IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login

Citations for "Benchmarking the Expectations Hypothesis of the Interest-Rate Term Structure: An Analysis of Cointegration Vectors"

by Shea, Gary S

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. Peter Tillmann, 2004. "Cointegration and Regime-Switching Risk Premia in the US Term Structure of Interest Rates," Econometric Society 2004 North American Summer Meetings 26, Econometric Society.
  2. Kozicki, Sharon & Tinsley, P A, 1998. "Moving Endpoints and the Internal Consistency of Agents' Ex Ante Forecasts," Computational Economics, Society for Computational Economics, vol. 11(1-2), pages 21-40, April.
  3. Markku Lanne, 2000. "Near unit roots, cointegration, and the term structure of interest rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 513-529.
  4. Jondeau, E. & Sedillot, F., 1998. "La prevision des taux longs français et allemands a partir d'un modele a anticipations rationnelles," Working papers 55, Banque de France.
  5. Panagiotis T. Konstantinou, 2005. "The Expectations Hypothesis of the Term Structure : A Look at the Polish Interbank Market," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 41(3), pages 70-91, May.
  6. Avouyi-Dovi, S. & Jondeau, E., 1999. "Modelling the French Swap Spread," Working papers 65, Banque de France.
  7. Clive G. Bowsher & Roland Meeks, 2006. "High Dimensional Yield Curves: Models and Forecasting," OFRC Working Papers Series 2006fe11, Oxford Financial Research Centre.
  8. Jondeau, E. & Ricart, R., 1996. "The Expectation Theory: Tests on French, German, and American Euro-Rates," Working papers 35, Banque de France.
  9. Guidolin, Massimo & Timmermann, Allan G, 2007. "Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach," CEPR Discussion Papers 6188, C.E.P.R. Discussion Papers.
  10. Éric JONDEAU -, 2001. "La théorie des anticipations de la structure par terme permet-elle de rendre compte de l'évolution des taux d'intérêt sur euro-devise ?," Annales d'Economie et de Statistique, ENSAE, issue 62, pages 139-174.
  11. Diebold, Francis X., 2004. "The Nobel Memorial Prize for Robert F. Engle," CFS Working Paper Series 2004/11, Center for Financial Studies (CFS).
  12. Tillmann, Peter, 2007. "Inflation regimes in the US term structure of interest rates," Economic Modelling, Elsevier, vol. 24(2), pages 203-223, March.
  13. Alfaro, Rodrigo & Becerra, Juan Sebastian & Sagner, Andres, 2010. "Estimación de la estructura de tasas utilizando el modelo Dinámico Nelson Siegel: resultados para Chile y EEUU
    [The Dynamic Nelson-Siegel model: empirical results for Chile and US]
    ," MPRA Paper 25912, University Library of Munich, Germany, revised 23 Jun 2010.
  14. Keith Cuthbertson & Don Bredin, 2000. "The Expectations Hypothesis of the Term Structure - The Case of Ireland," The Economic and Social Review, Economic and Social Studies, vol. 31(3), pages 267-281.
  15. Casalin, Fabrizio, 2013. "Testing the expectations hypothesis of the term structure with permanent-transitory component models," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3192-3203.
  16. Christian Kascha & Carsten Trenkler, 2011. "Cointegrated VARMA models and forecasting US interest rates," ECON - Working Papers 033, Department of Economics - University of Zurich.
  17. Jondeau, Eric & Ricart, Roland, 1999. "The expectations hypothesis of the term structure: tests on US, German, French, and UK Euro-rates," Journal of International Money and Finance, Elsevier, vol. 18(5), pages 725-750, October.
  18. Erdenebat Bataa & Dong H. Kim & Denise R. Osborn, 2006. "A Further Examination of the Expectations Hypothesis for the Term Structure," The School of Economics Discussion Paper Series 0611, Economics, The University of Manchester.
  19. Anonymous, 1993. "Expectations and the term structure of interest rates," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 56, December.
  20. Benjamin Tabak, 2009. "Testing the expectations hypothesis in the Brazilian term structure of interest rates: a cointegration analysis," Applied Economics, Taylor & Francis Journals, vol. 41(21), pages 2681-2689.
  21. Zeno Rotondi, 2006. "The Macroeconomy and the Yield Curve: A Review of the Literature with Some New Evidence," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 65(2), pages 193-224, November.
  22. Vlaar, Peter J. G., 2000. "Value at risk models for Dutch bond portfolios," Journal of Banking & Finance, Elsevier, vol. 24(7), pages 1131-1154, July.
  23. Meredith Beechey & Erik Hjalmarsson & Par Osterholm, 2008. "Testing the expectations hypothesis when interest rates are near integrated," International Finance Discussion Papers 953, Board of Governors of the Federal Reserve System (U.S.).
  24. Clive G. Bowsher & Roland Meeks, 2008. "The dynamics of economics functions: modelling and forecasting the yield curve," Working Papers 0804, Federal Reserve Bank of Dallas.
  25. Glenn D. Rudebusch, 1995. "Federal Reserve interest rate targeting, rational expectations, and the term structure," Working Papers in Applied Economic Theory 95-02, Federal Reserve Bank of San Francisco.
  26. Joseph P. Byrne & Giorgio Fazio & Norbert Fiess, 2010. "Interest Rate Co-movements, Global Factors and the Long End of the Term Spread," Working Papers 2010_10, Business School - Economics, University of Glasgow.
  27. Fabrizio Casalin, 2007. "Single Equation Models, Co-Integration and the Expectations Hypothesis of the Term Structure of Interest Rates," Working Papers 110, University of Milano-Bicocca, Department of Economics, revised 2007.
  28. Till Strohsal & Enzo Weber, 2014. "Mean-variance cointegration and the expectations hypothesis," Quantitative Finance, Taylor & Francis Journals, vol. 14(11), pages 1983-1997, November.
  29. Jondeau, E. & Ricart, R., 1999. "The Information Content of the French and German Government Bond Tield Curves: Why Such Differences?," Working papers 61, Banque de France.
  30. Giese, Julia V., 2008. "Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 2, pages 1-20.
  31. David Bernstein & Bent Nielsen, 2014. "Asymptotic theory for cointegration analysis when the cointegration rank is deficient," Economics Papers 2014-W06, Economics Group, Nuffield College, University of Oxford.
  32. Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working papers 234, Banque de France.
  33. Paul Johnson, 1997. "Estimation of the specification error in the expectations theory of the term structure," Applied Economics, Taylor & Francis Journals, vol. 29(9), pages 1239-1247.
  34. Cuthbertson, Keith & Hayes, Simon & Nitzsche, Dirk, 2000. "Are German money market rates well behaved?," Journal of Economic Dynamics and Control, Elsevier, vol. 24(3), pages 347-360, March.
  35. Hurn, A Stan & Moody, Terry & Muscatelli, V Anton, 1995. "The Term Structure of Interest Rates in the London Interbank Market," Oxford Economic Papers, Oxford University Press, vol. 47(3), pages 419-36, July.
  36. Sanjay Ramchander & Marc Simpson & Mukesh Chaudhry, 2003. "The impact of inflationary news on money market yields and volatilities," Journal of Economics and Finance, Springer, vol. 27(1), pages 85-101, March.
  37. 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.
  38. 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.
  39. Erdenebat Bataa & Dong H. Kim & Denise R. Osborn, 2007. "Expectations Hypothesis Tests in the Presence of Model Uncertainty," Discussion Paper Series 0703, Institute of Economic Research, Korea University.
  40. Toyne, Chris, 2002. "Inventories and Commodity Price Volatility: A Test of the Theory of Storage," 2002 Conference (46th), February 13-15, 2002, Canberra 125169, Australian Agricultural and Resource Economics Society.
  41. Jorge de Andrés Sánchez, 2004. "Un Análisis de la Curva de Rendimientos en el Mercado de Deuda Pública Española a Medio y Largo Plazo en el Período 1993-2004," Economic Analysis Working Papers (2002-2010). Atlantic Review of Economics (2011-2014), Colexio de Economistas de A Coruña, Spain and Fundación Una Galicia Moderna, vol. 3, pages 1-30, October.
  42. Michael Bowe & Nikolaos Mylonidis, 1999. "Is the European Capital Market Ready for the Single Currency?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 26(1-2), pages 1-32.
  43. Peter Lildholdt & Nikolaos Panigirtzoglou & Chris Peacock, 2007. "An affine macro-factor model of the UK yield curve," Bank of England working papers 322, Bank of England.
  44. 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.
  45. Chikashi Tsuji, 2005. "Are investors rational in international bond markets?," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(3), pages 169-175, May.
  46. Kozicki, Sharon & Tinsley, P. A., 2001. "Shifting endpoints in the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 613-652, June.
  47. Engsted, Tom, 2002. " Measures of Fit for Rational Expectations Models," Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 301-55, July.
  48. Diebold, Francis X. & Li, Canlin, 2006. "Forecasting the term structure of government bond yields," Journal of Econometrics, Elsevier, vol. 130(2), pages 337-364, February.
  49. K. Azim �zdemir & �zg�r �zel, 2011. "Regime changes in monetary policy and the Expectation Hypothesis of the term structure in Turkey," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 13(2), pages 261-274, May.
  50. Arielle Beyaert & Juan Jose Perez-Castejon, 2009. "Markov-switching models, rational expectations and the term structure of interest rates," Applied Economics, Taylor & Francis Journals, vol. 41(3), pages 399-412.
  51. Clive G. Bowsher & Roland Meeks, 2006. "The Impossibility of Stationary Yield Spreads and I(1) Yields under the Expectations Theory of the Term Structure," Economics Papers 2006-W05, Economics Group, Nuffield College, University of Oxford.
  52. Olan T. Henry & Sandy Suardi, 2004. "Testing for a Level Effect in Short-Term Interest Rates," Department of Economics - Working Papers Series 924, The University of Melbourne.
  53. Kosei Fukuda, 2011. "Cointegration rank switching model: an application to forecasting interest rates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(5), pages 509-522, August.
  54. Heather Anderson, 1999. "Explanations of an empirical puzzle: what can be learnt from a test of the rational expectations hypothesis?," Journal of Economic Methodology, Taylor & Francis Journals, vol. 6(1), pages 31-59.
  55. Kryzanowski, Lawrence & Xu, Kuan, 1997. "Long-term equilibria of yields on taxable and tax-exempt bonds," International Review of Economics & Finance, Elsevier, vol. 6(2), pages 119-143.
  56. Joseph R. Dziwura & Eric M. Green, 1996. "Interest rate expectations and the shape of the yield curve," Research Paper 9631, Federal Reserve Bank of New York.
  57. Sharon Kozicki & Peter A. Tinsley, . "Moving Endpoints in Macrofinance," Computing in Economics and Finance 1996 _058, Society for Computational Economics.
  58. PeterTillmann, 2004. "Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates," Computing in Economics and Finance 2004 53, Society for Computational Economics.
  59. Avouyi-Dovi, S. & Jondeau, E., 1999. "Interest Rate Transmission and Volatility Transmission along the Yield Curve," Working papers 57, Banque de France.
  60. Heaney, Richard, 2002. "Does knowledge of the cost of carry model improve commodity futures price forecasting ability?: A case study using the London Metal Exchange lead contract," International Journal of Forecasting, Elsevier, vol. 18(1), pages 45-65.
  61. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
  62. Noor Ghazali & Soo-Wah Low, 2002. "The expectation hypothesis in emerging financial markets: the case of Malaysia," Applied Economics, Taylor & Francis Journals, vol. 34(9), pages 1147-1156.
  63. Bredin, Don, 2001. "Alternative Tests of the Expectations Hypothesis of the Term Structure of Interest Rates," Research Technical Papers 2/RT/01, Central Bank of Ireland.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.