

*by*De Rezende, Rafael B.

**Inconsistent voting behavior in the FOMC**

*by*Lähner, Tom

**Predicting Economic Activity via Eurozone Yield Spreads: Impact of Credit Risk**

*by*Schock, Matthias

**Superneutrality of Money under Open Market Operations**

*by*Homburg, Stefan

**Resolving the spanning puzzle in macro-finance term structure models**

*by*Bauer, Michael D. & Rudebusch, Glenn D.

**Can monetary policy surprise the market?**

*by*Edda Claus & Mardi Dungey

**Does austerity pay off?**

*by*Born, Benjamin & Müller, Gernot & Pfeifer, Johannes

**The International Transmission of Risk: Causal Relations Among Developed and Emerging Countries’ Term Premia**

*by*Juan Andrés Espinosa-Torres & Jose E. Gomez-Gonzalez & Luis Fernando Melo-Velandia & José Fernando Moreno-Gutiérrez

**Prediciendo decisiones de agentes económicos: ¿Cómo determina el Banco de la República de Colombia la tasa de interés?**

*by*Gustavo Nicolás Páez

**Monetary Policy with Ambiguity Averse Agents**

*by*Riccardo M. Masolo & Francesca Monti

**Around the World with Irving Fisher**

*by*Thorvaldur Gylfason & Helgi Tómasson & Gylfi Zoega

**Restrictions on Risk Prices in Dynamic Term Structure Models**

*by*Michael D. Bauer

**Superneutrality of Money under Open Market Operations**

*by*Stefan Homburg

**Resolving the Spanning Puzzle in Macro-Finance Term Structure Models**

*by*Michael D. Bauer & Glenn D. Rudebusch

**Bank Networks: Contagion, Systemic Risk and Prudential Policy**

*by*Inaki Aldasoro & Domenico Delli Gatti & Ester Faia

**A joint affine model of commodity futures and US Treasury yields**

*by*Chin, Michael & Liu, Zhuoshi

**Do contractionary monetary policy shocks expand shadow banking?**

*by*Nelson, Benjamin & Pinter, Gabor & Theodoridis, Konstantinos

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

*by*Jean-Sébastien Fontaine & René Garcia & Sermin Gungor

**Understanding the dichotomy of financial development: credit deepening versus credit excess**

*by*Alfonso Ugarte Ruiz

**The Determinants of Interest Rates in Microbanks: Age and Scale**

*by*Jacinta C. Nwachukwu & Simplice Asongu

**The Austrian Business Cycle Theory: VAR Analysis for USA between 1978-2013**

*by*Martin Komrska

**A monetáris politika globális tendenciái és a stabilitási kockázatok**

*by*Ábel, István

**Inflation Expectations and the News**

*by*Michael D. Bauer

**How Monetary Policy Is Made: Two Canadian Tales**

*by*Pierre L. Siklos & Matthias Neuenkirch

**Three Scenarios for Interest Rates in the Transition to Normalcy**

*by*Cooke, Diana A. & Gavin, William T.

**The side effects of quantitative easing: Evidence from the UK bond market**

*by*Steeley, James M.

**Monetary policy and long-term real rates**

*by*Hanson, Samuel G. & Stein, Jeremy C.

**Why do term structures in different currencies co-move?**

*by*Jotikasthira, Chotibhak & Le, Anh & Lundblad, Christian

**Macroeconomic linkages between monetary policy and the term structure of interest rates**

*by*Kung, Howard

**Identifying, valuing and hedging of embedded options in non-maturity deposits**

*by*Blöchlinger, Andreas

**A macro-financial analysis of the euro area sovereign bond market**

*by*Dewachter, Hans & Iania, Leonardo & Lyrio, Marco & de Sola Perea, Maite

**A common jump factor stochastic volatility model**

*by*Laurini, Márcio Poletti & Mauad, Roberto Baltieri

**Estimation of affine term structure models with spanned or unspanned stochastic volatility**

*by*Creal, Drew D. & Wu, Jing Cynthia

**The macro-financial implications of house price-indexed mortgage contracts**

*by*Hull, Isaiah

**International long-term yields and monetary policy in a small open economy: The case of Canada**

*by*Lange, Ronald H.

**Finite lifetimes, long-term debt and the fiscal limit**

*by*Richter, Alexander W.

**The Behavior of Conventional and Islamic Bank Deposit Returns in Malaysia and Turkey**

*by*Serhan Cevik & Joshua Charap

**Economic Crises and the Substitution of Fiscal Policy by Monetary Policy**

*by*Ioannis N. Kallianiotis

**Monetary Policy Objectives During the Crisis: An Overview of Selected Southeast European Countries**

*by*Aneta Krstevska

**Monetary Policy and Real Borrowing Costs at the Zero Lower Bound**

*by*Simon Gilchrist & David López-Salido & Egon Zakrajšek

**Monetary Policy Surprises, Credit Costs, and Economic Activity**

*by*Mark Gertler & Peter Karadi

**The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence**

*by*Jordi Galí & Luca Gambetti

**Conventional and Unconventional Monetary Policy with Endogenous Collateral Constraints**

*by*Aloísio Araújo & Susan Schommer & Michael Woodford

**Does the South African Reserve Bank (SARB) Respond to Oil Price Movements? Historical Evidence from the Frequency Domain**

*by*Goodness C. Aye & Olorato Gadinabokao & Rangan Gupta

**How to aggregate experts' discount rates: An equilibrium approach**

*by*Napp, Clotilde & Jouini, Elyès

**Interest Rates, Expected Inflation and Structural Breaks: Further Evidence on the Fisher Effect in India (1996-2013) - Tassi di interesse, inflazione attesa e cambiamenti strutturali: nuova evidenza empirica sull’effetto Fisher in India (1996-2013)**

*by*Tronzano, Marco

**Interest Rate Asymmetries in the Lending-Deposit Spread: A Case - Asimmetrie del tasso di interesse nello spread prestiti-depositi: studio di un caso**

*by*Dube, Smile & Zhou, Yan

**Preliminary Evidence on the Impact of Budget Deficits on the Nominal Interest Rate Yield on Ten-Year U.S. Treasury Notes after Allowing for Adoption of Monetary Policies Involving "Quantitative Easing" - Evidenza preliminare sull’impatto del deficit di bilancio sul tasso di interesse nominale delle treasury notes USA a dieci anni dopo l’adozione di politiche monetarie di “quantitative easing”**

*by*Cebula, Richard J.

**Modelling the Dynamics of Sovereign Risk Premium [Modelarea dinamicii primei de risc suveran]**

*by*Fudulache Adina Elena

**An Empirical Investigation of Fisherian Link in BRIC-T Countries**

*by*Tayfur BAYAT & Selim KAYHAN & Çetin DOĞAN

**Is a monetary union feasible for Latin America? Evidence from real effective exchange rates and interest rate pass-through levels**

*by*Stephen McKnight & Marco Robles Sánchez

**Fraktionale Kointegrationsbeziehungen zwischen Euribor-Zinssätzen**

*by*Dechert, Andreas

**Drifts, Volatilities and Impulse Responses Over the Last Century**

*by*Amir Ahmadi, Pooyan & Matthes, Christian & Wang, Mu-Chun

**Does the foreign interest rate matter for monetary policy? Evidence from nonlinear Taylor rules**

*by*Belke, Ansgar & Beckmann, Joscha & Dreger, Christian

**Smells Like Fiscal Policy? Assessing the Potential Effectiveness of the ECB s OMT Program**

*by*Wollmershäuser, Timo & Hristov, Nikolay & Hülsewig, Oliver & Siemsen, Thomas

**Does austerity pay off?**

*by*Born, Benjamin & Müller, Gernot J. & Pfeifer, Johannes

**The role of demographics in small business loan pricing**

*by*Neuberger, Doris & Räthke-Döppner, Solvig

**Sovereign risk, interbank freezes, and aggregate fluctuations**

*by*Engler, Philipp & Große Steffen, Christoph

**The relevance of international spillovers and asymmetric effects in the Taylor rule**

*by*Beckmann, Joscha & Belke, Ansgar & Dreger, Christian

**Stability and Identification with Optimal Macroprudential Policy Rules**

*by*Chatelain, Jean-Bernard & Ralf, Kirsten

**Monetary policy, long real yields and the financial crisis**

*by*Moretti, Laura

**Financial conditions, macroeconomic factors and (un)expected bond excess returns**

*by*Fricke, Christoph & Menkhoff, Lukas

**When Is Lift-Off? Evaluating Forward Guidance From The Shadow**

*by*M. Neuenkirch, P. Siklos

**How Monetary Policy is Made: Two Canadian Tales**

*by*Pierre L. Siklos, Matthias Neuenkirch

**Banking and Sovereign Debt Crises in Monetary Union Without Central Bank Intervention**

*by*Jin Cheng & Meixing Dai & Frédéric Dufourt

**Applying a Macro-Finance Yield Curve to UK Quantitative Easing**

*by*Jagjit S. Chadha & Alex Waters

**Is there any relationship between the rates of interest and profit in the U.S. economy?**

*by*Ivan Mendieta-Muñoz

**The Treatment of Financial Transactions in the SNA: A User Cost Approach**

*by*, & Diewert, Erwin

**Gamma discounters are short-termist**

*by*Gollier, Christian

**When is Lift-off? Evaluating Forward Guidance from the Shadow**

*by*Matthias Neuenkirch & Pierre L. Siklos

**An essay on horizontalism, structuralism and historical time**

*by*Mark Setterfield

**Testing the Expectations Hypothesis with Survey Forecasts: The Impacts of Consumer Sentiment and the Zero Lower Bound in an I(2) CVAR**

*by*Josh Stillwagon

**Identification of Monetary Policy Shocks in Turkey: A Structural VAR Approach**

*by*Mustafa Kilinc & Cengiz Tunc

**Interest Rate Corridor, Liquidity Management and the Overnight Spread**

*by*Hande Kucuk & Pinar Ozlu & Anil Talasli & Deren Unalmis & Canan Yuksel

**Credit spread variability in U.S. business cycles: the Great Moderation versus the Great Recession**

*by*Hylton Hollander & Guangling Liu

**Fisher Effect in Austria Causality Approach**

*by*Sami Taban & Ferit Önder

**The sensitivity of households to interest rate - analysis of the relationship of interest rates and the amount of loans and deposits in the Czech Republic**

*by*Jiri Rotschedl

**Low Frequency Effects of Macroeconomic News on Government Bond Yields**

*by*Carlo Altavilla & Domenico Giannone & Michele Modugno

**Credit spread variability in U.S. business cycles: The Great Moderation versus the Great Recession**

*by*Hylton Hollander and Guangling Liu

**A Note on the (continued) Ability of the Yield Curve to Forecast Economic Downturns in South Africa**

*by*Ferdi Botha & Gavin Keeton

**A Portrait of Informal Sector Credit and Interest Rates in Malawi: Interpolated Monthly Time Series**

*by*Harold Ngalawa

**The Relevance of International Spillovers and Asymmetric Effects in the Taylor Rule**

*by*Joscha Beckmann & Ansgar Belke & Christian Dreger

**Böhm-Bawerk und die Anfänge der monetären Zinstheorie**

*by*Peter Spahn

**Does the halo effect still hold? The (post-) crisis perspective for the euro candidates**

*by*Szczypińska, Agnieszka

**Yield Curve and Recession Forecasting in a Machine Learning Framework**

*by*Gogas, Periklis & Papadimitriou , Theophilos & Matthaiou, Maria- Artemis & Chrysanthidou, Efthymia

**Can Low Interest Rates be Harmful: An Assessment of the Bank Risk-Taking Channel in Asia**

*by*Ramayandi, Arief & Rawat, Umang & Tang, Hsiao Chink

**The Equity-like Behaviour of Sovereign Bonds**

*by*Alfonso Dufour & Andrei Stancu & Simone Varotto

**The Dynamic Effects of Interest Rates and Reserve Requirements**

*by*Pérez-Forero, Fernando & Vega, Marco

**Effects of the U.S. quantitative easing on the Peruvian economy**

*by*Carrera, César & Pérez-Forero, Fernando & Ramírez-Rondán, Nelson

**Comportamiento de los mercados financieros peruanos ante el anuncio del tapering**

*by*Choy, Marylin & Cerna, Jorge

**Term structure of discount rates under multivariate s-ordered consumption growth**

*by*Christoph Heinzel

**Capital inflows and euro area long-term interest rates**

*by*Daniel Carvalho & Michael Fidora

**Interest Rates and Structural Shocks in European Transition Economies**

*by*Mirdala, Rajmund

**Organized Crime, Propaganda, Blackmails of Riinvest and OSI’s Nepotism, not the Banking Sector, is a Severe Barrier**

*by*Mulaj, Isa

**Nominal Term Structure and Term Premia. Evidence from Chile**

*by*Ceballos, Luis & Naudon, Alberto & Romero, Damian

**Monetary Policy of Quantitative Easing at the Central Bank’s High Interest Rates**

*by*BLINOV, Sergey

**Challenges of bank lending in Romania on short, medium and long-term**

*by*Zaman, Gheorghe & Georgescu, George

**An Empirical Comparison of Interest and Growth Rates**

*by*Julia, Knolle

**Critique of IS-LM: fiscal deficits, loanable funds, Keynesian Cross and IS-LM**

*by*Kim, Minseong

**Fiscal and Monetary Policy Interactions in New Zealand**

*by*Wesselbaum, Dennis

**Денежная Политика Количественного Смягчения При Высоких Ставках Центрального Банка**

*by*BLINOV, Sergey

**Competitive Search Equilibrium in the Credit Market under Asymmetric Information and Limited Commitment**

*by*Song, Jae Eun

**The Nominal Interest Rate Yield Response to Net Government Borrowing: GLM Estimates, 1972-2012**

*by*Cebula, Richard

**An Investigation into the Impact of Federal Government Budget Deficits on the Ex Ante Real Interest Rate Yield on Treasury Notes in the U.S**

*by*Cebula, Richard

**Natural Rate of Interest with Endogenous Growth, Financial Frictions and Trend Inflation**

*by*Olmos, Lorena & Sanso Frago, Marcos

**Modelo de ciclo de negocios real con dinero endógeno y pasivo**

*by*Guberman, Carlos & Cymbler, David

**Endividamento antes e após a introdução do euro: análise ARDL do caso português**

*by*Gaspar, Catarina & Fuinhas, José Alberto & Marques, António Cardoso

**On the Nominal Interest Rate Yield Response to Net Government Borrowing in the U.S.: An Empirical Analysis with Robustness Tests**

*by*Alexander, Gigi & Foley, Maggie

**Is India Ready for Flexible Inflation-Targeting?**

*by*Sen Gupta, Abhijit & Sengupta, Rajeswari

**Current Evidence on the Impact of Budget Deficits on the Nominal Interest Rate Yield on Intermediate-term Debt Issues of the U.S. Treasury: An Analysis with Robustness Tests**

*by*Cebula, Richard

**Fisher's Relation and the Term Structure: Implications for IS Curves**

*by*Malikane, Christopher & Ojah, Kalu

**The Elasticity of Intertemporal Substitution Reconsidered**

*by*Dladla, Pholile & Malikane, Christopher & Ojah, Kalu

**Have U.S. Budget Deficits Raised the Real Interest Rate Yield on Tax-Free Municipal Bonds?**

*by*Cebula, Richard

**Stability and Identification with Optimal Macroprudential Policy Rules**

*by*Chatelain, Jean-Bernard & Ralf, Kirsten

**An Empirical Investigation into the Impact of U.S. Federal Government Budget Deficits on the Real Interest Rate Yield on Intermediate-term Treasury Debt Issues, 1972-2012**

*by*Cebula, Richard

**Impact of Federal Government Budget Deficits on the Longer-term Real Interest Rate in the U.S.: Evidence Using Annual and Quarterly Data, 1960-2013**

*by*Cebula, Richard

**Sovereign defaults, external debt and real exchange rate dynamics**

*by*Asonuma, Tamon

**Pricing of retail deposits in Croatia: including the premium for country default**

*by*Vidakovic, Neven

**Interest Rates Rigidities and the Fisher Equation**

*by*Belanger, Gilles

**Analyzing the Taylor Rule with Wavelet Lenses**

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

**Bond Market Exposures to Macroeconomic and Monetary Policy Risks**

*by*Dongho Song

**Factors behind the Decline in Real Long-Term Government Bond Yields**

*by*Romain Bouis & Kei-Ichiro Inaba & Łukasz Rawdanowicz & Ane Kathrine Christensen

**Asset markets and monetary policy shocks at the zero lower bound**

*by*Edda Claus & Iris Claus & Leo Krippner

**Analyzing the Taylor Rule with Wavelet Lenses**

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

**Jumps in Bond Yields at Known Times**

*by*Don H. Kim & Jonathan H. Wright

**The Price of Stability: The balance sheet policy of the Banque de France and the Gold Standard (1880-1914)**

*by*Guillaume Bazot & Michael D. Bordo & Eric Monnet

**Monetary Policy Effectiveness in China: Evidence from a FAVAR Model**

*by*John Fernald & Mark M. Spiegel & Eric T. Swanson

**Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates**

*by*Eric T. Swanson & John C. Williams

**Trade Dynamics in the Market for Federal Funds**

*by*Gara Afonso & Ricardo Lagos

**What Calls to ARMs? International Evidence on Interest Rates and the Choice of Adjustable-Rate Mortgages**

*by*Cristian Badarinza & John Y. Campbell & Tarun Ramadorai

**The Liquidity Premium of Near-Money Assets**

*by*Stefan Nagel

**Optimal Taylor Rules in New Keynesian Models**

*by*Christoph E. Boehm & Christopher L. House

**Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound**

*by*Jing Cynthia Wu & Fan Dora Xia

**Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility**

*by*Drew D. Creal & Jing Cynthia Wu

**Monetary Policy and Real Borrowing Costs at the Zero Lower Bound**

*by*Simon Gilchrist & David López-Salido & Egon Zakrajšek

**Monetary Policy Drivers of Bond and Equity Risks**

*by*John Y. Campbell & Carolin Pflueger & Luis M. Viceira

**Measuring the ''World'' Real Interest Rate**

*by*Mervyn King & David Low

**Market Set-Up in Advance of Federal Reserve Policy Decisions**

*by*Dick van Dijk & Robin L. Lumsdaine & Michel van der Wel

**Can interest rate spreads stabilize the euro area?**

*by*Michał Brzoza-Brzezina & Jacek Kotłowski & Kamil Wierus

**Interest rate pass-through in Poland. Evidence from individual bank data**

*by*Ewa Stanisławska

**Credit rating agency downgrades and the Eurozone sovereign debt crises**

*by*Christopher F Baum & Margarita Karpava & Dorothea Schäfer & Andreas Stephen

**Heterogeneous monetary transmission process in the Eurozone: Does banking competition matter?**

*by*Aurélien Leroy & Yannick Lucotte

**A macro-financial analysis of the euro area sovereign bond market**

*by*Hans Dewachter & Leonardo Iania & Marco Lyrio & Maite de Sola Perea

**Information in the yield curve: A Macro-Finance approach**

*by*Hans Dewachter & Leonardo Iania & Marco Lyrio

**Learning about Rare Disasters: Implications For Consumption and Asset Prices**

*by*Max Gillman & Michal Kejak & Michal Pakos

**Stability and Identification with Optimal Macroprudential Policy Rules**

*by*Jean-Bernard Chatelain & Kirsten Ralf

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

*by*Alessia Paccagnini

**Household Risk Management and Actual Mortgage Choice in the Euro Area**

*by*Ehrmann, Michael & Ziegelmeyer, Michael

**How Effective Is Central Bank Forward Guidance?**

*by*Clemens J. M. Kool Author-Name-First Clemens J. M. & Daniel L. Thornton Author-Name-First Daniel L.

**Fiscal shocks and the exchange rate**

*by*Giorgio Di Giorgio Author-Name-First Giorgio & Salvatore Nistico' Author-Name-First Salvatore & Guido Traficante Author-Name-First Guido

**The Determinants of Long-Term Japanese Government Bonds' Low Nominal Yields**

*by*Tanweer Akram & Anupam Das

**Endogenous Money and the Natural Rate of Interest: The Reemergence of Liquidity Preference and Animal Spirits in the Post-Keynesian Theory of Capital Markets**

*by*Philip Pilkington

**International yield curve comovements: impact of the recent financial crisis**

*by*Simeon Coleman & Kavita Sirichand

**Uncertain Risk and Return in Bond Markets, I**

*by*Chan R. Mang

**A Flexible Non Linear Model to Test the Expectation Hypothesis of Interest Rates**

*by*Jean-Michel Sahut

**Is India ready for flexible inflation-targeting?**

*by*Abhijit Sen Gupta & Rajeswari Sengupta

**Banks competition, managerial efficiency and the interest rate pass-through in India**

*by*Jugnu Ansari & Ashima Goyal

**Japanese Repo and Call Markets Before, During, and Emerging from the Financial Crisis**

*by*Ichiro Fukunaga & Naoya Kato

**Monetary Policy as a Carry Trade**

*by*Marvin Goodfriend

**We Are All QE-sians Now**

*by*Takatoshi Ito

**Gamma discounters are short-termist**

*by*Gollier, Christian

**Inflation Targeting in Colombia, 2002-2012**

*by*Miguel Urrutia & Franz Hamann & Marc Hofstetter

**Does Innovation Affect Credit Access? New Empirical Evidence from Italian Small Business Lending**

*by*Andrea Bellucci & Ilario Favaretto & Germana Giombini

**Modelo VEC para la estimación de inflación bursátil: Evidencia empírica en mercados norteamericanos**

*by*Juan José Jordán Sánchez

**The integration of credit default swap markets in the pre and post-subprime crisis in common stochastic trends**

*by*Cathy Yi-Hsuan Chen & Wolfgang Karl HÃ¤rdle & Hien Pham-Thu &

**Unemployment benefits extensions at the zero lower bound on nominal interest rate**

*by*Julien Albertini & Arthur Poirier & &

**Financial Crisis, Unconventional Monetary Policy and International Spillovers**

*by*Qianying Chen & Andrew Filardo & Dong He & Feng Zhu

**Assessing the Effectiveness of Date-Based Forward Guidance at the Zero Lower Bound with a Non-Gaussian Affine Term-Structure Model**

*by*Tsz-Kin Chung & Cho-Hoi Hui & Ka-Fai Li

**Interest Rate Determination in China: Past, Present, and Future**

*by*Dong He & Honglin Wang & Xiangrong Yu

**The Macro-Financial Implications of House Price-Indexed Mortgage Contracts**

*by*Hull, Isaiah

**Do Eurozone yield spreads predict recessions?**

*by*Schock, Matthias

**Russia’s Monetary Policy in 2013**

*by*Alexandra Bozhechkova & Anna Kiyutsevskaya & Pavel Trunin

**One size does not fit all. A non-linear analysis of European monetary transmission**

*by*Giulio Cifarelli & Giovanna Paladino

**Term Structures of Inflation Expectations and Real Interest Rates: The Effects of Unconventional Monetary Policy**

*by*Aruoba, S. Boragan

**Three Scenarios for Interest Rates in the Transition to Normalcy**

*by*Cooke, Diana A. & Gavin, William T.

**How Persistent are Monetary Policy Effects at the Zero Lower Bound?**

*by*Neely, Christopher J.

**Money, liquidity and welfare**

*by*Wen, Yi

**What Drives Bank Funding Spreads?**

*by*King, Thomas B. & Lewis, Kurt F.

**Liquidity Traps and Monetary Policy: Managing a Credit Crunch**

*by*Buera, Francisco J. & Nicolini, Juan Pablo

**The scarcity value of Treasury collateral: Repo market effects of security-specific supply and demand factors**

*by*D'Amico, Stefania & Fan, Roger & Kitsul, Yuriy

**Unspanned macroeconomic factors in the yield curve**

*by*Coroneo, Laura & Giannone, Domenico & Modugno, Michele

**The Low Frequency Effects of Macroeconomic News on Government Bond Yields**

*by*Altavilla, Carlo & Giannone, Domenico & Modugno, Michele

**Flights to Safety**

*by*Baele, Lieven & Bekaert, Geert & Inghelbrecht, Koen & Wei, Min

**Jumps in Bond Yields at Known Times**

*by*Kim, Don H. & Wright, Jonathan H.

**Swiss unconventional monetary policy: lessons for the transmission of quantitative easing**

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

**Has U.S. monetary policy tracked the efficient interest rate?**

*by*Curdia, Vasco & Ferrero, Andrea & Ng, Ging Cee & Tambalotti, Andrea

**Inflation expectations and the news**

*by*Bauer, Michael D.

**Can spanned term structure factors drive stochastic yield volatility?**

*by*Christensen, Jens H.E. & Lopez, Jose A. & Rudebusch, Glenn D.

**Can interest rate factors explain exchange rate fluctuations?**

*by*Yung, Julieta

**The international monetary and financial system: a capital account perspective**

*by*Borio, Claudio & James, Harold & Shin, Hyun Song

**The international monetary and financial system: its Achilles heel and what to do about it**

*by*Borio, Claudio

**How Monetary Policy is made: Two Canadian Tales**

*by*Pierre L. Siklos & Matthias Neuenkirch

**Asset markets and monetary policy shocks at the zero lower bound**

*by*Edda Claus & Iris Claus & Leo Krippner

**Measuring the stance of monetary policy in conventional and unconventional environments**

*by*Leo Krippner

**Sovereign Debt Maturity and Debt-to GDP Dynamics in Six Euro Area Countries**

*by*Juan Equiza Goni

**Low Frequency Effects of Macroeconomic News on Government Bond Yields**

*by*Carlo Altavilla & Domenico Giannone & Michèle Modugno

**Low real rates as driver of secular stagnation: empirical assessment**

*by*Jan Willem van den End & Marco Hoeberichts

**The impact of sovereign and credit risk on interest rate convergence in the euro area**

*by*Ivo Arnold & Saskia van Ewijk

**Sovereign Risk, Interbank Freezes, and Aggregate Fluctuations**

*by*Philipp Engler & Christoph Große Steffen

**The Relevance of International Spillovers and Asymmetric Effects in the Taylor Rule**

*by*Joscha Beckmann & Ansgar Belke & Christian Dreger

**Bank Competition, Borrower Competition and Interest Rates**

*by*Carlos Bellón

**Time-varying equilibrium rates in small open economies: Evidence for Canada**

*by*Tino Berger & Bernd Kempa

**Monetary Policy and Real Borrowing Costs at the Zero Lower Bound**

*by*Gilchrist, Simon & López-Salido, J David & Zakrajsek, Egon

**Modelling Long Bonds - The Case of Optimal Fiscal Policy**

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*by*Beck, Günter W. & Wieland, Volker

**Money in monetary policy design under uncertainty: The two-pillar Phillips curve versus ECB-style cross-checking**

*by*Beck, Günter W. & Wieland, Volker

**Mean variance optimization of non-linear systems and worst-case analysis**

*by*Parpas, Panos & Rustem, Berc & Wieland, Volker & Zakovic, Stan

**Fiscal institutions, fiscal policy and sovereign risk premia**

*by*Hallerberg, Mark & Wolff, Guntram B.

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

*by*Bernoth, Kerstin & Wolff, Guntram B.

**Bond pricing when the short term interest rate follows a threshold process**

*by*Lemke, Wolfgang & Archontakis, Theofanis

**The dynamic relationship between the Euro overnight rate, the ECB´s policy rate and the term spread**

*by*Offermanns, Christian J. & Nautz, Dieter

**Interest Rate Pass-Through in Central and Eastern Europe: Reborn from Ashes Merely to Pass Away?**

*by*Balázs Égert & Jesus Crespo-Cuaresma & Thomas Reininger

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

*by*Roman Horváth

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

*by*Tigran Poghosyan & Evzen Kocenda &

**A Yield Curve Perspective on Uncovered Interest Parity**

*by*Leo Krippner

**A Yield Curve Perspective on Uncovered Interest Parity**

*by*Leo Krippner

**Low inflation, a high net savings surplus and institutional restrictions keep the Japanese long-term interest rate low**

*by*Jansen, Pieter W.

**Did capital market convergence lower the effectiveness of the interest rate as a monetary policy tool?**

*by*Jansen, Pieter W.

**Modelling the Duration of Interest Rate Spells Under Inflation Targeting in Canada**

*by*Ruby Shih & David E. A. Giles

**Random walks and cointegration relationships in international parity conditions between Germany and USA for the Bretton-Woods period**

*by*Bevilacqua, Franco

**Random walks and cointegration relationships in international parity conditions between Germany and USA for the post Bretton-Woods period**

*by*Bevilacqua, Franco

**A Further Look into the Demography-based GDP Forecasting Method**

*by*Tapas K. Mishra

**Valor en Riesgo en carteras de renta fija: una comparación entre modelos empíricos de la estructura temporal**

*by*Pilar Abad & Sonia Benito

**Sovereign Risk Premiums in the European Government Bond Market**

*by*Bernoth, Kerstin & Hagen, Jürgen von & Schuknecht, Ludger

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

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

**The Determinants of Sovereign Spreads in Emerging Markets**

*by*Olcay Yucel Culha & Fatih Ozatay & Gulbin Sahinbeyoglu

**Determinants of long-term interest rates in the Scandinavian countries**

*by*Suzan Hol

**Market Reactions to Central Bank Communication Policies :Reading Interest Rate Options Smiles**

*by*Marie Briere

**On the Expectations Hypothesis in US Term Structure**

*by*Erdenebat Bataa & Dong Heon Kim & Denise R. Osborn

**The term structure of inflation risk premia and macroeconomic dynamics**

*by*Peter HÃ¶rdahl & Oreste Tristani & David Vestin

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

*by*Federico Ravenna & University of California & Juha Seppala & University of Illinois

**The Fractional OU Process: Term Structure Theory and Application**

*by*Esben Hoeg & Per Frederiksen

**Macroeconomic Models and the Yield Curve**

*by*Jagjit Chadha & Sean Holly

**Endogenous State Prices, Liquidity, Default, and the Yield Curve**

*by*Raphael A. Espinoza & Charles A. E. Goodhart & Dimitrios P. Tsomocos

**Taking Personalities out of Monetary Policy Decision Making? Interactions, Heterogeneity and Committee Decisions in the Bank of Englandâ€™s MPC**

*by*Arnab Bhattacharjee & Sean Holly

**Labour and Product Market Reforms in the Economy with Distortionary Taxation**

*by*Nikola Bokan & Andrew Hughes Hallett

**Using Taylor Rules to Assess the Relative Activism of the European Central Bank, the Bank of England and the Federal Reserve Board**

*by*David Cobham

**Testing for Parameter Stability in Dynamic Models Across Frequencies**

*by*Bertrand Candelon & Gianluca Cubadda

**Alongamento dos títulos de renda fixa no Brasil**

*by*Márcio Gomes Pinto Garcia & Juliana Salomão

**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

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

*by*Horvath, Roman

**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

**The Value of Interest Rate Stabilization Policies When Agents are Learning**

*by*John Duffy & Wei Xiao

**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

**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

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

*by*Ravenna , Federico & Seppälä , Juha

**Money market volatility, A simulation study**

*by*Kempa , Michal

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

*by*Mathias Hoffmann & Ronald MacDonald

**Asset Pricing with Incomplete Information In a Discrete Time Pure Exchange Economy**

*by*Prasad Bidarkota & Brice Dupoyet

**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 & G�bor Rappai & Zolt�n 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

**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

**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 Interest Rate Pass-Through in German Banking Groups**

*by*Hiltrud Nehls

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

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

**Financial Market Functioning and Monetary Policy: Japanfs 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

**Soybean Inventory and Forward Curve Dynamics**

*by*Nguyen, Vu-Nhat & Geman, Hélyette

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

*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

**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

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

*by*Bjørnland , Hilde & Leitemo, Kai

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

*by*Kauko , Karlo

**A Tale of Two Effects**

*by*Paul Evans & Xiaojun Wang

**Asset Pricing with Incomplete Information under Stable Shocks**

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**Convergence of Discrete Time Options Pricing Models under Stochastic Rates**

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**New Techniques to Extract Market Expectations from Financial Instruments**

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**Le contenu en information de la pente des taux : application au cas des titres publics français**

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**Lognormality of Rates and Term Structure Models**

*by*Goldys, B. & M. Musiela & D. Sondermann

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

*by*Axel Cron, Jens Weidmann

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

*by*John Barkoulas & Christopher F. Baum & Joseph Onochie

**Fractional Differencing Modeling and Forecasting of Eurocurrency Deposit Rates**

*by*John Barkoulas & Christopher F. Baum

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

*by*John Barkoulas & Christopher F. Baum & Gurkan S. Oguz

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

*by*John Barkoulas & Christopher F. Baum & Atreya Chakraborty

**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**

*by*Jondeau, E. & Ricart, R.

**Kamatparitás lebegő és csúszó leértékeléses árfolyamrendszerben**

*by*Barabás, Gyula

**Kamatkülönbség és árfolyam-várakozások az előre bejelentett kúszó árfolyamrendszerben**

*by*Darvas, Zsolt

**Inflation expectations and Real Return Bonds**

*by*Agathe Côté & Jocelyn Jacob & John Nelmes & Miles Whittingham

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

*by*Nicholas Ricketts

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

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

**Forecasting Inflation from the Term Structure**

*by*Tzavalis, E. & Wickens, M.R.

**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**

*by*Andrew Mark Jeffrey

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

*by*Lemmen, J.J.G. & Eijffinger, S.C.W.

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

*by*Allan W. Gregory & David G. Watt

**Some Lessons from the Yield Curve**

*by*John Y. Campbell

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

*by*Söderlind, Paul

**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**

*by*Canova, Fabio & de Nicolò, Gianni

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

*by*Canzoneri, Matthew B & Dellas, Harris

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

*by*René Garcia & Pierre Perron

**Minimax Estimator for linear models with nonrandom disturbances**

*by*Christopeit, N. & V. L. Girko

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

*by*David Folkerts-Landau & Peter M. Garber

**Explaining devaluation expectations in the EMS**

*by*Ulf Söderström & Alexis Stenfors

**Interest rate and inflation expectations in Finland 1987-1994 : a case for the inverted fisher hypothesis**

*by*Mika Linden

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

*by*Markku Lanne

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

*by*Laurence H. Meyer & Anandi P. Sahu

**The term structure of interest rates as a leading indicator of economic activity: A technical note**

*by*Kevin Clinton

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

*by*John B. Taylor

**Some Lessons from the Yield Curve**

*by*John Y. Campbell

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

*by*Masson, Paul R

**Explaining Devaluation Expectations in the EMS**

*by*Stenfors, Alexis & Söderström, Ulf

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

*by*Henry, Jerome & Jens Weidmann

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

*by*Weber, Axel

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

*by*Henry, Jerome & Jens Weidmann

**Investition, Finanzierung und Sparen: einige Implikationen der Keynes-Robertson-Kontroverse über den "Revolving Fund"**

*by*Hein, Eckhard

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

*by*Bennett T. McCallum

**Reverse Engineering the Yield Curve**

*by*David K. Backus & Stanley E. Zin

**The Simplest Test of Inflation Target Credibility**

*by*Svensson, Lars E O

**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**

*by*Christopher F. Baum & Olin Liu

**Financial Structure, Bank Lending Rates, and the Transmission Mechanism of Monetary Policy**

*by*Carlo Cottarelli & Angeliki Kourelis

**Testing the Credibility of Belgium's Exchange Rate Policy**

*by*Ioannis Halikias

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

*by*Hamid Baghestani

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

*by*Hamid Baghestani

**The Simplest Test of Inflation Target Credibility**

*by*Lars E.O. Svensson

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

*by*Lars E.O. Svensson

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

*by*Pierluigi Balduzzi & Giuseppe Bertola & Silverio Foresi

**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**

*by*Drudi, Francesco & Prati, Alessandro

**Liquidity and Financial Intermediation**

*by*DUTTA, Jayasri & KAPUR, Sandeep

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

*by*Francesco Caramazza

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

*by*Edward H. Gardner & William R. M. Perraudin

**The Reform of Federal Deposit Insurance**

*by*Cebula, Richard

**The Impact of Federal Deposit Insurance on Savings and Loan Failures**

*by*Cebula, Richard

**Imperfect capital markets and persistence of initial wealth inequalities**

*by*Thomas Piketty

**Inflation and the Interest Rate in 1991**

*by*Maria Zhecheva & Roumen Avramov & Valentin Chavdarov

**Инфлацията И Лихвения Процент През 1991 Г**

*by*Maria Zhecheva & Roumen Avramov & Valentin Chavdarov

**Understanding the High Interest Rates on Italian Government Securities**

*by*Giovannini, Alberto & Piga, Gustavo

**Bretton Woods and its Precursors: Rules versus Discretion in the History of International Monetary Regimes**

*by*Giovannini, Alberto

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

*by*Hamid Faruqee

**Fisherian Transmission and Efficient Arbitrage under Partial Financial Indexation: The Case of Chile**

*by*Enrique G. Mendoza

**Response [Great and Almost-Great Magnitudes for Economists]**

*by*Simon, Julian L

**Time-Varying Estimates on the Openness of the Capital Account in Korea and Taiwan**

*by*Helmut Reisen & Hélène Yèches

**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**

*by*Clark, Gregory

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

*by*Søren Johansen & Katarina Juselius

**Large Deficits Produce High Interest Rates**

*by*Cebula, Richard & Schwartzburt, Mark & Scott, Gerald

**Deficits and Real Interest Rates: A Note Extending the Hoelscher Model**

*by*Cebula, Richard & Scott, Gerald

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

*by*Cebula, Richard

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

*by*Martin Shubik & D.P. Tsomocos

**Determinants of Business Failure: A Time Series Analysis**

*by*Assadian, Afsaneh & Cebula, Richard

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

*by*Cebula, Richard & Koch, James

**What is the role of the interest rate?**

*by*Luis E. Rivero Medina

**Currency speculation and dollar fluctuations**

*by*Stephan Schulmeister

**Currency speculation and dollar fluctuations**

*by*Stephan Schulmeister

**Federal Government Budget Deficits and Interest Rates: A Brief Note**

*by*Cebula, Richard

**Taux d'intérêt et quantité de monnaie : note sur la distinction entre deux sphères de circulation chez T. Tooke, K. Wicksell, J.M. Keynes et J.A. Schumpeter**

*by*de Boyer des Roches, Jérôme

**The Taxation Of Foreign Investment Income In Canada, The United States And Mexico**

*by*Glenn Jenkins & GRAHAM GLENDAY & DEVENDRANAUTH MISIR

**A Note on "Crowding Out" in the United States**

*by*Cebula, Richard & Cebula, Barbara

**The Role Of Canadian And United States Monetary Policy In The Determination Of Interest Rates In Canada**

*by*Glenn Jenkins & HENRY LIM

**The Role of the United States Monetary Stock in a Model of the Canadian Economy**

*by*Glenn Jenkins

**The Determinants Of The Nominal Interest Rate**

*by*Glenn Jenkins & HENRY LIM

**A Local Vector Autoregressive Framework and its Applications to Multivariate Time Series Monitoring and Forecasting**

*by*Ying Chen & Bo Li & Linlin Niu

**New Hope for the Fisher Effect? A Re-Examination Using Threshold Cointegration**

*by*Jens Weidmann

**Control of Generalized Error Rates in Multiple Testing**

*by*Joseph P. Romano & Michael Wolf

**Beta Regimes for the Yield Curve**

*by*Francesco Audrino & Enrico De Giorgi

**Optimal Allotment Policy in Central Bank Open Market Operations**

*by*Christian Ewerhart & Nuno Cassola & Steen Ejerskov & Natacha Valla

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

*by*Peter A.G. VanBergeijk & Jan Marc Berk

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

*by*Peter Spencer & Zhuoshi Liu

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

*by*B. Pesaran & G. Wright

**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**

*by*Hamid Beladi & Edgar Ghossoub

**Fiscal Deficits, Current Account Dynamics and Monetary Policy**

*by*Giorgio Di Giorgio & Salvatore Nisticï¿½

**On the determinants of currency crises: The role of model uncertainty**

*by*Jesus Crespo Cuaresma & Tomas Slacik

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

*by*Chris Florackis & Alexandros Kontonikas & Alexandros Kostakis

**Behavioural Equilibrium Exchange Rate and Total Misalignment: Evidence from the Euro Exchange Rate**

*by*Minoas Koukouritakis & Nikolaos Giannellis

**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**

*by*Luis Eduardo Arango & María Angélica Arosemena

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

*by*Torben B. Rasmussen

**Monetary policy operations: experiences during the crisis and lessons learnt - a comment**

*by*Rafael Repullo

**Implementing monetary policy in the crisis times - the case of the ECB**

*by*Nuno Cassola & Alain Durré & Cornelia Holthausen

**Revisiting the Tale of Two Interest Rates with Endogenous Market Segmentation**

*by*Aubhik Khan & Julia Thomas