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Rational Expectations and the Term Structure of Interest Rates

Citations

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Cited by:

  1. F. Javier Trivez & Beatriz Catalan, 2009. "Detecting level shifts in ARMA-GARCH (1,1) Models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 36(6), pages 679-697.
  2. 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.
  3. Philomena M. Bacon & Peter G. Moffatt, 2012. "Mortgage Choice as a Natural Field Experiment on Choice under Risk," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(7), pages 1401-1426, October.
  4. Adrian W. Throop, 1981. "Interest rate forecasts and market efficiency," Economic Review, Federal Reserve Bank of San Francisco, issue Spr, pages 29-43.
  5. Hugo Benítez-Silva & Debra Dwyer & Wayne-Roy Gayle & Thomas Muench, 2008. "Expectations in micro data: rationality revisited," Empirical Economics, Springer, vol. 34(2), pages 381-416, March.
  6. Gary S. Anderson & Alena Audzeyeva, 2019. "A Coherent Framework for Predicting Emerging Market Credit Spreads with Support Vector Regression," Finance and Economics Discussion Series 2019-074, Board of Governors of the Federal Reserve System (U.S.).
  7. Park, S.B., 1997. "Cointegration and Market Efficiency: An Application to the Canadian Treasury Bill Market," Carleton Economic Papers 97-06, Carleton University, Department of Economics.
  8. Isler, Ozan & Flew, Terry & Erol, Isil & Dulleck, Uwe, 2021. "Market news and credibility cues improve house price predictions: An experiment on bounded rationality in real estate," Journal of Behavioral and Experimental Finance, Elsevier, vol. 31(C).
  9. Rodney L. Jacobs, 1978. "An Examination of the Economic and Muthian Rationality of Price Level Forecasts," UCLA Economics Working Papers 135A, UCLA Department of Economics.
  10. Hans Patrick Bidias-Menik & Simplice Gaël Tonmo, 2020. "Interest Rate Predictability In Some Selected African Countries," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 9(3), pages 45-60.
  11. Lawrence J. Christiano, 1980. "The term structure of interest rates and the aliasing identification problem," Working Papers 165, Federal Reserve Bank of Minneapolis.
  12. Hakkio, Craig S., 1981. "The term structure of the forward premium," Journal of Monetary Economics, Elsevier, vol. 8(1), pages 41-58.
  13. Charles Van Marrewijk, 2005. "Basic Exchange Rate Theories," Centre for International Economic Studies Working Papers 2005-01, University of Adelaide, Centre for International Economic Studies.
  14. Cooray, Arusha & Gangopadhyay, Partha & Das, Narasingha, 2023. "Causality between volatility and the weekly economic index during COVID-19: The predictive power of efficient markets and rational expectations," International Review of Financial Analysis, Elsevier, vol. 89(C).
  15. Soo-Bin Park, 1999. "A Test of The Market Efficiency Hypothesis with An Application to Canadian Treasury Bill Yields," Carleton Economic Papers 99-03, Carleton University, Department of Economics.
  16. von Borstel, Julia & Eickmeier, Sandra & Krippner, Leo, 2016. "The interest rate pass-through in the euro area during the sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 68(C), pages 386-402.
  17. Byeongseon Seo, 2000. "Nonlinear Mean Reversion In The Term Structure Of Interest Rates," Computing in Economics and Finance 2000 121, Society for Computational Economics.
  18. Leiderman, Leonardo & Blejer, Mario I., 1983. "New Evidence on the Rational Expectations Theory of the Term Structure: The Case of Argentine Interest Rates," Foerder Institute for Economic Research Working Papers 275370, Tel-Aviv University > Foerder Institute for Economic Research.
  19. C. John McDermott, 1998. "Testing the expectations model of the term structure in times of financial transition," Applied Financial Economics, Taylor & Francis Journals, vol. 8(6), pages 663-669.
  20. Rui (Aruhan) Shi, 2021. "Learning from Zero: How to Make Consumption-Saving Decisions in a Stochastic Environment with an AI Algorithm," CESifo Working Paper Series 9255, CESifo.
  21. Audzeyeva, Alena & Fuertes, Ana-Maria, 2018. "On the predictability of emerging market sovereign credit spreads," Journal of International Money and Finance, Elsevier, vol. 88(C), pages 140-157.
  22. García-Verdú Santiago, 2011. "On the Term Structure of Interest Rates of the Mexican Government," Working Papers 2011-18, Banco de México.
  23. Assenmacher-Wesche, Katrin & Gerlach, Stefan, 2008. "The term structure of interest rates across frequencies," Working Paper Series 976, European Central Bank.
  24. Paul A. Anderson, 1978. "Rational expectations forecasts from nonrational models," Staff Report 19, Federal Reserve Bank of Minneapolis.
  25. Sergio Consoli & Luca Tiozzo Pezzoli & Elisa Tosetti, 2022. "Neural forecasting of the Italian sovereign bond market with economic news," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 185(S2), pages 197-224, December.
  26. Hansen, Lars Peter & Sargent, Thomas J., 1981. "A note on Wiener-Kolmogorov prediction formulas for rational expectations models," Economics Letters, Elsevier, vol. 8(3), pages 255-260.
  27. Thomas C. Glaessner, 1982. "Formulation and estimation of a dynamic model of exchange rate determination: an application of general method of moments techniques," International Finance Discussion Papers 208, Board of Governors of the Federal Reserve System (U.S.).
  28. Lars Peter Hansen, 2007. "Beliefs, Doubts and Learning: Valuing Economic Risk," NBER Working Papers 12948, National Bureau of Economic Research, Inc.
  29. Willman, Alpo, 2007. "Sequential optimization, front-loaded information, and U.S. consumption," Working Paper Series 765, European Central Bank.
  30. Sargent, Thomas J., 1979. "A note on maximum likelihood estimation of the rational expectations model of the term structure," Journal of Monetary Economics, Elsevier, vol. 5(1), pages 133-143, January.
  31. Robert G. King & Andre Kurmann, 2002. "Expectations and the term structure of interest rates : evidence and implications," Economic Quarterly, Federal Reserve Bank of Richmond, issue Fall, pages 49-95.
  32. Clifford F. Thies, 1985. "New Estimates Of The Term Structure Of Interest Rates: 1920–1939," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(4), pages 297-306, December.
  33. Gerotto, Luca & Paradiso, Antonio & Pellizzari, Paolo, 2025. "A tale of inattentiveness and the loss function: A model for household-level macroeconomic expectations," Journal of Economic Behavior & Organization, Elsevier, vol. 236(C).
  34. Pedro Garcia Duarte & Kevin D. Hoover, 2012. "Observing Shocks," History of Political Economy, Duke University Press, vol. 44(5), pages 226-249, Supplemen.
  35. Rodney L. Jacobs, 1978. "The Use of Realized Values as a Proxy for Prior Rational Expectations," UCLA Economics Working Papers 138, UCLA Department of Economics.
  36. Maria Asuncion Prats Albentosa & Arielle Beyaert, 1998. "Testing the expectations theory in a market of short-term financial assets," Applied Financial Economics, Taylor & Francis Journals, vol. 8(2), pages 101-109.
  37. Lars Peter Hansen & Thomas J. Sargent, 1981. "Exact linear rational expectations models: specification and estimation," Staff Report 71, Federal Reserve Bank of Minneapolis.
  38. Thomas Delcey & Francesco Sergi, 2019. "The Efficient Market Hypothesis and Rational Expectations. How Did They Meet and Live (Happily?) Ever After," Working Papers hal-02187362, HAL.
  39. Thomas Delcey & Francesco Sergi, 2019. "The Efficient Market Hypothesis and Rational Expectations. How Did They Meet and Live (Happily?) Ever After," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02187362, HAL.
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