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Term premia: models and some stylised facts

Citations

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Cited by:

  1. Etienne Vaccaro-Grange, 2025. "Quantitative easing, tightening, and the term premium channel in the Euro Area," Empirical Economics, Springer, vol. 69(6), pages 3089-3125, December.
  2. Pietrunti, Mario & Signoretti, Federico M., 2020. "Unconventional monetary policy and household debt: The role of cash-flow effects," Journal of Macroeconomics, Elsevier, vol. 64(C).
  3. Maurice Obstfeld, 2020. "Global Dimensions of U.S. Monetary Policy," International Journal of Central Banking, International Journal of Central Banking, vol. 16(1), pages 73-132, February.
  4. Omar Zulaica, 2020. "What share for gold? On the interaction of gold and foreign exchange reserve returns," BIS Working Papers 906, Bank for International Settlements.
  5. Mehrotra, Aaron & Moessner, Richhild & Shu, Chang, 2019. "Interest rate spillovers from the United States: expectations, term premia and macro-financial vulnerabilities," BOFIT Discussion Papers 20/2019, Bank of Finland Institute for Emerging Economies (BOFIT).
  6. Schmeling, Maik & Schrimpf, Andreas & Steffensen, Sigurd A.M., 2022. "Monetary policy expectation errors," Journal of Financial Economics, Elsevier, vol. 146(3), pages 841-858.
  7. Valentin Jouvanceau & Ieva Mikaliunaite, 2020. "Euro Area Monetary Communications: Excess Sensitivity and Perception Shocks," Bank of Lithuania Working Paper Series 79, Bank of Lithuania.
  8. Lucas Marc Fuhrer & Basil Guggenheim & Matthias Jüttner, 2019. "A survey-based estimation of the Swiss franc forward term premium," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 155(1), pages 1-18, December.
  9. Etienne Vaccaro-Grange, 2019. "Quantitative Easing and the Term Premium as a Monetary Policy Instrument," Working Papers halshs-02359503, HAL.
  10. Belke, Ansgar & Gros, Daniel, 2021. "QE in the euro area: Has the PSPP benefited peripheral bonds?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
  11. Michael Puglia & Adam Tucker, 2020. "Machine Learning, the Treasury Yield Curve and Recession Forecasting," Finance and Economics Discussion Series 2020-038, Board of Governors of the Federal Reserve System (U.S.).
  12. Vázquez, Jesús & Aguilar, Pablo, 2021. "Adaptive learning with term structure information," European Economic Review, Elsevier, vol. 134(C).
  13. Michele Andreolli & Hélène Rey, 2024. "Fiscal Consequences of Missing an Inflation Target," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 72(2), pages 701-772, June.
  14. Speck, Christian, 2023. "Pricing the Bund term structure with linear regressions – without an observable short rate," Discussion Papers 08/2023, Deutsche Bundesbank.
  15. Luchelle Soobyah & Daan Steenkamp, 2020. "Term premium and rate expectation estimates from the South African yield curve," Working Papers 9998, South African Reserve Bank.
  16. Vázquez, Jesús, 2025. "Misaligned expectations and bond term premium measures," The North American Journal of Economics and Finance, Elsevier, vol. 79(C).
  17. B. De Backer & M. Deroose & Ch. Van Nieuwenhuyze, 2019. "Is a recession imminent? The signal of the yield curve," Economic Review, National Bank of Belgium, issue i, pages 69-93, June.
  18. Pažický Martin, 2021. "Oil price shock in the US and the euro area – evidence from the shadow rate and the term premium," Review of Economic Perspectives, Sciendo, vol. 21(3), pages 309-346, September.
  19. Sabes, David & Sahuc, Jean-Guillaume, 2023. "Do yield curve inversions predict recessions in the euro area?," Finance Research Letters, Elsevier, vol. 52(C).
  20. Berardi, Andrea, 2023. "Term premia and short rate expectations in the euro area," Journal of Empirical Finance, Elsevier, vol. 74(C).
  21. Maciej Stefański, 2023. "Natural Rate of Interest in a Small Open Economy with Application to CEE Countries," KAE Working Papers 2023-093, Warsaw School of Economics, Collegium of Economic Analysis.
  22. Caballero, Julián & Upper, Christian, 2026. "What happens to emerging market economies when US yields go up?," Journal of International Money and Finance, Elsevier, vol. 160(C).
  23. Aguilar, Pablo & Vázquez, Jesús, 2025. "Multi-period Euler-equation learning and term structure," Economic Modelling, Elsevier, vol. 153(C).
  24. Claudio Borio, 2021. "Navigating by r*: safe or hazardous?," BIS Working Papers 982, Bank for International Settlements.
  25. Berardi, Andrea & Plazzi, Alberto, 2022. "Dissecting the yield curve: The international evidence," Journal of Banking & Finance, Elsevier, vol. 134(C).
  26. Eric McCoy, 2019. "A Calibration of the Term Premia to the Euro Area," European Economy - Discussion Papers 110, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
  27. Sophocles N. Brissimis & Evangelia A. Georgiou, 2022. "The effects of Federal Reserve's quantitative easing and balance sheet normalization policies on long-term interest rates," Working Papers 299, Bank of Greece.
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