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Citations for "The Information in Long-Maturity Forward Rates"

by Fama, Eugene F & Bliss, Robert R

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  1. Fabrizio Casalin, 2007. "Single Equation Models, Co-Integration and the Expectations Hypothesis of the Term Structure of Interest Rates," Discussion Papers in Economics 07/06, Department of Economics, University of Leicester.
  2. Dewachter, Hans & Lyrio, Marco, 2006. "Macro Factors and the Term Structure of Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(1), pages 119-140, February.
  3. Dimitri Vayanos & Robin Greenwood, 2008. "Bond Supply and Excess Bond Returns," FMG Discussion Papers dp607, Financial Markets Group.
  4. Joyce, Michael & Relleen, Jonathan & Sorensen, Steffen, 2008. "Measuring monetary policy expectations from financial market instruments," Working Paper Series 0978, European Central Bank.
  5. Timothy Cogley, 2005. "Changing Beliefs and the Term Structure of Interest Rates: Cross-Equation Restrictions with Drifting Parameters," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 420-451, April.
  6. Gürkaynak, Refet S. & Levin, Andrew & Swanson, Eric T, 2006. "Does Inflation Targeting Anchor Long-Run Inflation Expectations? Evidence from Long-Term Bond Yields in the US, UK and Sweden," CEPR Discussion Papers 5808, C.E.P.R. Discussion Papers.
  7. Li, Matthew C., 2016. "US term structure and international stock market volatility: The role of the expectations factor and the maturity premium," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 1-15.
  8. Laurini, Márcio Poletti & Ohashi, Alberto, 2015. "A noisy principal component analysis for forward rate curves," European Journal of Operational Research, Elsevier, vol. 246(1), pages 140-153.
  9. Crump, Richard K. & Eusepi, Stefano & Moench, Emanuel, 2016. "The term structure of expectations and bond yields," Staff Reports 775, Federal Reserve Bank of New York.
  10. C. N. V. Krishnan & Peter H. Ritchken & James B. Thomson, 2003. "On credit spread slopes and predicting bank risk," Working Paper 0314, Federal Reserve Bank of Cleveland.
  11. Chen, Ying & Niu, Linlin, 2014. "Adaptive dynamic Nelson–Siegel term structure model with applications," Journal of Econometrics, Elsevier, vol. 180(1), pages 98-115.
  12. Iryna Kaminska & Andrea Carriero & Carlo A. Favero, 2004. "Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates," Computing in Economics and Finance 2004 76, Society for Computational Economics.
  13. Ippei Fujiwara & Lena Mareen Korber & Daisuke Nagakura, 2013. "Asymmetry in Government Bond Returns," CAMA Working Papers 2013-12, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  14. Pierluigi Balduzzi & Sanjiv Ranjan Das & Silverio Foresi, 1997. "The Central Tendency: A Second Factor in Bond Yields," NBER Working Papers 6325, National Bureau of Economic Research, Inc.
  15. Møller, Stig V., 2014. "GDP growth and the yield curvature," Finance Research Letters, Elsevier, vol. 11(1), pages 1-7.
  16. Mirta González & María Cecilia Pérez, 2015. "Simulation of the term structure. An application for measuring the interest rate risk," BCRA Working Paper Series 201570, Central Bank of Argentina, Economic Research Department.
  17. Tim Bollerslev & Michael S. Gibson & Hao Zhou, 2004. "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Finance and Economics Discussion Series 2004-56, Board of Governors of the Federal Reserve System (U.S.).
  18. Farshid Vahid & Lin Luo, 2004. "Forecasting Australian GDP Growth Using Coefficients Constrained by A Term Structure Model," Econometric Society 2004 Australasian Meetings 232, Econometric Society.
  19. David Backus & Silverio Foresi & Abon Mozumdar & Liuren Wu, 1998. "Predictable Changes in Yields and Forward Rates," NBER Working Papers 6379, National Bureau of Economic Research, Inc.
  20. Rajnish Mehra & Arunima Sinha, 2016. "The Term Structure of Interest Rates in India," NBER Working Papers 22020, National Bureau of Economic Research, Inc.
  21. Christophe PÉRIGNON & Christophe VILLA, 2002. "Permanent and Transitory Factors Affecting the Dynamics of the Term Structure of Interest Rates," FAME Research Paper Series rp53, International Center for Financial Asset Management and Engineering.
  22. Andrew Ang & Monika Piazzesi & Min Wei, 2003. "What does the yield curve tell us about GDP growth?," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
  23. Dahlquist, Magnus & Hasseltoft, Henrik, 2013. "International Bond Risk Premia," Journal of International Economics, Elsevier, vol. 90(1), pages 17-32.
  24. John H. Cochrane, 2007. "Commentary on "Macroeconomic implications of changes in the term premium"," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 271-282.
  25. Campbell, John, 2000. "Asset Pricing at the Millennium," Scholarly Articles 3294737, Harvard University Department of Economics.
  26. Andrés Mirantes & Javier Población & Gregorio Serna, 2015. "Commodity derivative valuation under a factor model with time-varying market prices of risk," Review of Derivatives Research, Springer, vol. 18(1), pages 75-93, April.
  27. Kenneth Kuttner, 2006. "Can Central Banks Target Bond Prices?," NBER Working Papers 12454, National Bureau of Economic Research, Inc.
  28. Campbell, John Y., 2001. "Why long horizons? A study of power against persistent alternatives," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 459-491, December.
  29. Jurek, Jakub W & Viceira, Luis M, 2006. "Optimal Value and Growth Tilts in Long-Horizon Portfolios," CEPR Discussion Papers 5773, C.E.P.R. Discussion Papers.
  30. Hibiki Ichiue, 2004. "Why Can the Yield Curve Predict Output Growth, Inflation, and Interest Rates? An Analysis with Affine Term Structure Model," Econometric Society 2004 Far Eastern Meetings 581, Econometric Society.
  31. John Y. Campbell & John Ammer, 1991. "What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns," NBER Working Papers 3760, National Bureau of Economic Research, Inc.
  32. Ling Hu & Peter C.B. Phillips, 2002. "Dynamics of the Federal Funds Target Rate: A Nonstationary Discrete Choice Approach," Cowles Foundation Discussion Papers 1365, Cowles Foundation for Research in Economics, Yale University.
  33. Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2007. "The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models," PIER Working Paper Archive 07-029, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  34. Wu, Yangru & Zhang, Hua, 1997. "Do Interest Rates Follow Unit-Root Processes? Evidence from Cross-Maturity Treasury Bill Yields," Review of Quantitative Finance and Accounting, Springer, vol. 8(1), pages 69-81, January.
  35. Francesco Audrino & Enrico De Giorgi, 0. "Beta Regimes for the Yield Curve," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 5(3), pages 456-490.
  36. H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2013. "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Tinbergen Institute Discussion Papers 13-187/III, Tinbergen Institute.
  37. Perraudin, William & Taylor, Alex P., 2004. "On the consistency of ratings and bond market yields," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2769-2788, November.
  38. Laborda, Ricardo & Olmo, Jose, 2014. "Investor sentiment and bond risk premia," Journal of Financial Markets, Elsevier, vol. 18(C), pages 206-233.
  39. Francis X. Diebold & Canlin Li, 2002. "Forecasting the Term Structure of Government Bond Yields," Center for Financial Institutions Working Papers 02-34, Wharton School Center for Financial Institutions, University of Pennsylvania.
  40. Habrov, Vladimir, 2012. "Optimization of portfolio management based on vector autoregression models and multivariate volatility models," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 28(4), pages 35-62.
  41. repec:adr:anecst:y:1999:i:54:p:02 is not listed on IDEAS
  42. Molenaars, Tomas K. & Reinerink, Nick H. & Hemminga, Marcus A., 2013. "Forecasting the yield curve - Forecast performance of the dynamic Nelson-Siegel model from 1971 to 2008," MPRA Paper 61862, University Library of Munich, Germany.
  43. Nozawa, Yoshio, 2014. "What Drives the Cross-Section of Credit Spreads?: A Variance Decomposition Approach," Finance and Economics Discussion Series 2014-62, Board of Governors of the Federal Reserve System (U.S.).
  44. María O González & Frank Skinner & Samuel Agyei-Ampomah, 2013. "Term structure information and bond strategies," Review of Quantitative Finance and Accounting, Springer, vol. 41(1), pages 53-74, July.
  45. Martha Misas A. & Enrique López E. & Luis Fernando Melo V., 1999. "La inflación desde una perspectiva monetaria: un modelo P* para Colombia," Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 0(35), pages 5-53, Junio.
  46. S. K. Bhaumik & D. Coondoo, 2003. "Econometrics of yield spreads in the money market: a note," Applied Financial Economics, Taylor & Francis Journals, vol. 13(9), pages 645-653.
  47. Leo Krippner, 2014. "Measuring the stance of monetary policy in conventional and unconventional environments," CAMA Working Papers 2014-06, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  48. Refet S. Gürkaynak & Andrew T. Levin & Andrew N. Marder & Eric T. Swanson, 2006. "Inflation Targeting and the Anchoring of Inflation Expectations in The Western Hemisphere," Working Papers Central Bank of Chile 400, Central Bank of Chile.
  49. Brennan, Michael J. & Xia, Yihong, 2004. "International Capital Markets and Foreign Exchange Risk," University of California at Los Angeles, Anderson Graduate School of Management qt53z0s29k, Anderson Graduate School of Management, UCLA.
  50. Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2012. "Forecasting government bond yields with large Bayesian vector autoregressions," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2026-2047.
  51. Daniela Osterrieder & Peter C. Schotman, 2012. "The Volatility of Long-term Bond Returns: Persistent Interest Shocks and Time-varying Risk Premiums," CREATES Research Papers 2012-35, Department of Economics and Business Economics, Aarhus University.
  52. Mikosch, Thomas & de Vries, Casper G., 2013. "Heavy tails of OLS," Journal of Econometrics, Elsevier, vol. 172(2), pages 205-221.
  53. Markus Leippold & Liuren Wu, 2002. "Design and Estimation of Quadratic Term Structure Models," Finance 0207014, EconWPA.
  54. Stillwagon, Josh R., 2015. "Testing the expectations hypothesis with survey forecasts: The impacts of consumer sentiment and the zero lower bound in an I(2) CVAR," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 85-101.
  55. Eli M. Remolona & Joseph Dziwura & Irene Pedraza, 1995. "The short end of the forward convergence curve and asymmetric cat's tail convergence," Research Paper 9523, Federal Reserve Bank of New York.
  56. Igor Makarov & D. Papanikolaou, 2008. "Sources of systematic risk," LSE Research Online Documents on Economics 53906, London School of Economics and Political Science, LSE Library.
  57. Musti, Silvana & D'Ecclesia, Rita Laura, 2008. "Term structure of interest rates and the expectation hypothesis: The euro area," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1596-1606, March.
  58. Hautsch, Nikolaus & Yang, Fuyu, 2012. "Bayesian inference in a Stochastic Volatility Nelson–Siegel model," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3774-3792.
  59. Michael Gallmeyer & Burton Hollifield & Stanley E. Zin, 2005. "Taylor Rules, McCallum Rules and the Term Structure of Interest Rates," NBER Working Papers 11276, National Bureau of Economic Research, Inc.
  60. Ralph S.J. Koijen & Tobias J. Moskowitz & Lasse Heje Pedersen & Evert B. Vrugt, 2013. "Carry," NBER Working Papers 19325, National Bureau of Economic Research, Inc.
    • Koijen, Ralph & Moskowitz, Tobias J & Pedersen, Lasse Heje & Vrugt, Evert B., 2013. "Carry," CEPR Discussion Papers 9771, C.E.P.R. Discussion Papers.
  61. Diego Jara & Carolina Gómez & Andrés Pardo, 2005. "Análisis de eficiencia de los portafolios pensionales obligatorios en Colombia," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 23(49), pages 192-239, December.
  62. Monika Piazzesi & Eric T. Swanson, 2004. "Future prices as risk-adjusted forecasts of monetary policy," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
  63. Bowsher, Clive G. & Meeks, Roland, 2008. "The dynamics of economics functions: modelling and forecasting the yield curve," Working Papers 0804, Federal Reserve Bank of Dallas.
  64. Jan J. J. Groen & Richard Paap & Francesco Ravazzolo, 2013. "Real-Time Inflation Forecasting in a Changing World," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(1), pages 29-44, January.
  65. Carlo Altavilla & Riccardo Costantini & Raffaella Giacomini, 2013. "Bond returns and market expectations," CeMMAP working papers CWP20/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  66. Balduzzi, Pierluigi & Bertola, Giuseppe & Foresi, Silverio, 1997. "A model of target changes and the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 39(2), pages 223-249, July.
  67. Mauricio Larraín E. & Fernando Parro G., 2006. "La Información Contenida en los Movimientos de las Tasas Forward en Chile," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 9(3), pages 125-132, December.
  68. van Binsbergen, Jules & Hueskes, Wouter & Koijen, Ralph & Vrugt, Evert, 2013. "Equity yields," Journal of Financial Economics, Elsevier, vol. 110(3), pages 503-519.
    • Jules H. van Binsbergen & Wouter Hueskes & Ralph Koijen & Evert B. Vrugt, 2011. "Equity Yields," NBER Working Papers 17416, National Bureau of Economic Research, Inc.
  69. Machava, Agostinho & Brännäs, Kurt, 2015. "Mozambican Monetary Policy and the Yield Curve of Treasury Bills - An Empirical Study," Umeå Economic Studies 918, Umeå University, Department of Economics.
  70. Svensson, L.E.O., 1994. "Estimating and Interpreting Foreward Interest Rates: Sweden 1992-1994," Papers 579, Stockholm - International Economic Studies.
  71. Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2001. "A Joint Model for the Term Structure of Interest Rates and the Macroeconomy," International Economics Working Papers Series wpie002, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
  72. Drew D. Creal & Jing Cynthia Wu, 2014. "Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility," NBER Working Papers 20115, National Bureau of Economic Research, Inc.
  73. Giovanna Paladino & Gianluca Salsecci, 1999. "Spread corrigé des risques et dynamique du taux d'intérêt à long terme : une application aux marchés allemand, américain et italien," Économie et Prévision, Programme National Persée, vol. 140(4), pages 45-62.
  74. Sermin Gungor & Jesus Sierra, 2014. "Search-for-Yield in Canadian Fixed-Income Mutual Funds and Monetary Policy," Staff Working Papers 14-3, Bank of Canada.
  75. Pierre Collin-Dufresne & Christopher S. Jones & Robert S. Goldstein, 2004. "Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility," NBER Working Papers 10756, National Bureau of Economic Research, Inc.
  76. John H. Cochrane & Francis A. Longstaff & Pedro Santa-Clara, 2003. "Two Trees: Asset Price Dynamics Induced by Market Clearing," Levine's Bibliography 666156000000000355, UCLA Department of Economics.
  77. John H. Cochrane, 1999. "New Facts in Finance," NBER Working Papers 7169, National Bureau of Economic Research, Inc.
  78. Buraschi, Andrea & Jiltsov, Alexei, 2005. "Inflation risk premia and the expectations hypothesis," Journal of Financial Economics, Elsevier, vol. 75(2), pages 429-490, February.
  79. Marfatia, Hardik A., 2014. "Impact of uncertainty on high frequency response of the U.S. stock markets to the Fed's policy surprises," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(3), pages 382-392.
  80. Duffee, Gregory, 2013. "Forecasting Interest Rates," Handbook of Economic Forecasting, Elsevier.
  81. Shaw, Frances & Murphy, Finbarr & O’Brien, Fergal, 2014. "The forecasting efficiency of the dynamic Nelson Siegel model on credit default swaps," Research in International Business and Finance, Elsevier, vol. 30(C), pages 348-368.
  82. Robert R. Bliss, 1997. "Movements in the term structure of interest rates," Economic Review, Federal Reserve Bank of Atlanta, issue Q 4, pages 16-33.
  83. Tom Engsted & Stig V. Møller & Magnus Sander, 2013. "Bond return predictability in expansions and recessions," CREATES Research Papers 2013-13, Department of Economics and Business Economics, Aarhus University.
  84. Barbara Rossi, 2007. "Expectations hypotheses tests at Long Horizons," Econometrics Journal, Royal Economic Society, vol. 10(3), pages 554-579, November.
  85. Oliveira, Luís & Curto, José Dias & Nunes, João Pedro, 2012. "The determinants of sovereign credit spread changes in the Euro-zone," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(2), pages 278-304.
  86. : Arie E. Gozluklu, 2012. "Inflation, Stock Market and Long-Term Investors: Real Effects of Changing Demographics," Working Papers wpn12-06, Warwick Business School, Finance Group.
  87. Ravenna, Federico & Seppälä, Juha, 2006. "Monetary policy and rejections of the expectations hypothesis," Research Discussion Papers 25/2006, Bank of Finland.
  88. Mateus A. Feitosa & Benjamin M. Tabak, 2007. "Predictability Of Economic Activity Using Yield Spreads: The Case Of Brazil," Anais do XXXV Encontro Nacional de Economia [Proceedings of the 35th Brazilian Economics Meeting] 029, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  89. Pasquale Della Corte & Lucio Sarno & Daniel L. Thornton, 2007. "The expectation hypothesis of the term structure of very short-term rates: statistical tests and economic value," Working Papers 2006-061, Federal Reserve Bank of St. Louis.
  90. Jerry Tsai, 2013. "Rare Disasters and the Term Structure of Interest Rates," Economics Series Working Papers 665, University of Oxford, Department of Economics.
  91. Clive G. Bowsher & Roland Meeks, 2006. "High Dimensional Yield Curves: Models and Forecasting," OFRC Working Papers Series 2006fe11, Oxford Financial Research Centre.
  92. Howard Kung, 2014. "Macroeconomic linkages between monetary policy and the term structure of interest rates," 2014 Meeting Papers 560, Society for Economic Dynamics.
  93. Hautsch, Nikolaus & Ou, Yangguoyi, 2009. "Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields," CFS Working Paper Series 2009/03, Center for Financial Studies (CFS).
  94. John Y. Campbell & John H. Cochrane, 1994. "By force of habit: a consumption-based explanation of aggregate stock market behavior," Working Papers 94-17, Federal Reserve Bank of Philadelphia.
  95. Ravi Bansal & George Tauchen & Hao Zhou, 2004. "Regime Shifts, Risk Premiums in the Term Structure, and the Business Cycle," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 396-409, October.
  96. Sharon Kozicki & Peter A. Tinsley, 1997. "Moving endpoints and the internal consistency of agents' ex ante forecasts," Research Working Paper 97-01, Federal Reserve Bank of Kansas City.
  97. Frank F. Gong & Eli M. Remolona, 1996. "Two factors along the yield curve," Research Paper 9613, Federal Reserve Bank of New York.
  98. Ross Guest & Alan McLean, 1998. "New evidence on the expectations theory of the term structure of Australian Commonwealth Government Treasury yields," Applied Financial Economics, Taylor & Francis Journals, vol. 8(1), pages 81-87.
  99. Raviv, Eran, 2015. "Prediction bias correction for dynamic term structure models," Economics Letters, Elsevier, vol. 129(C), pages 112-115.
  100. Mark A. Hooker, 1996. "Maturity structure of term premia with time-varying expected returns," Working Papers 96-4, Federal Reserve Bank of Boston.
  101. Monika Piazzesi & Martin Schneider, 2007. "Equilibrium Yield Curves," NBER Chapters, in: NBER Macroeconomics Annual 2006, Volume 21, pages 389-472 National Bureau of Economic Research, Inc.
  102. Wei Xiong & Hongjun Yan, 2006. "Heterogeneous Expectations and Bond Markets," NBER Working Papers 12781, National Bureau of Economic Research, Inc.
  103. Robert F. Stambaugh, 1999. "Predictive Regressions," NBER Technical Working Papers 0240, National Bureau of Economic Research, Inc.
  104. Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 2005. "The Myth of Long-Horizon Predictability," NBER Working Papers 11841, National Bureau of Economic Research, Inc.
  105. Almeida, Caio Ibsen Rodrigues de & Vicente, José, 2007. "The role of no-arbitrage on forecasting: lessons from a parametric term structure model," Economics Working Papers (Ensaios Economicos da EPGE) 657, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  106. Gregory R. Duffee, 2000. "Term premia and interest rate forecasts in affine models," Working Paper Series 2000-19, Federal Reserve Bank of San Francisco.
  107. Borus Jungbacker & Siem Jan Koopman & Michel van der Wel, 0000. "Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates," Tinbergen Institute Discussion Papers 09-041/4, Tinbergen Institute, revised 17 Sep 2010.
  108. Koopman, Siem Jan & van der Wel, Michel, 2013. "Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model," International Journal of Forecasting, Elsevier, vol. 29(4), pages 676-694.
  109. Luis Ceballos & Alberto Naudon & Damián Romero, 2015. "Nominal Term Structure and Term Premia: Evidence from Chile," Working Papers Central Bank of Chile 752, Central Bank of Chile.
  110. John H. Cochrane, 1988. "Production Based Asset Pricing," NBER Working Papers 2776, National Bureau of Economic Research, Inc.
  111. Alessia Paccagnini, 2014. "The Macroeconomic Determinants of the US Term-Structure during the Great Moderation," Working Papers 274, University of Milano-Bicocca, Department of Economics, revised Jun 2014.
  112. D H Kim, 2002. "Another look at yield spreads: The role of liquidity," Centre for Growth and Business Cycle Research Discussion Paper Series 04, Economics, The Univeristy of Manchester.
  113. Frederik Lundtofte, 2013. "The quality of public information and the term structure of interest rates," Review of Quantitative Finance and Accounting, Springer, vol. 40(4), pages 715-740, May.
  114. John Y. Campbell & Robert J. Shiller, 1996. "A Scorecard for Indexed Government Debt," NBER Working Papers 5587, National Bureau of Economic Research, Inc.
  115. Dániel Horváth & Péter Kálmán & Zalán Kocsis & Imre Ligeti, 2014. "What factors influence the yield curve?," MNB Bulletin (discontinued), Magyar Nemzeti Bank (Central Bank of Hungary), vol. 9(1), pages 28-39, March.
  116. Alfonso Novales & Emilio Domínguez, 2002. "Can forward rates be used to improve interest rate forecasts?"," Documentos de Trabajo del ICAE 0225, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  117. Stephen A. Buser & G. Andrew Karolyi & Anthony B. Sanders, . "Adjusted Forward Rates as Predictors of Future Spot Rates," Research in Financial Economics 9605, Ohio State University.
  118. Daniel R. Smith & Christophe Parignon, 2004. "Modeling Yield-Factor Volatility," Econometric Society 2004 Australasian Meetings 307, Econometric Society.
  119. John Y. Campbell, 2002. "Consumption-Based Asset Pricing," Harvard Institute of Economic Research Working Papers 1974, Harvard - Institute of Economic Research.
  120. Sharon Kozicki & Peter A. Tinsley, . "Moving Endpoints in Macrofinance," Computing in Economics and Finance 1996 _058, Society for Computational Economics.
  121. repec:bdr:ensayo:v::y:2005:i:49:p:192-239 is not listed on IDEAS
  122. Wu, Yangru & Zhang, Hua, 1996. "Mean Reversion in Interest Rates: New Evidence from a Panel of OECD Countries," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(4), pages 604-21, November.
  123. Diego Alonso Agudelo Rueda & Mónica Arango Arango, 2008. "La curva de rendimientos a plazo y las expectativas de tasas de interes en el mercado de renta fija en colombia 2002-2007," DOCUMENTOS DE TRABAJO CIEF 010650, UNIVERSIDAD EAFIT.
  124. Gil-Alana, Luis A. & Moreno, Antonio, 2012. "Uncovering the US term premium: An alternative route," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1181-1193.
  125. Juan Marcelo, Ochoa, 2006. "An Interpretation of An Affine Term Structure Model for Chile," MPRA Paper 1072, University Library of Munich, Germany.
  126. Alexandros Kontonikas & Charles Nolan & Zivile Zekaite, 2015. "Always and Everywhere Inflation? Treasuries Variance Decomposition and the Impact of Monetary Policy," Working Papers 2015_17, Business School - Economics, University of Glasgow.
  127. Modena, Matteo, 2008. "Yield curve, time varying term premia, and business cycle fluctuations," MPRA Paper 8873, University Library of Munich, Germany.
  128. Jorion, Philippe & Mishkin, Frederic, 1991. "A multicountry comparison of term-structure forecasts at long horizons," Journal of Financial Economics, Elsevier, vol. 29(1), pages 59-80, March.
  129. Löchel, H. & Packham, N. & Walisch, F., 2016. "Determinants of the onshore and offshore Chinese government yield curves," Pacific-Basin Finance Journal, Elsevier, vol. 36(C), pages 77-93.
  130. De Pooter, Michiel & Ravazzolo, Francesco & van Dijk, Dick, 2006. "Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information," MPRA Paper 2512, University Library of Munich, Germany, revised 03 Mar 2007.
  131. Startz Richard & Tsang Kwok Ping, 2012. "Nonexponential Discounting: A Direct Test And Perhaps A New Puzzle," The B.E. Journal of Macroeconomics, De Gruyter, vol. 12(1), pages 1-35, November.
  132. Osmani Teixeira De Carvalho Guillen & Benjamin M. Tabak, 2009. "Characterising the Brazilian term structure of interest rates," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 2(2), pages 103-114.
  133. Pornpinun Chantapacdepong, 2007. "Determinants of the time varying risk premia," Bristol Economics Discussion Papers 07/597, Department of Economics, University of Bristol, UK.
  134. Don H Kim & Athanasios Orphanides, 2007. "The bond market term premium: what is it, and how can we measure it?," BIS Quarterly Review, Bank for International Settlements, June.
  135. Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Working Papers 75, Brandeis University, Department of Economics and International Businesss School.
  136. Zhu, Xiaoneng, 2011. "A note on the predictability of excess bond returns and regime shifts," Finance Research Letters, Elsevier, vol. 8(2), pages 101-109, June.
  137. Wali Ullah & Yasumasa Matsuda, 2012. "Term Structure Modeling and Forecasting of Government Bond Yields : Does Macroeconomic Factors Imply Better Out-of-Sample Forecasts?," TERG Discussion Papers 304, Graduate School of Economics and Management, Tohoku University.
  138. Kilian, Lutz, 1999. "Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 491-510, Sept.-Oct.
  139. Carolin E. Pflueger & Luis M. Viceira, 2011. "Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity," NBER Working Papers 16892, National Bureau of Economic Research, Inc.
  140. Marfatia, Hardik A., 2015. "Monetary policy's time-varying impact on the US bond markets: Role of financial stress and risks," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 103-123.
  141. Hernandis, Lucía & Torró, Hipòlit, 2013. "The information content of Eonia swap rates before and during the financial crisis," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5316-5328.
  142. Bautista, Rafaél & Riáscos, Álvaro & Suárez, Nicolás, 2007. "La aplicación de un modelo de factores a las curvas de rendimiento del mercado de deuda pública colombiano," Galeras. Working Papers Series 014, Universidad de Los Andes. Facultad de Administración. School of Management.
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