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Citations for "A macro-finance model of the term structure, monetary policy, and the economy"

by Glenn D. Rudebusch & Tao Wu

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  1. Geert Bekaert & Seonghoon Cho & Antonio Moreno, 2005. "New-Keynesian Macroeconomics and the Term Structure," NBER Working Papers 11340, National Bureau of Economic Research, Inc.
  2. Michael F. Gallmeyer & Burton Hollifield & Francisco J. Palomino & Stanley E. Zin, 2007. "Arbitrage-free bond pricing with dynamic macroeconomic models," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 305-326.
  3. Francis X. Diebold & Monika Piazzesi & Glenn D. Rudebusch, 2005. "Modeling Bond Yields in Finance and Macroeconomics," American Economic Review, American Economic Association, vol. 95(2), pages 415-420, May.
  4. 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, pages -.
  5. Challe, Edouard & Giannitsarou, Chryssi, 2014. "Stock prices and monetary policy shocks: A general equilibrium approach," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 46-66.
  6. 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.
  7. Anna Florio, 2013. "The Implied Consumer Euler Rate: What Role for Financial Frictions?," CESifo Economic Studies, CESifo, vol. 59(4), pages 650-675, December.
  8. Wang, Zijun, 2012. "The causal structure of bond yields," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 93-102.
  9. Liang Chen & Juan Dolado & Jesus Gonzalo, 2013. "Detecting Big Structural Breaks in Large Factor Models," Economics Series Working Papers 677, University of Oxford, Department of Economics.
  10. Hans Dewachter & Marco Lyrio, 2008. "Learning, Macroeconomic Dynamics and the Term Structure of Interest Rates," NBER Chapters, in: Asset Prices and Monetary Policy, pages 191-245 National Bureau of Economic Research, Inc.
  11. Jeremy M. Piger & Robert H. Rasche, 2006. "Inflation: do expectations trump the gap?," Working Papers 2006-013, Federal Reserve Bank of St. Louis.
  12. Argyropoulos, Efthymios & Tzavalis, Elias, 2016. "Forecasting economic activity from yield curve factors," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 293-311.
  13. Sharon Kozicki & Peter A. Tinsley, 2004. "Permanent and transitory policy shocks in an empirical macro model with asymmetric information," Proceedings, Federal Reserve Bank of San Francisco, issue Mar, pages -.
  14. Lengwiler, Yvan & Lenz, Carlos, 2010. "Intelligible factors for the yield curve," Journal of Econometrics, Elsevier, vol. 157(2), pages 481-491, August.
  15. Gallmeyer, Michael F. & Hollifield, Burton & Zin, Stanley E., 2005. "Taylor rules, McCallum rules and the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 52(5), pages 921-950, July.
  16. Ivan Shaliastovich & Ravi Bansal, 2012. "A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets," 2012 Meeting Papers 778, Society for Economic Dynamics.
  17. Yu-chin Chen & Kwok Ping Tsang, 2010. "A Macro-Finance Approach to Exchange Rate Determination," Working Papers e07-19, Virginia Polytechnic Institute and State University, Department of Economics.
  18. Par Osterholm, 2005. "The Taylor rule and real-time data - a critical appraisal," Applied Economics Letters, Taylor & Francis Journals, vol. 12(11), pages 679-685.
  19. Marco Matsumura & Ajax Moreira, 2011. "Assessing macro influence on Brazilian yield curve with affine models," Applied Economics, Taylor & Francis Journals, vol. 43(15), pages 1847-1863.
  20. Massimo Guidolin & Allan Timmerman, 2007. "Forecasts of U.S. short-term interest rates: a flexible forecast combination approach," Working Papers 2005-059, Federal Reserve Bank of St. Louis.
  21. Don H. Kim, 2009. "Challenges in macro-finance modeling," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 519-544.
  22. Glenn D. Rudebusch, 2010. "Macro-Finance Models Of Interest Rates And The Economy," Manchester School, University of Manchester, vol. 78(s1), pages 25-52, 09.
  23. Buncic, Daniel & Piras, Gion Donat, 2014. "Heterogeneous Agents, the Financial Crisis and Exchange Rate Predictability," Economics Working Paper Series 1436, University of St. Gallen, School of Economics and Political Science, revised Oct 2015.
  24. Don H Kim, 2007. "Challenges in macro-finance modeling," BIS Working Papers 240, Bank for International Settlements.
  25. René Garcia & Richard Luger, 2012. "Risk aversion, intertemporal substitution, and the term structure of interest rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 1013-1036, 09.
  26. Andrew Ang & Sen Dong & Monika Piazzesi, 2007. "No-Arbitrage Taylor Rules," NBER Working Papers 13448, National Bureau of Economic Research, Inc.
  27. Lange, Ronald H., 2014. "The small open macroeconomy and the yield curve: A state-space representation," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 1-21.
  28. Kulish, Mariano & Rees, Daniel, 2011. "The yield curve in a small open economy," Journal of International Economics, Elsevier, vol. 85(2), pages 268-279.
  29. Hibiki Ichiue, 2005. "How Do Monetary Policy Rules Affect Term Premia?," Bank of Japan Working Paper Series 05-E-14, Bank of Japan.
  30. 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.
  31. Jun Yang, 2008. "Macroeconomic Determinants of the Term Structure of Corporate Spreads," Staff Working Papers 08-29, Bank of Canada.
  32. Travis J. Berge, 2014. "Forecasting Disconnected Exchange Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(5), pages 713-735, 08.
  33. Peter Hoerdahl & Oreste Tristani, 2007. "Inflation risk premia in the term structure of interest rates," BIS Working Papers 228, Bank for International Settlements.
  34. Dick, Christian D. & Schmeling, Maik & Schrimpf, Andreas, 2010. "Macro expectations, aggregate uncertainty, and expected term premia," ZEW Discussion Papers 10-064, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  35. Peter N. Ireland, 2007. "Changes in the Federal Reserve's Inflation Target: Causes and Consequences," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(8), pages 1851-1882, December.
  36. Peter Claeys, 2007. "Estimating the effects of fiscal policy under the budget constraint," IREA Working Papers 200715, University of Barcelona, Research Institute of Applied Economics, revised Jul 2007.
  37. Michał Brzoza-Brzezina & Jacek Kotłowski, 2014. "Measuring the natural yield curve," Applied Economics, Taylor & Francis Journals, vol. 46(17), pages 2052-2065, June.
  38. Ben S. Bernanke & Vincent R. Reinhart & Brian P. Sack, 2004. "Monetary Policy Alternatives at the Zero Bound: An Empirical Assessment," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 35(2), pages 1-100.
  39. Glenn D. Rudebusch & Eric T. Swanson & Tao Wu, 2006. "The Bond Yield "Conundrum" from a Macro-Finance Perspective," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 24(S1), pages 83-109, December.
  40. 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.
  41. Martin Møller Andreasen, 2008. "Explaining Macroeconomic and Term Structure Dynamics Jointly in a Non-linear DSGE Model," CREATES Research Papers 2008-43, Department of Economics and Business Economics, Aarhus University.
  42. Monika Piazzesi & Martin Schneider, 2006. "Equilibrium Yield Curves," NBER Working Papers 12609, National Bureau of Economic Research, Inc.
    • 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.
  43. David Backus & Mikhail Chernov & Stanley E. Zin, 2013. "Identifying Taylor Rules in Macro-Finance Models," NBER Working Papers 19360, National Bureau of Economic Research, Inc.
  44. 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.
  45. Don H. Kim, 2008. "Challenges in macro-finance modeling," Finance and Economics Discussion Series 2008-06, Board of Governors of the Federal Reserve System (U.S.).
  46. James D. Hamilton & Jing Cynthia Wu, 2012. "Identification and Estimation of Gaussian Affine Term Structure Models," NBER Working Papers 17772, National Bureau of Economic Research, Inc.
  47. Kaya, Huseyin, 2013. "The yield curve and the macroeconomy: Evidence from Turkey," Economic Modelling, Elsevier, vol. 32(C), pages 100-107.
  48. Fendel, Ralf, 2008. "A Joint Characterization of German Monetary Policy and the Dynamics of the German Term Structure of Interest Rates," Review of Applied Economics, Review of Applied Economics, vol. 4(1-2).
  49. Niklas J. Westelius & Mathias Hoffmann & Jens Sondergaard, 2007. "The Timing and Magnitude of Exchange Rate Overshooting," Economics Working Paper Archive at Hunter College 418, Hunter College Department of Economics.
  50. Hordahl, Peter & Tristani, Oreste & Vestin, David, 2006. "A joint econometric model of macroeconomic and term-structure dynamics," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 405-444.
  51. Pami Dua & Nishita Raje, 2010. "Determinants of Weekly Yields on Government Securities in India," Working Papers id:2834, eSocialSciences.
  52. Martin M. Andreasen & Andrew Meldrum, 2014. "Dynamic term structure models: The best way to enforce the zero lower bound," CREATES Research Papers 2014-47, Department of Economics and Business Economics, Aarhus University.
  53. Jongen, Ron & Verschoor, Willem F.C. & Wolff, Christian C.P., 2011. "Time-variation in term premia: International survey-based evidence," Journal of International Money and Finance, Elsevier, vol. 30(4), pages 605-622, June.
  54. He, Xiaoli & Jacobs, Jan & Kuper, Gerard & Ligthart, Jenny, 2013. "On the impact of the global financial crisis on the euro area," Research Report 13011-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  55. Doh, Taeyoung, 2011. "Yield curve in an estimated nonlinear macro model," Journal of Economic Dynamics and Control, Elsevier, vol. 35(8), pages 1229-1244, August.
  56. Chattopadhyay, Siddhartha & Daniel, Betty C., 2014. "The Inflation Target at the Zero Lower Bound," MPRA Paper 66096, University Library of Munich, Germany.
  57. Renne, J-P., 2009. "Frequency-domain analysis of debt service in a macro-finance model for the euro area," Working papers 261, Banque de France.
  58. 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.
  59. Michael T. Kiley, 2008. "Monetary policy actions and long-run inflation expectations," Finance and Economics Discussion Series 2008-03, Board of Governors of the Federal Reserve System (U.S.).
  60. Marcos S. Matsumura & José Valentim Vicente, 2009. "The role of macroeconomic variables in sovereign risk," Working Papers Series 196, Central Bank of Brazil, Research Department.
  61. Taeyoung Doh, 2007. "What does the yield curve tell us about the Federal Reserve's implicit inflation target?," Research Working Paper RWP 07-10, Federal Reserve Bank of Kansas City.
  62. Francis X. Diebold, & Rudebusch, Glenn D. & Aruoba, S. Boragan, 2003. "The Macroeconomy and the Yield Curve: A Nonstructural Analysis," CFS Working Paper Series 2003/31, Center for Financial Studies (CFS).
  63. Athanasios Orphanides & John C. Williams, 2003. "The decline of activist stabilization policy: natural rate misperceptions, learning, and expectations," Proceedings, Board of Governors of the Federal Reserve System (U.S.), pages -.
  64. Nobuyuki Oda & Kazuo Ueda, 2007. "The Effects Of The Bank Of Japan'S Zero Interest Rate Commitment And Quantitative Monetary Easing On The Yield Curve: A Macro-Finance Approach," The Japanese Economic Review, Japanese Economic Association, vol. 58(3), pages 303-328.
  65. Peter Spencer, 2007. "Macro volatility in a model of the UK Gilt edged bond market," Money Macro and Finance (MMF) Research Group Conference 2006 73, Money Macro and Finance Research Group.
  66. Yu-chin Chen & Kwok Ping Tsang, 2009. "What Does the Yield Curve Tell Us About Exchange Rate Predictability?," Working Papers e07-15, Virginia Polytechnic Institute and State University, Department of Economics.
  67. RUGE-MURCIA, Francisco J., 2012. "Skewness Risk and Bond Prices," Cahiers de recherche 2012-14, Universite de Montreal, Departement de sciences economiques.
  68. Peter Spencer, 2004. "Affine Macroeconomic Models of the Term Structure of Interest Rates: The US Treasury Market 1961-99," Discussion Papers 04/16, Department of Economics, University of York, revised Jan 2006.
  69. 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.
  70. Jones, Callum & Kulish, Mariano, 2013. "Long-term interest rates, risk premia and unconventional monetary policy," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2547-2561.
  71. Andr? Kurmann & Christopher Otrok, 2013. "News Shocks and the Slope of the Term Structure of Interest Rates," American Economic Review, American Economic Association, vol. 103(6), pages 2612-2632, October.
  72. Orphanides, Athanasios & Wei, Min, 2012. "Evolving macroeconomic perceptions and the term structure of interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 36(2), pages 239-254.
  73. Chadha, Jagjit S. & Holly, Sean, 2010. "Macroeconomic models and the yield curve: An assessment of the fit," Journal of Economic Dynamics and Control, Elsevier, vol. 34(8), pages 1343-1358, August.
  74. 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).
  75. Ramón María-Dolores & Jesús Vázquez, 2008. "Term structure and the estimated monetary policy rule in the eurozone," Working Papers 0827, Banco de España;Working Papers Homepage.
  76. Hamilton, James D. & Wu, Jing Cynthia, 2014. "Testable implications of affine term structure models," Journal of Econometrics, Elsevier, vol. 178(P2), pages 231-242.
  77. Pablo Aguilar & Jesús Vázquez, 2015. "The role of term structure in an estimated DSGE model with learning," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2015007, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  78. Juan Marcelo, Ochoa, 2006. "An Interpretation of An Affine Term Structure Model for Chile," MPRA Paper 1072, University Library of Munich, Germany.
  79. Jagjit Chadha & Sean Holly, 2006. "Macroeconomic Models and the Yield Curve," Computing in Economics and Finance 2006 105, Society for Computational Economics.
  80. Borgy, V. & Laubach, T. & Mésonnier, J-S. & Renne, J-P., 2011. "Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets," Working papers 350, Banque de France.
  81. Ferrero, Giuseppe & Nobili, Andrea, 2008. "Futures contract rates as monetary policy forecasts," Working Paper Series 0979, European Central Bank.
  82. repec:mur:wpaper:4699 is not listed on IDEAS
  83. Felix Geiger, 2009. "International Interest-Rate Risk Premia in Affine Term Structure Models," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim 316/2009, Department of Economics, University of Hohenheim, Germany.
  84. Marcello Pericoli, 2013. "Macroeconomic and monetary policy surprises and the term structure of interest rates," Temi di discussione (Economic working papers) 927, Bank of Italy, Economic Research and International Relations Area.
  85. Giuseppe Ferrero & Andrea Nobili, 2008. "Short-term interest rate futures as monetary policy forecasts," Temi di discussione (Economic working papers) 681, Bank of Italy, Economic Research and International Relations Area.
  86. Geert Bekaert & Marie Hoerova, 2010. "Risk, uncertainty and monetary policy," Research Bulletin, European Central Bank, vol. 10, pages 11-13.
  87. Fendel, Ralf, 2004. "Towards a Joint Characterization of Monetary Policy and the Dynamics of the Term Structure of Interest Rates," Discussion Paper Series 1: Economic Studies 2004,24, Deutsche Bundesbank, Research Centre.
  88. Carlo A. Favero & Arie E. Gozluklu & Haoxi Yang, 2016. "Demographics and the Behavior of Interest Rates," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 64(4), pages 732-776, November.
  89. Dewachter, Hans & Iania, Leonardo, 2009. "An Extended Macro-Finance Model with Financial Factors," MPRA Paper 17634, University Library of Munich, Germany.
  90. Duffee, Gregory R., 2006. "Term structure estimation without using latent factors," Journal of Financial Economics, Elsevier, vol. 79(3), pages 507-536, March.
  91. International Monetary Fund, 2012. "Macrofinance Model of the Czech Economy; Asset Allocation Perspective," IMF Working Papers 12/78, International Monetary Fund.
  92. António Afonso & Manuel M. F. Martins, 2010. "Level, Slope, Curvature of Sovereign Yield Curve and Fiscal Behaviour," Working Papers Department of Economics 2010/23, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  93. Marcello, Pericoli & Marco, Taboga, 2005. "A specification analysis of discrete-time no-arbitrage term structure models with observable and unobservable factors," MPRA Paper 4969, University Library of Munich, Germany, revised Sep 2007.
  94. Baele, Lieven & Bekaert, Geert & Cho, Seonghoon & Inghelbrecht, Koen & Moreno, Antonio, 2015. "Macroeconomic regimes," Journal of Monetary Economics, Elsevier, vol. 70(C), pages 51-71.
  95. ZHU Xiaoneng & Shahidur RAHMAN, 2009. "A Regime Switching Macro-finance Model of the Term Structure," Economic Growth Centre Working Paper Series 0901, Nanyang Technological University, School of Humanities and Social Sciences, Economic Growth Centre.
  96. Jesús Vázquez & Ramón María-Dolores & Juan-Miguel Londoño, 2009. "On the informational role of term structure in the U.S. monetary policy rule," Working Papers 0919, Banco de España;Working Papers Homepage.
  97. Baba, Naohiko & Nishioka, Shinichi & Oda, Nobuyuki & Shirakawa, Masaaki & Ueda, Kazuo & Ugai, Hiroshi, 2005. "Japan's Deflation, Problems in the Financial System, and Monetary Policy," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 23(1), pages 47-111, February.
  98. Filipova, Kameliya & Audrino, Francesco & De Giorgi, Enrico, 2014. "Monetary policy regimes: Implications for the yield curve and bond pricing," Journal of Financial Economics, Elsevier, vol. 113(3), pages 427-454.
  99. Stan Hurn & Peter C B Phillips & Shuping Shi, 2015. "Change Detection and the Casual Impact of the Yield Curve," NCER Working Paper Series 107, National Centre for Econometric Research.
  100. Anthony H. Tu & Cathy Yi-Hsuan Chen, 2016. "What Derives the Bond Portfolio Value-at-Risk: Information Roles of Macroeconomic and Financial Stress Factors," SFB 649 Discussion Papers SFB649DP2016-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  101. Mikhail Chernov & Ruslan Bikbov, 2009. "Monetary Policy Regimes and the Term Structure of Interest Rates," 2009 Meeting Papers 334, Society for Economic Dynamics.
  102. Marcello Pericoli & Marco Taboga, 2009. "Bond risk premia, macroeconomic fundamentals and the exchange rate," Temi di discussione (Economic working papers) 699, Bank of Italy, Economic Research and International Relations Area.
  103. Andrew Ang & Jean Boivin & Sen Dong & Rudy Loo-Kung, 2009. "Monetary Policy Shifts and the Term Structure," NBER Working Papers 15270, National Bureau of Economic Research, Inc.
  104. Fair, Ray C., 2008. "Estimating Term Structure Equations Using Macroeconomic Variables," Working Papers 32, Yale University, Department of Economics.
  105. Mönch, Emanuel, 2005. "Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach," Working Paper Series 0544, European Central Bank.
  106. De Graeve, Ferre & Emiris, Marina & Wouters, Raf, 2009. "A structural decomposition of the US yield curve," Journal of Monetary Economics, Elsevier, vol. 56(4), pages 545-559, May.
  107. Marcello Pericoli & Marco Taboga, 2006. "Canonical term-structure models with observable factors and the dynamics of bond risk premiums," Temi di discussione (Economic working papers) 580, Bank of Italy, Economic Research and International Relations Area.
  108. Taboga, Marco, 2007. "Structural change and the bond yield conundrum," MPRA Paper 4965, University Library of Munich, Germany.
  109. Francisco Palomino, 2012. "Bond Risk Premiums and Optimal Monetary Policy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(1), pages 19-40, January.
  110. Taboga, Marco, 2009. "Macro-finance VARs and bond risk premia: A caveat," Review of Financial Economics, Elsevier, vol. 18(4), pages 163-171, October.
  111. Nikolaus Hautsch & Fuyu Yang, 2010. "Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model," SFB 649 Discussion Papers SFB649DP2010-004, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  112. Leo Krippner, 2012. "A theoretical foundation for the Nelson and Siegel class of yield curve models," CAMA Working Papers 2012-11, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  113. Glenn D. Rudebusch & Tao Wu, 2004. "The recent shift in term structure behavior from a no-arbitrage macro-finance perspective," Working Paper Series 2004-25, Federal Reserve Bank of San Francisco.
  114. 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.
  115. Josué Cortés Espada & Carlos Capistrán & Manuel Ramos-Francia & Alberto Torres, 2009. "An empirical analysis of the mexican term structure of interest rates," Economics Bulletin, AccessEcon, vol. 29(3), pages 2300-2313.
  116. Luís Francisco Aguiar & Manuel M. F. Martins & Maria Joana Soares, 2010. "The yield curve and the macro-economy across time and frequencies," NIPE Working Papers 21/2010, NIPE - Universidade do Minho.
  117. Glenn D. Rudebusch & Brian P. Sack & Eric T. Swanson, 2007. "Macroeconomic implications of changes in the term premium," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 241-270.
  118. Sadayuki Ono, 2007. "Term Structure Dynamics in a Monetary Economy with Learning," Discussion Papers 07/29, Department of Economics, University of York.
  119. Horváth, Roman & Maršál, Aleš, 2014. "The term structure of interest rates in a small open economy DSGE model with Markov switching," FinMaP-Working Papers 22, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  120. Jakas, Vicente, 2011. "Theory and empirics of an affine term structure model applied to European data," MPRA Paper 36029, University Library of Munich, Germany.
  121. Marcello Pericoli, 2012. "Expected inflation and inflation risk premium in the euro area and in the United States," Temi di discussione (Economic working papers) 842, Bank of Italy, Economic Research and International Relations Area.
  122. Shu Wu, 2005. "Monetary Policy and Long-term Interest Rates," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200512, University of Kansas, Department of Economics, revised Apr 2005.
  123. Marcelo Ochoa, 2006. "Interpreting an Affine Term Structure Model for Chile," Working Papers Central Bank of Chile 380, Central Bank of Chile.
  124. Beechey, Meredith, 2004. "Excess Sensitivity and Volatility of Long Interest Rates: The Role of Limited Information in Bond Markets," Working Paper Series 173, Sveriges Riksbank (Central Bank of Sweden).
  125. repec:dgr:rugsom:13011-eef is not listed on IDEAS
  126. Christopher Otrok & Andre Kurmann, 2011. "News Shocks and the Term Structure of Interest Rates: A Challenge for DSGE Models," 2011 Meeting Papers 426, Society for Economic Dynamics.
  127. Rudebusch, Glenn D. & Swanson, Eric T., 2008. "Examining the bond premium puzzle with a DSGE model," Journal of Monetary Economics, Elsevier, vol. 55(Supplemen), pages 111-126, October.
  128. Glenn D. Rudebusch & Eric T. Swanson, 2008. "The bond premium in a DSGE model with long-run real and nominal risks," Working Paper Series 2008-31, Federal Reserve Bank of San Francisco.
  129. Eric T. Swanson, 2007. "What we do and don't know about the term premium," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue jul20.
  130. Edda Claus, Mardi Dungey, 2015. "Can monetary policy surprise the market?," LCERPA Working Papers 0083, Laurier Centre for Economic Research and Policy Analysis, revised 01 Jan 2015.
  131. Ahmed, Jameel & Straetmans, Stefan, 2015. "Predicting exchange rate cycles utilizing risk factors," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 112-130.
  132. Azamat Abdymomunov, 2013. "Regime-switching measure of systemic financial stress," Annals of Finance, Springer, vol. 9(3), pages 455-470, August.
  133. 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.
  134. Daniela Osterrieder, 2013. "Interest Rates with Long Memory: A Generalized Affine Term-Structure Model," CREATES Research Papers 2013-17, Department of Economics and Business Economics, Aarhus University.
  135. Don H. Kim & Jonathan H. Wright, 2005. "An arbitrage-free three-factor term structure model and the recent behavior of long-term yields and distant-horizon forward rates," Finance and Economics Discussion Series 2005-33, Board of Governors of the Federal Reserve System (U.S.).
  136. Francesco Audrino, 2012. "What Drives Short Rate Dynamics? A Functional Gradient Descent Approach," Computational Economics, Springer;Society for Computational Economics, vol. 39(3), pages 315-335, March.
  137. Chadha, Jagjit S. & Waters, Alex, 2014. "Applying a macro-finance yield curve to UK quantitative Easing," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 68-86.
  138. Peter Hördahl & Oreste Tristani & David Vestin, 2006. "The term structure of inflation risk premia and macroeconomic dynamics," Computing in Economics and Finance 2006 203, Society for Computational Economics.
  139. Liuren Wu & Frank Xiaoling Zhang, 2008. "A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure," Management Science, INFORMS, vol. 54(6), pages 1160-1175, June.
  140. Glenn D. Rudebusch & John C. Williams, 2006. "Revealing the secrets of the temple: the value of publishing central bank interest rate projections," Working Paper Series 2006-31, Federal Reserve Bank of San Francisco.
  141. Ravi Bansal & Ivan Shaliastovich, 2012. "A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets," NBER Working Papers 18357, National Bureau of Economic Research, Inc.
  142. Christensen, Bent Jesper & Posch, Olaf & van der Wel, Michel, 2016. "Estimating dynamic equilibrium models using mixed frequency macro and financial data," Journal of Econometrics, Elsevier, vol. 194(1), pages 116-137.
  143. Julio Carrillo & Patrick Fève & Julien Matheron, 2007. "Monetary Policy Inertia or Persistent Shocks: A DSGE Analysis," International Journal of Central Banking, International Journal of Central Banking, vol. 3(2), pages 1-38, June.
  144. International Monetary Fund, 2005. "Inflation Targeting Lite' in Small Open Economies; The Case of Mauritius," IMF Working Papers 05/172, International Monetary Fund.
  145. 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.
  146. Yusho Kagraoka & Zakaria Moussa, 2010. "Quantitative Easing, Credibility and the Time-Varying Dynamics of the Term Structure of Interest rate in Japan," Working Papers halshs-00543010, HAL.
  147. Zagaglia, Paolo, 2009. "Forecasting with a DSGE Model of the term Structure of Interest Rates: The Role of the Feedback," Research Papers in Economics 2009:14, Stockholm University, Department of Economics.
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