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Citations for " The Predictive Power of the Term Structure during Recent Monetary Regimes"

by Hardouvelis, Gikas A

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  1. 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.
  2. Thornton, Daniel L., 2000. "The relationship between the federal funds rate and the Fed's federal funds rate target: is it open market or open mouth operations?," Discussion Paper Series 1: Economic Studies 2000,09, Deutsche Bundesbank, Research Centre.
  3. Mishkin, Frederic S, 1988. "The Information in the Term Structure: Some Further Results," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(4), pages 307-14, October-D.
  4. Sharon Kozicki & Peter A. Tinsley, . "Moving Endpoints in Macrofinance," Computing in Economics and Finance 1996 _058, Society for Computational Economics.
  5. Gerlach, Stefan & Smets, Frank, 1997. "The term structure of Euro-rates: some evidence in support of the expectations hypothesis," Journal of International Money and Finance, Elsevier, vol. 16(2), pages 305-321, April.
  6. 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.
  7. Mishkin, Frederic S., 1990. "Does correcting for heteroscedasticity help?," Economics Letters, Elsevier, vol. 34(4), pages 351-356, December.
  8. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  9. Guidolin, Massimo & Thornton, Daniel L., 2008. "Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates," Working Paper Series 0977, European Central Bank.
  10. 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.
  11. Timothy Cook & Thomas Hahn, 1990. "Interest rate expectations and the slope of the money market yield curve," Economic Review, Federal Reserve Bank of Richmond, issue Sep, pages 3-26.
  12. 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.
  13. Gerlach, Stefan & Smets, Frank, 1997. "Exchange Rate Regimes and the Expectations Hypothesis of the Term Structure," CEPR Discussion Papers 1752, C.E.P.R. Discussion Papers.
  14. McMillan, David G., 2009. "Forward interest rate premium and asymmetric adjustment: Evidence from 16 countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(2), pages 258-273, April.
  15. Chi-Wei Su, 2009. "An empirical study of Taiwan's bond market based on the nonlinear dynamic model," Applied Financial Economics, Taylor & Francis Journals, vol. 19(7), pages 563-574.
  16. Jeffrey A. Frankel & Cara S. Lown, 1991. "An Indicator of Future Inflation Extracted From the Steepness of the Interest Rate Yield Curve Along Its Entire Length," NBER Working Papers 3751, National Bureau of Economic Research, Inc.
  17. Frederic S. Mishkin, 1989. "A Multi-Country Study of the Information in the Term Structure about Future Inflation," NBER Working Papers 3125, National Bureau of Economic Research, Inc.
  18. Tzavalis, Elias & Wickens, M. R., 1996. "Forecasting inflation from the term structure," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 103-122, May.
  19. William Roberds & Charles H. Whiteman, 1996. "Endogenous term premia and anomalies in the term structure of interest rates: explaining the predictability smile," Working Paper 96-11, Federal Reserve Bank of Atlanta.
  20. Pilegaard, Rasmus & Durré, Alain & Evjen, Snorre, 2003. "Estimating risk premia in money market rates," Working Paper Series 0221, European Central Bank.
  21. N. K. Kishor & H. A. Marfatia, 2013. "Does federal funds futures rate contain information about the treasury bill rate?," Applied Financial Economics, Taylor & Francis Journals, vol. 23(16), pages 1311-1324, August.
  22. Smant, David / D.J.C., 2010. "Direct tests of the expectations theory of the term structure: Survey expectations, the term premium and coefficient biases," MPRA Paper 19815, University Library of Munich, Germany.
  23. Sharon Kozicki & P.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.
  24. Alain Durré, 2006. "The Liquidity Premium in the Money Market: A Comparison of the German Mark Period and the Euro Area," German Economic Review, Verein für Socialpolitik, vol. 7, pages 163-187, 05.
  25. Sophocles N. Brissimis & Nicholas S. Magginas, 2004. "Forward-Looking Information in VAR Models and the Price Puzzle," Working Papers 10, Bank of Greece.
  26. Arusha Cooray, 2003. "A test of the expectations hypothesis of the term structure of interest rates for Sri Lanka," Applied Economics, Taylor & Francis Journals, vol. 35(17), pages 1819-1827.
  27. Thornton, Daniel L., 2005. "Tests of the expectations hypothesis: Resolving the anomalies when the short-term rate is the federal funds rate," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2541-2556, October.
  28. Modena, Matteo, 2008. "Yield curve, time varying term premia, and business cycle fluctuations," MPRA Paper 8873, University Library of Munich, Germany.
  29. Thornton, Daniel L., 2006. "Tests of the Expectations Hypothesis: Resolving the Campbell-Shiller Paradox," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(2), pages 511-542, March.
  30. Jorion, Philippe, 1996. "Does real interest parity hold at longer maturities?," Journal of International Economics, Elsevier, vol. 40(1-2), pages 105-126, February.
  31. Matteo Modena, 2008. "The Term Structure and the Expectations Hypothesis: a Threshold Model," Working Papers 2008_36, Business School - Economics, University of Glasgow.
  32. Allan H. Meltzer, 1995. "Monetary, Credit and (Other) Transmission Processes: A Monetarist Perspective," Journal of Economic Perspectives, American Economic Association, vol. 9(4), pages 49-72, Fall.
  33. Marvin Goodfriend, 1993. "Interest rate policy and the inflation scare problem: 1979-1992," Economic Quarterly, Federal Reserve Bank of Richmond, issue Win, pages 1-24.
  34. Philippe Jorion & Frederic Mishkin, 1991. "A Multi-Country Comparison of Term Structure Forecasts at Long Horizons," NBER Working Papers 3574, National Bureau of Economic Research, Inc.
  35. Sagarika Mishra, . "Do Agents Learn by Least Squares? The Evidence Provided by Changes in Monetary Policy," Financial Econometics Series 2012_09, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  36. Joe Lange & Brian Sack & William Whitesell, 2001. "Anticipations of monetary policy in financial markets," Finance and Economics Discussion Series 2001-24, Board of Governors of the Federal Reserve System (U.S.).
  37. Mishkin, Frederic S, 1990. "The Information in the Longer Maturity Term Structure about Future Inflation," The Quarterly Journal of Economics, MIT Press, vol. 105(3), pages 815-28, August.
  38. Wahab, Mahmoud, 1997. "On risk, rationality and the predictive ability of European short-term adjusted yield spreads," Journal of International Money and Finance, Elsevier, vol. 16(5), pages 737-765, September.
  39. 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.
  40. Magdalena Massot Perelló & Juan M. Nave Pineda, 2003. "La hipótesis de las expectativas en el largo plazo: evidencia en el mercado español de deuda pública," Investigaciones Economicas, Fundación SEPI, vol. 27(3), pages 533-564, September.
  41. 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.
  42. Luis Eduardo Arango & Angélica María Arosemena, 2003. "El tramo Corto de la Estructura a Plazo como predictor de Expectativas de Inflación en Colombia," BORRADORES DE ECONOMIA 002558, BANCO DE LA REPÚBLICA.
  43. D H Kim, 2003. "Another Look at Yield Spreads: The Role of Liquidity," The School of Economics Discussion Paper Series 0306, Economics, The University of Manchester.
  44. Iichiro Uesugi & Guy M. Yamashiro, 2003. "On the Relationship Between the Very Short Forward and the Spot Interest Rate," Discussion papers 03013, Research Institute of Economy, Trade and Industry (RIETI).
  45. Choi, Seungmook & Wohar, Mark E., 1995. "The expectations theory of interest rates: Cointegration and factor decomposition," International Journal of Forecasting, Elsevier, vol. 11(2), pages 253-262, June.
  46. 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.
  47. Richard Deaves, 1996. "Forecasting Canadian Short-Term Interest Rates," Canadian Journal of Economics, Canadian Economics Association, vol. 29(3), pages 615-34, August.
  48. Sara G. Castellanos & Eduardo Camero, 2003. "La estructura temporal de tasas de interés en México: ¿Puede predecir la actividad económica futura?," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines, vol. 18(2), pages 33-66, December.
  49. Tim BOLLERSLEV & Ray Y. CHOU & Narayanan JAYARAMAN & Kenneth F. KRONER, 1991. "Les modéles ARCH en finance : un point sur la théorie et les résultats empiriques," Annales d'Economie et de Statistique, ENSAE, issue 24, pages 1-59.
  50. Abad, Pilar & Novales, Alfonso, 2005. "An error correction factor model of term structure slopes in international swap markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(3), pages 229-254, July.
  51. Henkel, Sam James & Martin, J. Spencer & Nardari, Federico, 2011. "Time-varying short-horizon predictability," Journal of Financial Economics, Elsevier, vol. 99(3), pages 560-580, March.
  52. Chikashi Tsuji, 2005. "Does the term structure predict real economic activity in Japan?," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(4), pages 249-257, July.
  53. Angélica Arosemena, . "Lecturas Alternativas de la Estructura a Plazo: Una Breve Revisión de literatura," Borradores de Economia 223, Banco de la Republica de Colombia.
  54. Gianluca Salsecci & Giovanna Paladino, 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.
  55. Geetajali Bali & Frank Skinner, 2003. "The At Issue Maturity of Corporate Bonds: The Influence of Credit Rating, Security Level, Duration and Macreoconomic Conditions," ICMA Centre Discussion Papers in Finance icma-dp2003-01, Henley Business School, Reading University.
  56. Thornton, Daniel L., 2004. "The Fed and short-term rates: Is it open market operations, open mouth operations or interest rate smoothing?," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 475-498, March.
  57. Jim Day & Ron Lange, 1997. "The Structure of Interest Rates in Canada: Information Content about Medium-Term Inflation," Working Papers 97-10, Bank of Canada.
  58. 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.
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