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Citations for "Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates"

by Robert J. Shiller & John Y. Campbell & Kermit L. Schoenholtz

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  1. Kenneth A. Froot, 1990. "Short Rates and Expected Asset Returns," NBER Working Papers 3247, National Bureau of Economic Research, Inc.
  2. Patric H. Hendershott, 1986. "Debt and Equity Returns Revisited," NBER Chapters, in: Financing Corporate Capital Formation, pages 35-50 National Bureau of Economic Research, Inc.
  3. 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.
  4. Ramchander, Sanjay & Simpson, Marc W. & Chaudhry, Mukesh K., 2005. "The influence of macroeconomic news on term and quality spreads," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(1), pages 84-102, February.
  5. Paul De Grauwe & Zhaoyong Zhang & Rod Tyers, 2016. "Slower Growth and Vulnerability to Recession: Updating China's Global Impact," Scottish Journal of Political Economy, Scottish Economic Society, vol. 63(1), pages 66-88, 02.
  6. Mark J. Holmes & Theodore Panagiotidis & Jesus Otero, 2010. "The term structure of interest rates, the expectations hypothesis and international financial integration: Evidence from Asian Economies," Discussion Paper Series 2010_18, Department of Economics, University of Macedonia, revised Nov 2009.
  7. Gilbert Colletaz, 1987. "Les taux d'intérêt observés sur le marché monétaire sont-ils trop volatils ?," Revue Économique, Programme National Persée, vol. 38(4), pages 837-852.
  8. Richard Harris, 2004. "The rational expectations hypothesis and the cross-section of bond yields," Applied Financial Economics, Taylor & Francis Journals, vol. 14(2), pages 105-112.
  9. Chan, Yeung Lewis & Viceira, Luis & Campbell, John, 2003. "A Multivariate Model of Strategic Asset Allocation," Scholarly Articles 3163263, Harvard University Department of Economics.
  10. Antulio N. Bomfim, 2001. "Measuring equilibrium real interest rates: what can we learn from yields on indexed bonds?," Finance and Economics Discussion Series 2001-53, Board of Governors of the Federal Reserve System (U.S.).
  11. Christian Wolff & Ron Jongen & Willem F.C. Verschoor, 2009. "Time-Variation in Term Permia: International Survey-Based Evidence," LSF Research Working Paper Series 09-02, Luxembourg School of Finance, University of Luxembourg.
  12. C. N. V. Krishnan & Peter H. Ritchken & James B. Thomson, 2004. "On credit spread slopes and predicting bank risk," Proceedings 938, Federal Reserve Bank of Chicago.
  13. Campbell, John, 1995. "Some Lessons from the Yield Curve," Scholarly Articles 3163264, Harvard University Department of Economics.
  14. Pilegaard, Rasmus & Durré, Alain & Evjen, Snorre, 2003. "Estimating risk premia in money market rates," Working Paper Series 0221, European Central Bank.
  15. Gerlach, Stefan, 1997. "The Information Content of the Term Structure: Evidence for Germany," Empirical Economics, Springer, vol. 22(2), pages 161-79.
  16. Tyers, Rod, 2015. "International effects of China's rise and transition: Neoclassical and Keynesian perspectives," Journal of Asian Economics, Elsevier, vol. 37(C), pages 1-19.
  17. Grahame Johnson, 2003. "Measuring Interest Rate Expectations in Canada," Staff Working Papers 03-26, Bank of Canada.
  18. Barr, David & Campbell, John, 1997. "Inflation, Real Interest Rates, and the Bond Market: A Study of UK Nominal and Index-Linked Government Bond Prices," Scholarly Articles 3163261, Harvard University Department of Economics.
  19. Jääskelä, Jarkko & Vilmunen, Jouko, 1999. "Anticipated monetary policy and the dynamic behaviour of the term structure of interest rates," Research Discussion Papers 12/1999, Bank of Finland.
  20. Jitmaneeroj, Boonlert & Wood, Andrew, 2013. "The expectations hypothesis: New hope or illusory support?," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 1084-1092.
  21. 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.
  22. Mankiw, N Gregory & Miron, Jeffrey A & Weil, David N, 1987. "The Adjustment of Expectations to a Change in Regime: A Study of the Founding of the Federal Reserve," American Economic Review, American Economic Association, vol. 77(3), pages 358-74, June.
  23. 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.
  24. John Y. Campbell & John H. Cochrane, 1994. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," CRSP working papers 412, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  25. 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.
  26. Eric Jondeau & Franck Sédillot, 1999. "Forecasting French and German long-term rates using a rational expectations model," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 135(3), pages 413-436, September.
  27. Favero, Carlo A., 2006. "Taylor rules and the term structure," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1377-1393, October.
  28. N. Gregory Mankiw & Jeffrey A. Miron, 1985. "The Changing Behavior of the Term Structure of Interest Rates," NBER Working Papers 1669, National Bureau of Economic Research, Inc.
  29. Brooks, Chris & Rew, Alistair G., 2002. "Testing for non-stationarity and cointegration allowing for the possibility of a structural break: an application to EuroSterling interest rates," Economic Modelling, Elsevier, vol. 19(1), pages 65-90, January.
  30. repec:adr:anecst:y:1998:i:52:p:01 is not listed on IDEAS
  31. Sarno, Lucio & Thornton, Daniel L & Valente, Giorgio, 2004. "Federal Funds Rate Prediction," CEPR Discussion Papers 4587, C.E.P.R. Discussion Papers.
  32. Favero, Carlo A., 2001. "Does Macroeconomics Help Us To Understand the Term Structure of Interest Rates?," CEPR Discussion Papers 2849, C.E.P.R. Discussion Papers.
  33. 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.
  34. Daniel L. Thornton, 2004. "Tests of the expectations hypothesis: resolving the anomalies when the short-term rate is the federal funds rate," Working Papers 2000-003, Federal Reserve Bank of St. Louis.
  35. Sumner, Scott & Gulley, O. David & Newman, Ross, 1998. "Money Demand and Nominal Debt: An Equilibrium Model of the Liquidity Effect," Journal of Macroeconomics, Elsevier, vol. 20(2), pages 267-293, April.
  36. Green, Christopher & Bai, Ye & Murinde, Victor & Ngoka, Kethi & Maana, Isaya & Tiriongo, Samuel, 2016. "Overnight interbank markets and the determination of the interbank rate: A selective survey," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 149-161.
  37. Tzavalis, Elias & Wickens, Michael R, 1997. "Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(3), pages 364-80, August.
  38. Campbell, John Y & Viceira, Luis M, 2005. "The Term Structure of the Risk-Return Tradeoff," CEPR Discussion Papers 4914, C.E.P.R. Discussion Papers.
  39. Angelo Melino, 1986. "The Term Structure of Interest Rates: Evidence and Theory," NBER Working Papers 1828, National Bureau of Economic Research, Inc.
  40. Robert J Shiller, 2007. "Low Interest Rates and High Asset Prices: An Interpretation in Terms of Changing Popular Models," Levine's Bibliography 122247000000001682, UCLA Department of Economics.
  41. Katarzyna Budnik & Michal Greszta & Michal Hulej & Marcin Kolasa & Karol Murawski & Michal Rot & Bartosz Rybaczyk & Magdalena Tarnicka, 2009. "The new macroeconometric model of the Polish economy," National Bank of Poland Working Papers 62, National Bank of Poland, Economic Institute.
  42. Carriero, Andrea & Favero, Carlo A. & Kaminska, Iryna, 2006. "Financial factors, macroeconomic information and the Expectations Theory of the term structure of interest rates," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 339-358.
  43. John Y. Campbell, 1985. "Stock Returns and the Term Structure," NBER Working Papers 1626, National Bureau of Economic Research, Inc.
  44. Kozicki, Sharon & Tinsley, P. A., 2001. "Term structure views of monetary policy under alternative models of agent expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 25(1-2), pages 149-184, January.
  45. Kozicki, Sharon & Tinsley, P.A., 2008. "Term structure transmission of monetary policy," The North American Journal of Economics and Finance, Elsevier, vol. 19(1), pages 71-92, March.
  46. Paul Francois Muzindutsi & Sinethemba Mposelwa, 2016. "Testing the Expectations Hypothesis of the Term Structure of Interest Rates in Brics Countries: A Multivariate Co-integration Approach," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 12(4), pages 289-304, October.
  47. Daniel L. Thornton, 1992. "Why do T-bill rates react to discount rate changes?," Working Papers 1992-004, Federal Reserve Bank of St. Louis.
  48. Bilson, John F.O. & Cernauskas, Deborah, 2007. "Currency and credit markets," Journal of International Money and Finance, Elsevier, vol. 26(7), pages 1187-1205, November.
  49. Kenneth A. Froot, 1987. "New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates," NBER Working Papers 2363, National Bureau of Economic Research, Inc.
  50. Rod Tyers, 2015. "China and Global Macroeconomic Interdependence," Economics Discussion / Working Papers 15-05, The University of Western Australia, Department of Economics.
  51. Campbell, John Y & Shiller, Robert J, 1984. "A Simple Account of the Behavior of Long-Term Interest Rates," American Economic Review, American Economic Association, vol. 74(2), pages 44-48, May.
  52. Vipin Arora & Rod Tyers & Ying Zhang, 2014. "Reconstructing the Savings Glut: The Global Implications of Asian Excess Saving," CAMA Working Papers 2014-20, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  53. 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.
  54. 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.
  55. Yvon Fauvel & Alain Paquet & Christian Zimmermann, 1999. "A Survey on Interest Rate Forecasting," Cahiers de recherche CREFE / CREFE Working Papers 87, CREFE, Université du Québec à Montréal.
  56. 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.
  57. Campbell, J.Y. & Ammer, J., 1991. "What Moves The Stock And Bond Markets? A Variance Decomposition For Long- Term Asset Returns," Papers 127, Princeton, Department of Economics - Financial Research Center.
  58. Rod Tyers, 2015. "Financial Integration and China's Global Impact," Economics Discussion / Working Papers 15-02, The University of Western Australia, Department of Economics.
  59. Refet Gurkaynak & Brian Sack & Eric Swanson, 2005. "Do Actions Speak Louder than Words? The Response of Asset Prices to Monetary Policy Actions and Statements," Macroeconomics 0504013, EconWPA.
  60. Gurkaynak, Refet S. & Sack, Brian & Wright, Jonathan H., 2007. "The U.S. Treasury yield curve: 1961 to the present," Journal of Monetary Economics, Elsevier, vol. 54(8), pages 2291-2304, November.
  61. 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.
  62. Gilbert Colletaz & Jean-Pierre Gourlaouen, 1990. "Coïntégration et structure par terme des taux d'intérêt," Revue Économique, Programme National Persée, vol. 41(4), pages 687-712.
  63. Stambaugh, Robert F., 1999. "Predictive regressions," Journal of Financial Economics, Elsevier, vol. 54(3), pages 375-421, December.
  64. Kool, Clemens J. M. & Thornton, Daniel L., 2004. "A note on the expectations hypothesis at the founding of the Fed," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 3055-3068, December.
  65. Rai, Anoop & Seth, Rama & Mohanty, Sunil K., 2007. "The impact of discount rate changes on market interest rates: Evidence from three European countries and Japan," Journal of International Money and Finance, Elsevier, vol. 26(6), pages 905-923, October.
  66. Robert J. Shiller, 2007. "Low Interest Rates and High Asset Prices: An Interpretation in Terms of Changing Popular Economic Models," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 38(2), pages 111-134.
  67. Carlo A. Favero & Francesco Giavazzi & Fabrizio Iacone & Guido Tabellini, . "Extracting Information from Asset Prices: the Methodology of EMU Calculators," Working Papers 113, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  68. Shea, Gary S, 1992. "Benchmarking the Expectations Hypothesis of the Interest-Rate Term Structure: An Analysis of Cointegration Vectors," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 347-366, July.
  69. Campbell, John Y, 1986. " A Defense of Traditional Hypotheses about the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 41(1), pages 183-193, March.
  70. Stephen Morris & Hyun Song Shin, 2008. "Coordinating Expectations in Monetary Policy," Chapters, in: Central Banks as Economic Institutions, chapter 5 Edward Elgar Publishing.
  71. Bacchetta, Philippe & Mertens, Elmar & van Wincoop, Eric, 2006. "Predictability in Financial Markets: What Do Survey Expectations Tell Us?," CEPR Discussion Papers 5770, C.E.P.R. Discussion Papers.
  72. Krishna Ramaswamy & Choong-Tze Chua & Winston T.H. Koh, 2004. "Profiting from Mean-Reverting Yield Curve Trading Strategies," Econometric Society 2004 Australasian Meetings 142, Econometric Society.
  73. Joe Lange & Brian P. Sack & William C. 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.).
  74. Gerlach, Stefan & Smets, Frank, 1995. "The Term Structure of Euro-Rates: Some Evidence in Support of the Expectations Hypothesis," CEPR Discussion Papers 1258, C.E.P.R. Discussion Papers.
  75. Aaron Tornell, 2003. "Exchange Rate Puzzles and Distorted Beleifs (June 2003), with Pierre-Olivier Gourinchas," UCLA Economics Online Papers 265, UCLA Department of Economics.
  76. Männistö, Hanna-Leena, 2005. "Forecasting with a forward-looking DGE model : combining long-run views of financial markes with macro forecasting," Research Discussion Papers 21/2005, Bank of Finland.
  77. 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.
  78. John Y. Campbell, 2000. "Asset Pricing at the Millennium," Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, 08.
  79. Patric H. Hendershott, 1984. "Expectations, Surprises and Treasury Bill Rates: 1960-82," NBER Working Papers 1268, National Bureau of Economic Research, Inc.
  80. Seo, Byeongseon, 2003. "Nonlinear mean reversion in the term structure of interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 27(11), pages 2243-2265.
  81. Cochrane, John H., 2005. "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
  82. Basma Bekdache & Christopher F. Baum, 1998. "Modeling fixed income excess returns," Boston College Working Papers in Economics 409, Boston College Department of Economics, revised 14 Apr 2000.
  83. John Y. Campbell & Robert J. Shiller, 1986. "Cointegration and Tests of Present Value Models," Cowles Foundation Discussion Papers 785, Cowles Foundation for Research in Economics, Yale University.
  84. Hans Dewachter, 2008. "Imperfect information, macroeconomic dynamics and the yield curve : an encompassing macro-finance model," Working Paper Research 144, National Bank of Belgium.
  85. Sarno, Lucio & Thornton, Daniel L & Valente, Giorgio, 2005. "The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields," CEPR Discussion Papers 5259, C.E.P.R. Discussion Papers.
  86. Rod Tyers, 2015. "Financial Integration and China’s Global Impact," CAMA Working Papers 2015-02, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  87. Refet S. Gürkaynak & Andrew T. Levin & Andrew N. Marder & Eric T. Swanson, 2007. "Inflation Targeting and the Anchoring of Inflation Expectations in the Western Hemisphere," Central Banking, Analysis, and Economic Policies Book Series, in: Frederic S. Miskin & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Se (ed.), Monetary Policy under Inflation Targeting, edition 1, volume 11, chapter 11, pages 415-465 Central Bank of Chile.
  88. Juha Ilmari Seppala, 2000. "The Term Structure of Real Interest Rates: Theory and Evidence from the U.K. Index-Linked Bonds," Econometric Society World Congress 2000 Contributed Papers 0245, Econometric Society.
  89. Sandrine Lardic & Valérie Mignon, 2004. "Fractional cointegration and the term structure," Empirical Economics, Springer, vol. 29(4), pages 723-736, December.
  90. Fung, Ben & Mitnick, Scott & Remolona, Eli, 1999. "Uncovering Inflation Expectations and Risk Premiums From Internationally Integrated Financial Markets," Staff Working Papers 99-6, Bank of Canada.
  91. Georges Prat & Remzi Uctum, 2016. "Do markets learn to rationally expect US interest rates? evidence from survey data," EconomiX Working Papers 2016-19, University of Paris West - Nanterre la Défense, EconomiX.
  92. Ornelas, Jose Renato Haas & Silva Jr., Antonio Francisco de Almeida, 2015. "Testing the liquidity preference hypothesis using survey forecasts," Emerging Markets Review, Elsevier, vol. 23(C), pages 173-185.
  93. Dominguez, Emilio & Novales, Alfonso, 2000. "Testing the expectations hypothesis in Eurodeposits," Journal of International Money and Finance, Elsevier, vol. 19(5), pages 713-736, October.
  94. Hamilton, James D, 1996. "The Daily Market for Federal Funds," Journal of Political Economy, University of Chicago Press, vol. 104(1), pages 26-56, February.
  95. Frankel, Jeffrey & Saiki, Ayako, 2016. "Does It Matter If Statistical Agencies Frame the Month's CPI Report on a 1-Month or 12-Month Basis?," Working Paper Series 16-011, Harvard University, John F. Kennedy School of Government.
  96. Venus Khim-Sen Liew & Zhuo Qiao & Wing-keung Wong, 2010. "Linearity and stationarity of G7 government bond returns," Economics Bulletin, AccessEcon, vol. 30(4), pages 2642-2655.
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  99. 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.
  100. Richard C. Marston, 1994. "Tests of Three Parity Conditions: Distinguishing Risk Premia and Systematic Forecast Errors," NBER Working Papers 4923, National Bureau of Economic Research, Inc.
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  104. Campbell, John Y, 1987. "Money Announcements, the Demand for Bank Reserves, and the Behavior of the Federal Funds Rate within the Statement Week," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 19(1), pages 56-67, February.
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  106. Ravenna, Federico & Seppälä, Juha, 2006. "Monetary policy and rejections of the expectations hypothesis," Research Discussion Papers 25/2006, Bank of Finland.
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