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Citations for "Cointegration and Tests of Present Value Models"

by Campbell, John & Shiller, Robert

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  1. Hoffmann, Mathias, 2000. "The relative dynamics of investment and the current account in the G-7 economies," Discussion Paper Series In Economics And Econometrics 0005, Economics Division, School of Social Sciences, University of Southampton.
  2. Lucchetti, Riccardo & Palomba, Giulio, 2009. "Nonlinear adjustment in US bond yields: An empirical model with conditional heteroskedasticity," Economic Modelling, Elsevier, vol. 26(3), pages 659-667, May.
  3. 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.
  4. Solveen, Ralph, 1995. "Zentralbankpolitik und Zentralbankautonomie: Spielt die Unabhängigkeit eine Rolle?," Kiel Working Papers 710, Kiel Institute for the World Economy.
  5. José M. Campa & Ángel Gavilán, 2006. "Current accounts in the euro area: An intertemporal approach," Working Papers 0638, Banco de España;Working Papers Homepage.
  6. Clive Bowsher & Roland Meeks, 2006. "The Impossibility of Stationary Yield Spreads and I(1) Yields under the Expectations Theory of the Term Structure," Economics Series Working Papers 2006-W05, University of Oxford, Department of Economics.
  7. Hoffmann, Mathias, 2004. "International capital mobility in the long run and the short run: can we still learn from saving-investment data?," Journal of International Money and Finance, Elsevier, vol. 23(1), pages 113-131, February.
  8. Ricardo Sousa, 2011. "Building proxies that capture time-variation in expected returns using a VAR approach," Applied Financial Economics, Taylor & Francis Journals, vol. 21(3), pages 147-163.
  9. Jaya Krishnakumar & David Neto, 2005. "Partial Cointegration," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 2005.04, Institut d'Economie et Econométrie, Université de Genève, revised Aug 2006.
  10. Thórarinn G. Pétursson, 2001. "The representative household's demand for money in a cointegrated VAR model," Economics wp12, Department of Economics, Central bank of Iceland.
  11. Alizadeh, Amir H. & Nomikos, Nikos K., 2007. "Investment timing and trading strategies in the sale and purchase market for ships," Transportation Research Part B: Methodological, Elsevier, vol. 41(1), pages 126-143, January.
  12. Pilar Abad Romero, 2003. "Un Contraste Alternativo De La Hipótesis De Las Expectativas En Swaps De Tipos De Interés," Working Papers 0306, Universidade de Vigo, Departamento de Economía Aplicada.
  13. Tillmann, Peter, 2007. "Inflation regimes in the US term structure of interest rates," Economic Modelling, Elsevier, vol. 24(2), pages 203-223, March.
  14. Guglielmo Caporale & Luis Gil-Alana, 2016. "Persistence and cyclical dependence in the monthly euribor rate," Journal of Economics and Finance, Springer, vol. 40(1), pages 157-171, January.
  15. Philip Inyeob Ji & Glenn Otto, 2015. "Explosive Behaviour in Australian Housing Markets: Rational Bubbles or Not?," Discussion Papers 2015-27, School of Economics, The University of New South Wales.
  16. Sébastien Morin, 2004. "Ruptures structurelles sur les marchés action et obligataire américains : preuve empirique à partir de la méthode de Saikkönen," Économie et Prévision, Programme National Persée, vol. 166(5), pages 87-98.
  17. Ikeda, Shinsuke & Shibata, Akihisa, 1995. "Fundamentals uncertainty, bubbles, and exchange rate dynamics," Journal of International Economics, Elsevier, vol. 38(3-4), pages 199-222, May.
  18. Guillen, Osmani Teixeira Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo Vinícius Menezes, 2013. "Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions," Economics Working Papers (Ensaios Economicos da EPGE) 742, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  19. Gerald P. Dwyer & R. W. Hafer, 1989. "Interest rates and economic announcements," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 34-46.
  20. 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.
  21. repec:hrv:faseco:3382857 is not listed on IDEAS
  22. James M. Nason & Gregor W. Smith, 2005. "Identifying the New Keynesian Phillips Curve," Working Papers 1026, Queen's University, Department of Economics.
  23. Qizilbash, M., 1995. "Capabilities, well-being and human development (revision of Discussion Paper no.9425) Revision of Discussion Paper no.9425," Discussion Paper Series In Economics And Econometrics 9515, Economics Division, School of Social Sciences, University of Southampton.
  24. 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.
  25. Chen, Chung & Wu, Chunchi, 1999. "The dynamics of dividends, earnings and prices: evidence and implications for dividend smoothing and signaling," Journal of Empirical Finance, Elsevier, vol. 6(1), pages 29-58, January.
  26. Martin Schneider, 2013. "Are Recent Increases of Residential Property Prices in Vienna and Austria Justified by Fundamentals?," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 29-46.
  27. José E. Gómez-González & Jair N. Ojeda-Joya & Catalina Rey-Guerra & Natalia Sicard, 2015. "Testing for Bubbles in the Colombian Housing Market: A New Approach," REVISTA DESARROLLO Y SOCIEDAD, UNIVERSIDAD DE LOS ANDES-CEDE, August.
  28. Arshanapalli, Bala & Doukas, John, 1994. "Common stochastic trends in a system of Eurocurrency rates," Journal of Banking & Finance, Elsevier, vol. 18(6), pages 1047-1061, December.
  29. Zhijie Xiao, 2009. "Quantile Cointegrating Regression," Boston College Working Papers in Economics 708, Boston College Department of Economics.
  30. 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.
  31. John Y. Campbell & John Ammer, 1991. "What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns," NBER Working Papers 3760, National Bureau of Economic Research, Inc.
  32. 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.
  33. Siliverstovs, Boriss & Engsted, Tom & Haldrup, Niels, 2002. "Long-Run Forecasting in Multicointegrated Systems," Finance Working Papers 02-14, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  34. Barbara Rossi, 2007. "Expectations hypotheses tests at Long Horizons," Econometrics Journal, Royal Economic Society, vol. 10(3), pages 554-579, November.
  35. Alfonso Novales & Emilio Domínguez, 2002. "Can forward rates be used to improve interest rate forecasts?"," Documentos de Trabajo del ICAE 0225, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  36. Lucy F. Ackert & Marie D. Racine, 1998. "Stochastic trends and cointegration in the market for equities," FRB Atlanta Working Paper 98-13, Federal Reserve Bank of Atlanta.
  37. Kano, Takashi, 2008. "A structural VAR approach to the intertemporal model of the current account," Journal of International Money and Finance, Elsevier, vol. 27(5), pages 757-779, September.
  38. Fukuta, Yuichi, 1996. "Rational bubbles and non-risk neutral investors in Japan," Japan and the World Economy, Elsevier, vol. 8(4), pages 459-473, December.
  39. 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 2612-32, October.
  40. George J. Bratsiotis & Wayne A. Robinson, 2014. "Unit Total Costs: An Alternative Marginal Cost Proxy for Inflation Dynamics," Centre for Growth and Business Cycle Research Discussion Paper Series 192, Economics, The Univeristy of Manchester.
  41. Chew Lian Chua & Chin Nam Low, 2007. "Permanent Structural Change in the US Short-Term and Long-Term Interest Rates," Melbourne Institute Working Paper Series wp2007n22, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  42. Pål Boug & Ådne Cappelen & Anders Swensen, 2006. "Expectations and regime robustness in price formation: evidence from vector autoregressive models and recursive methods," Empirical Economics, Springer, vol. 31(4), pages 821-845, November.
  43. Giorgio Valente & Daniel Thornton & Lucio Sarno, 2005. "The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields," Working Papers wp05-13, Warwick Business School, Finance Group.
  44. Daniel L. Thornton, 2004. "Testing the expectations hypothesis: some new evidence for Japan," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 21-40.
  45. Engsted, Tom, 1998. "Money Demand During Hyperinflation: Cointegration, Rational Expectations, and the Importance of Money Demand Shocks," Journal of Macroeconomics, Elsevier, vol. 20(3), pages 533-552, July.
  46. Nasseh, Alireza & Strauss, Jack, 2000. "Stock prices and domestic and international macroeconomic activity: a cointegration approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(2), pages 229-245.
  47. Andrew Clare & Ilias Lekkos, 2000. "An analysis of the relationship between international bond markets," Bank of England working papers 123, Bank of England.
  48. Oliver Holtemöller & Rainer Schulz, 2010. "Investor Rationality and House Price Bubbles: Berlin and the German Reunification," German Economic Review, Verein für Socialpolitik, vol. 11, pages 465-486, November.
  49. David Hendry & Grayham E. Mizon, 2013. "Unpredictability in Economic Analysis, Econometric Modeling and Forecasting," Economics Series Working Papers 2013-W04, University of Oxford, Department of Economics.
  50. Moersch, Mathias & Nautz, Dieter, 1998. "The monetary model of the exchange rate: A structural interpretation," SFB 373 Discussion Papers 1998,6, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  51. Fairburn, J.A. & Malcomson, J.M., 1993. "Rewarding performance by promotion to a different job," Discussion Paper Series In Economics And Econometrics 9316, Economics Division, School of Social Sciences, University of Southampton.
  52. Gómez-González, José E. & Ojeda-Joya, Jair N. & Rey-Guerra, Catalina & Sicard, Natalia, 2014. "Testing for bubbles in housing markets: new results using a new method," Globalization and Monetary Policy Institute Working Paper 164, Federal Reserve Bank of Dallas.
  53. Silva Lopes, Artur C. B. da & Monteiro, Olga Susana, 2008. "Short and long run tests of the expectations hypothesis: the Portuguese case," MPRA Paper 12001, University Library of Munich, Germany.
  54. Dechert, Andreas, 2012. "Variance Ratio Testing for Fractional Cointegration in Presence of Trends and Trend Breaks," MPRA Paper 41044, University Library of Munich, Germany.
  55. Carl E. Walsh, 1987. "The impact of monetary targeting in the United States, 1976-1984," Working Papers in Applied Economic Theory 87-04, Federal Reserve Bank of San Francisco.
  56. Sbordone, Argia M., 2005. "Do expected future marginal costs drive inflation dynamics?," Journal of Monetary Economics, Elsevier, vol. 52(6), pages 1183-1197, September.
  57. Engsted, Tom & Hviid, Simon J. & Pedersen, Thomas Q., 2016. "Explosive bubbles in house prices? Evidence from the OECD countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 14-25.
  58. Hecq, Alain & Issler, João Victor, 2012. "A Common-feature approach for testing present-value restrictions with financial data," Economics Working Papers (Ensaios Economicos da EPGE) 728, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  59. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220 National Bureau of Economic Research, Inc.
  60. Bloch, Laurence, 2012. "Product market regulation, trend inflation and inflation dynamics in the new Keynesian Phillips curve," Economic Modelling, Elsevier, vol. 29(5), pages 2058-2070.
  61. Cavaliere, Giuseppe & Rahbek, Anders & Taylor, Robert, 2010. "Determination of the Number of Common Stochastic Trends Under Conditional Heteroskedasticity/Determinación del número de tendencias estocásticas comunes bajo heteroscedasticidad condicional," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 28, pages 519-552, Diciembre.
  62. Jordi Galí & Mark Gertler & J. David López-Salido, 2000. "European Inflation Dynamics," Working Papers 0020, Banco de España;Working Papers Homepage.
  63. Alain Durré & Pierre Giot, 2005. "An international analysis of earnings, stock prices and bond yields," Working Paper Research 73, National Bank of Belgium.
  64. Mauricio Larraín E. & Fernando Parro G., 2006. "La Información Contenida en los Movimientos de las Tasas Forward en Chile," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 9(3), pages 125-132, December.
  65. Charles Engel & Kenneth D. West, 2004. "Exchange Rates and Fundamentals," NBER Working Papers 10723, National Bureau of Economic Research, Inc.
  66. Macchiarelli, Corrado, 2014. "Bond market co-movements, expected inflation and the GBP-USD equilibrium real exchange rate," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 242-256.
  67. Markku Lanne, 2000. "Near unit roots, cointegration, and the term structure of interest rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 513-529.
  68. John T. Cuddington, 1997. "Analysing the Sustainability of Fiscal Deficits in Developing Countries," International Finance 9706001, EconWPA.
  69. Mathias Hoffmann & Ronald MacDonald, 2003. "A Re-examination of the Link between Real Exchange Rates and Real Interest Rate Differentials," CESifo Working Paper Series 894, CESifo Group Munich.
  70. Nathan S. Balke & Mark E. Wohar, 2009. "Market fundamentals versus rational bubbles in stock prices: a Bayesian perspective," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(1), pages 35-75.
  71. Esteve, Vicente, 2006. "A note on nonlinear dynamics in the Spanish term structure of interest rates," International Review of Economics & Finance, Elsevier, vol. 15(3), pages 316-323.
  72. Qizilbash, M., 1995. "Egalitarian justice, capability and well-being prospects," Discussion Paper Series In Economics And Econometrics 9516, Economics Division, School of Social Sciences, University of Southampton.
  73. Holanda Oliveira, Lucio Hellery & Carrasco Gutierrez, Carlos Enrique, 2015. "The Dynamics of the Brazilian Current Account with Rule of Thumb Consumers," MPRA Paper 66079, University Library of Munich, Germany.
  74. Campbell, John Y, 1987. "Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis," Econometrica, Econometric Society, vol. 55(6), pages 1249-73, November.
  75. Collard, Fabrice & Feve, Patrick & Ghattassi, Imen, 2006. "Predictability and habit persistence," Journal of Economic Dynamics and Control, Elsevier, vol. 30(11), pages 2217-2260, November.
  76. Refet Gurkaynak, 2005. "Econometric Tests of Asset Price Bubbles: Taking Stock," Finance 0504008, EconWPA.
  77. Jim Malley & Hassan Molana, 1997. "The Permanent Income Hypothesis Revisited. Reconciling Evidence from Aggregate Data with the Representative Consumer Behaviour," Working Papers 9708, Business School - Economics, University of Glasgow.
  78. Tahir Mukhtar & Aliya H. Khan, 2011. "The Current Account Dynamics in Pakistan: An Intertemporal Optimisation Perspective," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 50(4), pages 401-421.
  79. Sarno, Lucio & Taylor, Mark P., 1999. "Moral hazard, asset price bubbles, capital flows, and the East Asian crisis:: the first tests," Journal of International Money and Finance, Elsevier, vol. 18(4), pages 637-657, August.
  80. Gregory C. Chow, 2003. "Rational Expectations is Not Necessarily Valid for Econometric," Macroeconomics 0306009, EconWPA.
  81. Kunst, Robert M., 2002. "Decision Maps for Bivariate Time Series with Potential Thrshold Cointegration," Economics Series 121, Institute for Advanced Studies.
  82. John Y. Campbell & Robert J. Shiller, 1991. "Yield Spreads and Interest Rate Movements: A Bird's Eye View," Review of Economic Studies, Oxford University Press, vol. 58(3), pages 495-514.
  83. Ramos-Francia, Manuel & Torres, Alberto, 2008. "Inflation dynamics in Mexico: A characterization using the New Phillips curve," The North American Journal of Economics and Finance, Elsevier, vol. 19(3), pages 274-289, December.
  84. Tim Bollerslev & Robert J. Hodrick, 1992. "Financial Market Efficiency Tests," NBER Working Papers 4108, National Bureau of Economic Research, Inc.
  85. Kropp, Jaclyn D. & Peckham, Janet G., 2012. "Impacts of U.S. Agricultural and Ethanol Policies on Farmland Values and Rental Rates," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124579, Agricultural and Applied Economics Association.
  86. Owen Lamont, 1996. "Earnings and Expected Returns," NBER Working Papers 5671, National Bureau of Economic Research, Inc.
  87. Duvivier, Romain & Gaspart, Frederic & Frahan, Bruno Henry de, 2005. "A Panel Data Analysis of the Determinants of Farmland Price: An Application to the Effects of the 1992 Cap Reform in Belgium," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24577, European Association of Agricultural Economists.
  88. James M. Nason & John H. Rogers, 2008. "Exchange rates and fundamentals: a generalization," International Finance Discussion Papers 948, Board of Governors of the Federal Reserve System (U.S.).
  89. Voth, Hans-Joachim, 2002. "With a Bang, Not a Whimper: Pricking Germany's 'Stock Market Bubble' in 1927 and the Slide into Depression," CEPR Discussion Papers 3257, C.E.P.R. Discussion Papers.
  90. Duffee, Gregory, 2013. "Forecasting Interest Rates," Handbook of Economic Forecasting, Elsevier.
  91. Jaya Krishnakumar & David Neto, 2009. "Estimation and Testing for the Cointegration Rank in a Threshold Cointegrated System," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 2009.01, Institut d'Economie et Econométrie, Université de Genève.
  92. Søren Johansen, 2010. "An Extension of Cointegration to Fractional Autoregressive Processes," Discussion Papers 10-28, University of Copenhagen. Department of Economics.
  93. Silva Lopes, Artur C. & M. Monteiro, Olga Susana, 2007. "The expectations hypothesis of the term structure: some empirical evidence for Portugal," MPRA Paper 3437, University Library of Munich, Germany.
  94. repec:pra:mprapa:7387 is not listed on IDEAS
  95. Favero, Carlo A. & Giavazzi, Francesco & Iacone, Fabrizio & Tabellini, Guido, 1997. "Extracting Information from Asset Prices: The Methodology of EMU Calculators," CEPR Discussion Papers 1676, C.E.P.R. Discussion Papers.
  96. Tarlok Singh, 2007. "Intertemporal Optimizing Models Of Trade And Current Account Balance: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 21(1), pages 25-64, 02.
  97. Dennis L. Hoffman & Robert H. Rasche, 1997. "STLS/US-VECM6.1: a vector error-correction forecasting model of the U. S. economy," Working Papers 1997-008, Federal Reserve Bank of St. Louis.
  98. Chu, Hsiao-Ping & Chang, Tsangyao & Chang, Hsu-Ling & Su, Chi-Wei & Yuan, Young, 2007. "Mean reversion in the current account of forty-eight african countries: Evidence from the Panel SURADF test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 384(2), pages 485-492.
  99. Driffill, J. & Sola, M., 1992. "Testing the present value hypothesis from a vector autoregression with stochastic regime switching," Discussion Paper Series In Economics And Econometrics 9216, Economics Division, School of Social Sciences, University of Southampton.
  100. Keith Cuthbertson & Don Bredin, 2000. "The Expectations Hypothesis of the Term Structure - The Case of Ireland," The Economic and Social Review, Economic and Social Studies, vol. 31(3), pages 267-281.
  101. Eitrheim,O. & Jansen,E.S. & Nymoen,R., 2000. "Progress from forecast failure : the Norwegian consumption function," Memorandum 32/2000, Oslo University, Department of Economics.
  102. Jeffrey C. Fuhrer, 2000. "Habit Formation in Consumption and Its Implications for Monetary-Policy Models," American Economic Review, American Economic Association, vol. 90(3), pages 367-390, June.
  103. Lorenzo Trapani & Giovanni Urga, 2007. "Micro versus Macro Cointegration in Heterogeneous Panels," Working Papers 0711, Department of Economics and Technology Management, University of Bergamo.
  104. Peter Christoffersen & Jeremy Berkowitz & Denis Pelletier, 2008. "Evaluating Value-at-Risk Models with Desk-Level Data," CREATES Research Papers 2009-35, Department of Economics and Business Economics, Aarhus University.
  105. Corsetti, Giancarlo & Konstantinou, Panagiotis T, 2009. "What Drives US Foreign Borrowing? Evidence on External Adjustment to Transitory and Permanent Shocks," CEPR Discussion Papers 7134, C.E.P.R. Discussion Papers.
  106. Montoro, V.F., 2001. "Expectations and the behaviour of Spanish treasury bill rates," Discussion Paper Series In Economics And Econometrics 0112, Economics Division, School of Social Sciences, University of Southampton.
  107. Chung, Heetaik & Lee, Bong-Soo, 1998. "Fundamental and nonfundamental components in stock prices of Pacific-Rim countries," Pacific-Basin Finance Journal, Elsevier, vol. 6(3-4), pages 321-346, August.
  108. Martin Boileau & Michel Normandin, 1997. "Aggregate Employment, Real Business Cycles, and Superior Information," Cahiers de recherche CREFE / CREFE Working Papers 55, CREFE, Université du Québec à Montréal.
  109. Bansal, Ravi & Lundblad, Christian, 2002. "Market efficiency, asset returns, and the size of the risk premium in global equity markets," Journal of Econometrics, Elsevier, vol. 109(2), pages 195-237, August.
  110. Giot, Pierre & Petitjean, Mikael, 2007. "The information content of the Bond-Equity Yield Ratio: Better than a random walk?," International Journal of Forecasting, Elsevier, vol. 23(2), pages 289-305.
  111. Yu-chin Chen & Kenneth Rogoff & Barbara Rossi, 2008. "Can Exchange Rates Forecast Commodity Prices?," Working Papers UWEC-2008-11-FC, University of Washington, Department of Economics, revised Oct 2009.
  112. Araç, Ayşen & Yalta, A. Yasemin, 2015. "Testing the expectations hypothesis for the Eurozone: A nonlinear cointegration analysis," Finance Research Letters, Elsevier, vol. 15(C), pages 41-48.
  113. Favero, Carlo A., 2006. "Taylor rules and the term structure," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1377-1393, October.
  114. Luis Gil-Alana & Antonio Moreno, 2007. "Uncovering the U.S. Term Premium: An Alternative Route," Faculty Working Papers 12/07, School of Economics and Business Administration, University of Navarra.
  115. María-José Gutiérrez & Jesús Vázquez, 2001. "The Changing Behavior Of The Term Structure Of Post-War U.S. Interest Rates And Changes In The Federal Reserve Chairman: Is There A Link?," Working Papers 01-03, Asociación Española de Economía y Finanzas Internacionales.
  116. Jun Nagayasu, 2003. "The Term Structure of Interest Rates and Monetary Policy During a Zero-Interest-Rate Period," IMF Working Papers 03/208, International Monetary Fund.
  117. Cunado, J. & Gil-Alana, L.A. & de Gracia, F. Perez, 2005. "A test for rational bubbles in the NASDAQ stock index: A fractionally integrated approach," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2633-2654, October.
  118. Christian Dreger, 2003. "A macroeconometric model for the Euro economy," IWH Discussion Papers 181, Halle Institute for Economic Research.
  119. Sugita, Katsuhiro, 2006. "Time Series Analysis of the Expectations Hypothesis for the Japanese Term Structure of Interest Rates in the Presence of Multiple Structural Breaks," Discussion Papers 2006-15, Graduate School of Economics, Hitotsubashi University.
  120. Kirman, Alan & Ricciotti, Romain Fabio & Topol, Richard L On, 2007. "Bubbles In Foreign Exchange Markets," Macroeconomic Dynamics, Cambridge University Press, vol. 11(S1), pages 102-123, November.
  121. Marco R Barassi & Dayong Zhang, 2009. "Fractional Integration and Cointegration: Testing the Term Structure of Interest Rates," Discussion Papers 09-17, Department of Economics, University of Birmingham.
  122. Javier Ordóñez & Cecilio Tamarit & Mariam Camarero, 2008. "The expectations hypothesis of the term structure in the Euro area:," Economics Bulletin, AccessEcon, vol. 3(3), pages 1-15.
  123. Bonomo, M. & Garcia, R., 1991. "Consumption and Equilibrium Asset Pricing: an Empirical Assessment," Cahiers de recherche 9126, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  124. Bordo, Michael D. & MacDonald, Ronald, 2003. "The inter-war gold exchange standard: credibility and monetary independence," Journal of International Money and Finance, Elsevier, vol. 22(1), pages 1-32, February.
  125. Helmut Herwartz & Konstantin A. Kholodilin, 2014. "In‐Sample and Out‐of‐Sample Prediction of stock Market Bubbles: Cross‐Sectional Evidence," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(1), pages 15-31, 01.
  126. Crowder, William J. & Wohar, Mark E., 1998. "Cointegration, forecasting and international stock prices," Global Finance Journal, Elsevier, vol. 9(2), pages 181-204.
  127. Nathan S. Balke & Thomas B. Fomby, 1992. "Threshold cointegration," Research Paper 9209, Federal Reserve Bank of Dallas.
    • Balke, Nathan S & Fomby, Thomas B, 1997. "Threshold Cointegration," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(3), pages 627-45, August.
  128. Pierluigi Balduzzi & Giuseppe Bertola & Silverio Foresi, 1993. "A Model of Target Changes and the Term Structure of Interest Rates," NBER Working Papers 4347, National Bureau of Economic Research, Inc.
  129. Mukerji, S., 1997. "Ambiguity aversion and incompleteness of contractual form," Discussion Paper Series In Economics And Econometrics 9715, Economics Division, School of Social Sciences, University of Southampton.
  130. Sanchirico, James & Newell, Richard & Papps, Kerry, 2005. "Asset Pricing in Created Markets for Fishing Quotas," Discussion Papers dp-05-46, Resources For the Future.
  131. Nawazish Mirza & Ayesha Afzal, 2012. "Some Preliminary Evidence on Stock Price Bubbles in an Emerging Market," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 15(44), pages 55-86, June.
  132. Michael B. Devereux & Charles Engel, 2006. "Expectations and Exchange Rate Policy," NBER Working Papers 12213, National Bureau of Economic Research, Inc.
  133. Lof, Matthijs, 2011. "Noncausality and Asset Pricing," MPRA Paper 30519, University Library of Munich, Germany.
  134. Cecchetti, Stephen G & Lam, Pok-sang & Mark, Nelson C, 1990. "Mean Reversion in Equilibrium Asset Prices," American Economic Review, American Economic Association, vol. 80(3), pages 398-418, June.
  135. Peter C.B. PHILIPS & Yangru WU & Jun YU, 2009. "Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?," Working Papers 19-2009, Singapore Management University, School of Economics.
  136. Leonardo Becchetti & Roberto Rocci & Giovanni Trovato, 2004. "Industry and Time Specific Deviations from Fundamental Values in a Random Coefficient Model," CEIS Research Paper 52, Tor Vergata University, CEIS.
  137. Timothy Cogley & Argia M. Sbordone, 2006. "Trend inflation and inflation persistence in the New Keynesian Phillips curve," Staff Reports 270, Federal Reserve Bank of New York.
  138. Juho Kanniainen, 2009. "Can properly discounted projects follow geometric Brownian motion?," Mathematical Methods of Operations Research, Springer, vol. 70(3), pages 435-450, December.
  139. Raphael Bergoeing & Felipe Morandé & Raimundo Soto., . "Asset prices in Chile: facts and fads," ILADES-Georgetown University Working Papers inv115, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines.
  140. 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.
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