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Citations for "The U.S. Treasury yield curve: 1961 to the present"

by Refet S. Gürkaynak & Brian P. Sack & Jonathan H. Wright

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  1. Kajuth, Florian & Watzka, Sebastian, 2008. "Inflation expectations from index-linked bonds: Correcting for liquidity and inflation risk premia," Discussion Papers in Economics 4858, University of Munich, Department of Economics.
  2. Christensen, Jens H.E. & Diebold, Francis X. & Rudebusch, Glenn D., 2011. "The affine arbitrage-free class of Nelson-Siegel term structure models," Journal of Econometrics, Elsevier, vol. 164(1), pages 4-20, September.
  3. Cristina Arellano & Ananth Ramanarayanan, 2008. "Default and the maturity structure in sovereign bonds," Staff Report 410, Federal Reserve Bank of Minneapolis.
  4. Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2010. "A Reduced Form Model of Default Spreads with Markov-Switching Macroeconomic Factors," Cahiers de recherche 1042, CIRPEE.
  5. Buncic, Daniel & Piras, Gion Donat, 2016. "Heterogeneous agents, the financial crisis and exchange rate predictability," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 313-359.
  6. Stefania D'Amico & Don H Kim & Min Wei, 2008. "Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices," BIS Working Papers 248, Bank for International Settlements.
  7. Meredith J. Beechey & Jonathan H. Wright, 2008. "The high-frequency impact of news on long-term yields and forward rates: Is it real?," Finance and Economics Discussion Series 2008-39, Board of Governors of the Federal Reserve System (U.S.).
  8. 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.
  9. Gaus, Eric & Sinha, Arunima, 2017. "Characterizing investor expectations for assets with varying risk," Research in International Business and Finance, Elsevier, vol. 39(PB), pages 990-999.
  10. Tobias Adrian & Emanuel Moench, 2008. "Pricing the term structure with linear regressions," Staff Reports 340, Federal Reserve Bank of New York.
  11. George J. Hall & Thomas J. Sargent, 2011. "Interest Rate Risk and Other Determinants of Post-WWII US Government Debt/GDP Dynamics," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(3), pages 192-214, July.
  12. Kollmann, Robert & Zeugner, Stefan, 2012. "Leverage as a predictor for real activity and volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1267-1283.
  13. Jeff W. Huther & Jason S. Seligman, 2013. "Yield curve impacts of forward guidance and maturity extension programs," Finance and Economics Discussion Series 2013-72, Board of Governors of the Federal Reserve System (U.S.).
  14. Kitsul, Yuriy & Wright, Jonathan H., 2013. "The economics of options-implied inflation probability density functions," Journal of Financial Economics, Elsevier, vol. 110(3), pages 696-711.
  15. Fricke, Christoph & Menkhoff, Lukas, 2015. "Financial conditions, macroeconomic factors and disaggregated bond excess returns," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 80-94.
  16. Andrew Atkeson & Patrick J. Kehoe, 2008. "On the need for a new approach to analyzing monetary policy," Working Papers 662, Federal Reserve Bank of Minneapolis.
  17. Dahlquist, Magnus & Hasseltoft, Henrik, 2013. "International Bond Risk Premia," Journal of International Economics, Elsevier, vol. 90(1), pages 17-32.
  18. Song Han & Hao Zhou, 2011. "Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data," Working Papers 022011, Hong Kong Institute for Monetary Research.
  19. Jens H.E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2012. "Extracting Deflation Probability Forecasts from Treasury Yields," International Journal of Central Banking, International Journal of Central Banking, vol. 8(4), pages 21-60, December.
  20. Joshua V. Rosenberg & Samuel Maurer, 2008. "Signal or noise? Implications of the term premium for recession forecasting," Economic Policy Review, Federal Reserve Bank of New York, issue Jul, pages 1-11.
  21. Marcelle Chauvet & Zeynep Senyuz & Emre Yoldas, 2012. "What does financial volatility tell us about macroeconomic fluctuations?," Finance and Economics Discussion Series 2012-09, Board of Governors of the Federal Reserve System (U.S.).
  22. Greg Duffee, 2010. "Sharpe ratios in term structure models," Economics Working Paper Archive 575, The Johns Hopkins University,Department of Economics.
  23. 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.
  24. David K. Backus & Jonathan H. Wright, 2007. "Cracking the Conundrum," NBER Working Papers 13419, National Bureau of Economic Research, Inc.
  25. Roskelley, Kenneth D., 2016. "Augmenting the Taylor rule: Monetary policy and the bond market," Economics Letters, Elsevier, vol. 144(C), pages 64-67.
  26. Hamilton, James D. & Wu, Jing Cynthia, 2014. "Testable implications of affine term structure models," Journal of Econometrics, Elsevier, vol. 178(P2), pages 231-242.
  27. Gil-Alana, Luis A. & Moreno, Antonio, 2012. "Uncovering the US term premium: An alternative route," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1181-1193.
  28. Sinha, Arunima, 2016. "Monetary policy uncertainty and investor expectations," Journal of Macroeconomics, Elsevier, vol. 47(PB), pages 188-199.
  29. 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.
  30. Chauvet, Marcelle & Senyuz, Zeynep, 2016. "A dynamic factor model of the yield curve components as a predictor of the economy," International Journal of Forecasting, Elsevier, vol. 32(2), pages 324-343.
  31. Patrick Luennemann & Dirk Mevis, 2008. "Eurosystem communication and financial market expectations," BCL working papers 30, Central Bank of Luxembourg.
  32. Cartea, Álvaro & Saúl, Jonatan & Toro, Juan, 2012. "Optimal portfolio choice in real terms: Measuring the benefits of TIPS," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 721-740.
  33. Kang, Kyu Ho, 2015. "The predictive density simulation of the yield curve with a zero lower bound," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 51-66.
  34. Lutz, Byron & Sheiner, Louise, 2014. "The fiscal stress arising from state and local retiree health obligations," Journal of Health Economics, Elsevier, vol. 38(C), pages 130-146.
  35. Fousseni Chabi-Yo & Jun Yang, 2007. "A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate," Staff Working Papers 07-21, Bank of Canada.
  36. Thomas Laubach, 2010. "Fiscal Policy and Interest Rates: The Role of Sovereign Default Risk," NBER Chapters, in: NBER International Seminar on Macroeconomics 2010, pages 7-29 National Bureau of Economic Research, Inc.
  37. Andrew Blake & Garreth Rule & Ole Rummel, 2015. "Inflation targeting and term premia estimates for Latin America," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 24(1), pages 1-21, December.
  38. Daniel L. Thornton & Giorgio Valente, 2009. "Revisiting the predictability of bond risk premia," Working Papers 2009-009, Federal Reserve Bank of St. Louis.
  39. Faust, Jon & Wright, Jonathan H., 2013. "Forecasting Inflation," Handbook of Economic Forecasting, Elsevier.
  40. 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.
  41. Annaert, Jan & Claes, Anouk G.P. & De Ceuster, Marc J.K. & Zhang, Hairui, 2013. "Estimating the spot rate curve using the Nelson–Siegel model," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 482-496.
  42. Greg Duffee, 2011. "Information in (and not in) the term structure," Economics Working Paper Archive 577, The Johns Hopkins University,Department of Economics.
  43. Jens H. E. Christensen, 2008. "Treasury bond yields and long-run inflation expectations," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue aug15.
  44. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2016. "The economic value of predicting bond risk premia," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 247-267.
  45. Jonathan H. Wright, 2012. "What does Monetary Policy do to Long‐term Interest Rates at the Zero Lower Bound?," Economic Journal, Royal Economic Society, vol. 122(564), pages 447-466, November.
  46. Sekkel, Rodrigo, 2011. "International evidence on bond risk premia," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 174-181, January.
  47. Chernov, Mikhail & Mueller, Philippe, 2012. "The term structure of inflation expectations," Journal of Financial Economics, Elsevier, vol. 106(2), pages 367-394.
  48. 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.
  49. Moessner, Richhild, 2015. "Reactions of US government bond yields to explicit FOMC forward guidance," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 217-233.
  50. Gauthier, Geneviève & Simonato, Jean-Guy, 2012. "Linearized Nelson–Siegel and Svensson models for the estimation of spot interest rates," European Journal of Operational Research, Elsevier, vol. 219(2), pages 442-451.
  51. Michael D. Bauer & Glenn D. Rudebusch, 2014. "The Signaling Channel for Federal Reserve Bond Purchases," International Journal of Central Banking, International Journal of Central Banking, vol. 10(3), pages 233-289, September.
  52. Abdymomunov, Azamat & Gerlach, Jeffrey, 2014. "Stress testing interest rate risk exposure," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 287-301.
  53. Abdymomunov, Azamat, 2013. "Predicting output using the entire yield curve," Journal of Macroeconomics, Elsevier, vol. 37(C), pages 333-344.
  54. Goliński, Adam & Zaffaroni, Paolo, 2016. "Long memory affine term structure models," Journal of Econometrics, Elsevier, vol. 191(1), pages 33-56.
  55. Antje Berndt & Peter Ritchken & Zhiqiang Sun, 2010. "On Correlation and Default Clustering in Credit Markets," Review of Financial Studies, Society for Financial Studies, vol. 23(7), pages 2680-2729, July.
  56. Laborda, Ricardo & Muñoz, Fernando, 2016. "Optimal allocation of government bond funds through the business cycle. Is money smart?," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 46-67.
  57. Grishchenko, Olesya V. & Vanden, Joel M. & Zhang, Jianing, 2016. "The informational content of the embedded deflation option in TIPS," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 1-26.
  58. Mohammed Bouaddi & Denis Larocque & Michel Normandin, 2010. "Equity Premia and State-Dependent Risks," Cahiers de recherche 1019, CIRPEE.
  59. Andrade, Sandro C. & Barrett, W. Brian, 2011. "Can broker-dealer client surveys provide signals for debt investing?," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1170-1178, May.
  60. Afonso, António & Martins, Manuel M.F., 2010. "Level, slope, curvature of the sovereign yield curve, and fiscal behaviour," Working Paper Series 1276, European Central Bank.
  61. Zhang, Ji, 2016. "Macroeconomic news and the real interest rates at the zero lower bound," Journal of Macroeconomics, Elsevier, vol. 48(C), pages 172-185.
  62. James D. Hamilton & Jing Cynthia Wu, 2011. "The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment," NBER Working Papers 16956, National Bureau of Economic Research, Inc.
  63. : Arie E. Gozluklu, 2012. "Inflation, Stock Market and Long-Term Investors: Real Effects of Changing Demographics," Working Papers wpn12-06, Warwick Business School, Finance Group.
  64. 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.
  65. Somvang PHIMMAVONG & Ian FERGUSON & Barbara OZARSKA, "undated". "Economy-Wide Impact of Forest Plantation Development in Laos Using a Dynamic General Equilibrium Approach," EcoMod2010 259600131, EcoMod.
  66. Antje Berndt & Peter Ritchken & Zhiqiang Sun, "undated". "On Correlation Effects and Default Clustering in Credit Models," GSIA Working Papers 2008-E36, Carnegie Mellon University, Tepper School of Business.
  67. Strohsal, Till & Winkelmann, Lars, 2015. "Assessing the anchoring of inflation expectations," Journal of International Money and Finance, Elsevier, vol. 50(C), pages 33-48.
  68. Duffee, Gregory, 2013. "Forecasting Interest Rates," Handbook of Economic Forecasting, Elsevier.
  69. YAMAMOTO, Yohei & TANAKA, Shinya, 2013. "Testing for Factor Loading Structural Change under Common Breaks," Discussion Papers 2013-17, Graduate School of Economics, Hitotsubashi University.
  70. Caldeira, João F. & Moura, Guilherme V. & Santos, André A.P., 2016. "Bond portfolio optimization using dynamic factor models," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 128-158.
  71. Hanson, Samuel G. & Stein, Jeremy C., 2015. "Monetary policy and long-term real rates," Journal of Financial Economics, Elsevier, vol. 115(3), pages 429-448.
  72. Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2012. "Forecasting government bond yields with large Bayesian vector autoregressions," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2026-2047.
  73. Ho, Hsiao-Wei & Huang, Henry H. & Yildirim, Yildiray, 2014. "Affine model of inflation-indexed derivatives and inflation risk premium," European Journal of Operational Research, Elsevier, vol. 235(1), pages 159-169.
  74. Leo Krippner, 2008. "A Macroeconomic Foundation for the Nelson and Siegel Class of Yield Curve Models," Research Paper Series 226, Quantitative Finance Research Centre, University of Technology, Sydney.
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