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Citations for "Macro factors and the term structure of interest rates"

by Hans Dewachter

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  1. Sarno, Lucio & Thornton, Daniel L. & Valente, Giorgio, 2007. "The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(01), pages 81-100, March.
  2. Caroline JARDET & Alain MONFORT & Fulvio PEGORARO, 2011. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working Papers 2011-03, Centre de Recherche en Economie et Statistique.
  3. Adam Traczyk, 2013. "Financial integration and the term structure of interest rates," Empirical Economics, Springer, vol. 45(3), pages 1267-1305, December.
  4. Carlo A. Favero & Arie E. Gozluklu & Haoxi Yang, 2011. "Demographics and The Behaviour of Interest Rates," Working Papers 388, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  5. Hans Dewachter & Leonardo Iania & Marco Lyrio, 2014. "Information in the yield curve: A Macro-Finance approach," Working Paper Research 254, National Bank of Belgium.
  6. Michiel de Pooter & Francesco Ravazzolo & Dick van Dijk, 2010. "Term structure forecasting using macro factors and forecast combination," Working Paper 2010/01, Norges Bank.
  7. Jakas, Vicente, 2011. "Theory and empirics of an affine term structure model applied to European data," MPRA Paper 36029, University Library of Munich, Germany.
  8. Sharon Kozicki & Peter Tinsley, 2004. "Permanent and transitory policy shocks in an empirical macro model with asymmetric information," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
  9. Leo Krippner, 2003. "Modelling the Yield Curve with Orthonomalised Laguerre Polynomials: An Intertemporally Consistent Approach with an Economic Interpretation," Working Papers in Economics 03/01, University of Waikato, Department of Economics.
  10. 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.
  11. Dewachter, Hans & Iania, Leonardo & Lyrio, Marco, 2011. "A New-Keynesian Model of the Yield Curve with Learning Dynamics: A Bayesian Evaluation," Insper Working Papers wpe_250, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  12. 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.
  13. Juan Marcelo, Ochoa, 2006. "An Interpretation of An Affine Term Structure Model for Chile," MPRA Paper 1072, University Library of Munich, Germany.
  14. Gürkaynak, Refet S. & Wright, Jonathan, 2010. "Macroeconomics and the Term Structure," CEPR Discussion Papers 8018, C.E.P.R. Discussion Papers.
  15. Soloschenko, Max & Weber, Enzo, 2014. "Capturing the Interaction of Trend, Cycle, Expectations and Risk Premia in the US Term Structure," University of Regensburg Working Papers in Business, Economics and Management Information Systems 475, University of Regensburg, Department of Economics.
  16. Shamsuddin, Abul, 2014. "Are Dow Jones Islamic equity indices exposed to interest rate risk?," Economic Modelling, Elsevier, vol. 39(C), pages 273-281.
  17. Tanaka Hiroatsu, 2012. "Monetary Policy Regimes and the Term Structure of Interests Rates with Recursive Utility," 2012 Meeting Papers 557, Society for Economic Dynamics.
  18. Martin Møller Andreasen, 2008. "Explaining Macroeconomic and Term Structure Dynamics Jointly in a Non-linear DSGE Model," CREATES Research Papers 2008-43, School of Economics and Management, University of Aarhus.
  19. M. Falagiarda & M. Marzo, 2012. "A DSGE model with Endogenous Term Structure," Working Papers wp830, Dipartimento Scienze Economiche, Universita' di Bologna.
  20. Leo Krippner, 2005. "Investigating the Relationships between the Yield Curve, Output and Inflation using an Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models," Working Papers in Economics 05/02, University of Waikato, Department of Economics.
  21. Gavin, William T. & Kydland, Finn E. & Pakko, Michael R., 2007. "Monetary policy, taxes, and the business cycle," Journal of Monetary Economics, Elsevier, vol. 54(6), pages 1587-1611, September.
  22. Zhongliang Tuo, 2013. "Hedging Against the Interest-rate Risk by Measuring the Yield-curve Movement," Papers 1312.6841, arXiv.org.
  23. Vito Polito & Peter Spencer, . "UK Macroeconomic Volatility and the Welfare Costs of Inflation," Discussion Papers 11/21, Department of Economics, University of York.
  24. Glenn D. Rudebusch & Brian P. Sack & Eric T. Swanson, 2006. "Macroeconomic implications of changes in the term premium," Working Paper Series 2006-46, Federal Reserve Bank of San Francisco.
  25. 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.
  26. 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.
  27. Marco Lyrio & Hans Dewachter, 2004. "Filtering Long-Run Inflation Expectations with a Structural Macro Model of the Yield Curve," Computing in Economics and Finance 2004 188, Society for Computational Economics.
  28. García, Juan Angel & Werner, Thomas, 2010. "Inflation risks and inflation risk premia," Working Paper Series 1162, European Central Bank.
  29. Wali Ullah & Yoshihiko Tsukuda & Yasumasa Matsuda, 2012. "Term Structure Forecasting of Government Bond Yields with Latent and Macroeconomic Factors: Does Macroeconomic Factors Imply Better Out-of-Sample Forecasts?," TERG Discussion Papers 287, Graduate School of Economics and Management, Tohoku University.
  30. Peter Hördahl & Oreste Tristani, 2012. "Inflation Risk Premia In The Term Structure Of Interest Rates," Journal of the European Economic Association, European Economic Association, vol. 10(3), pages 634-657, 05.
  31. Frank A. G. den Butter & Pieter W. Jansen, 2013. "Beating the random walk: a performance assessment of long-term interest rate forecasts," Applied Financial Economics, Taylor & Francis Journals, vol. 23(9), pages 749-765, May.
  32. Bauer, Michael D. & Rudebusch, Glenn D., 2015. "Resolving the spanning puzzle in macro-finance term structure models," Working Paper Series 2015-1, Federal Reserve Bank of San Francisco.
  33. Francesco Audrino & Lorenzo Camponovo, 2013. "Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models," Papers 1312.1473, arXiv.org.
  34. 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.
  35. Eric Gaus & Arunima Sinha, 2014. "What does the Yield Curve imply about Investor Expectations?," Working Papers 14-02, Ursinus College, Department of Economics.
  36. Mathias Drehmann & Steffen Sorensen & Marco Stringa, 2007. "Integrating credit and interest rate risk: A theoretical framework and an application to banks' balance sheets," Money Macro and Finance (MMF) Research Group Conference 2006 151, Money Macro and Finance Research Group.
  37. Glenn Rudebusch & Tao Wu, 2004. "A macro-finance model of the term structure, monetary policy, and the economy," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
  38. Kim, Hwagyun & Park, Hail, 2013. "Term structure dynamics with macro-factors using high frequency data," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 78-93.
  39. William T. Gavin & Benjamin D. Keen & Finn E. Kydland, 2013. "Monetary policy, the tax code, and the real effects of energy shocks," Working Papers 2013-019, Federal Reserve Bank of St. Louis.
  40. Francis X. Diebold & Glenn D. Rudebusch & S. Boragan Aruoba, 2003. "The Macroeconomy and the Yield Curve: A Nonstructural Analysis," PIER Working Paper Archive 03-024, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  41. Dewachter, Hans & Iania, Leonardo, 2012. "An Extended Macro-Finance Model with Financial Factors," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(06), pages 1893-1916, February.
  42. Geert Mesters & Bernd Schwaab & Siem Jan Koopman, 2014. "A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area," Tinbergen Institute Discussion Papers 14-071/III, Tinbergen Institute.
  43. Nobuyuki Oda & Takashi Suzuki, 2007. "A Macro-Finance Analysis of the Term Structure and Monetary Policy in Japan: Using a Model with Time-Variant Equilibrium Rates of Real Interest and Inflation and with the Zero Lower Bound of Nominal I," Bank of Japan Working Paper Series 07-E-17, Bank of Japan.
  44. Liu, Zhuoshi & Spencer, Peter, 2013. "Modelling sovereign credit spreads with international macro-factors: The case of Brazil 1998–2009," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 241-256.
  45. Vargas, Gregorio A., 2005. "Macroeconomic Determinants of the Movement of the Yield Curve," MPRA Paper 53117, University Library of Munich, Germany.
  46. 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.
  47. Petra Gerlach-Kristen & Barbara Rudolf, 2010. "Macroeconomic and interest rate volatility under alternative monetary operating procedures," BIS Working Papers 319, Bank for International Settlements.
  48. 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 S111-S126, October.
  49. Peter Exterkate & Dick Van Dijk & Christiaan Heij & Patrick J. F. Groenen, 2013. "Forecasting the Yield Curve in a Data‐Rich Environment Using the Factor‐Augmented Nelson–Siegel Model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(3), pages 193-214, 04.
  50. Giese, Julia V., 2008. "Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 2, pages 1-20.
  51. Andrew Ang & Sen Dong & Monika Piazzesi, 2005. "No-arbitrage Taylor rules," Proceedings, Federal Reserve Bank of San Francisco.
  52. Glenn D. Rudebusch & Eric T. Swanson & Tao Wu, 2006. "The bond yield "conundrum" from a macro-finance perspective," Working Paper Series 2006-16, Federal Reserve Bank of San Francisco.
  53. Hibiki Ichiue, 2004. "Why Can the Yield Curve Predict Output Growth, Inflation, and Interest Rates? An Analysis with Affine Term Structure Model," Econometric Society 2004 Far Eastern Meetings 581, Econometric Society.
  54. Bank for International Settlements, 2007. "Understanding asset prices: an overview," BIS Papers, Bank for International Settlements, number 34, March.
  55. Glenn D. Rudebusch, 2010. "Macro-finance models of interest rates and the economy," Working Paper Series 2010-01, Federal Reserve Bank of San Francisco.
  56. 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.
  57. 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.
  58. 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.
  59. Peter Spencer & Zhuoshi Liu, . "An Open-Economy Macro-Finance Model of Internatinal Interdependence: The OECD, US and the UK," Discussion Papers 09/16, Department of Economics, University of York.
  60. 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.
  61. Tao Wu, 2001. "Macro factors and the affine term structure of interest rates," Working Paper Series 2002-06, Federal Reserve Bank of San Francisco.
  62. Ramón María-Dolores & Jesús Vázquez, 2008. "Term structure and the estimated monetary policy rule in the eurozone," Banco de Espa�a Working Papers 0827, Banco de Espa�a.
  63. Geert Bekaert & Seonghoon Cho & Antonio Moreno, 2010. "New Keynesian Macroeconomics and the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(1), pages 33-62, 02.
  64. Aguiar-Conraria, Luís & Martins, Manuel M.F. & Soares, Maria Joana, 2012. "The yield curve and the macro-economy across time and frequencies," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1950-1970.
  65. Matteo Modena, 2008. "An Empirical Analysis of the Curvature Factor of the Term Structure of Interest Rates," Working Papers 2008_35, Business School - Economics, University of Glasgow.
  66. Andreas Reschreiter, 2011. "Real and nominal UK interest rates, ERM membership, and inflation targeting," Empirical Economics, Springer, vol. 40(3), pages 559-579, May.
  67. 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.
  68. Lemke, Wolfgang, 2007. "An affine macro-finance term structure model for the euro area," Discussion Paper Series 1: Economic Studies 2007,13, Deutsche Bundesbank, Research Centre.
  69. Halberstadt, Arne & Stapf, Jelena, 2012. "An affine multifactor model with macro factors for the German term structure: Changing results during the recent crises," Discussion Papers 25/2012, Deutsche Bundesbank, Research Centre.
  70. Fousseni Chabi-Yo & Jun Yang, 2007. "A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate," Working Papers 07-21, Bank of Canada.
  71. Huse, Cristian, 2011. "Term structure modelling with observable state variables," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3240-3252.
  72. Matiur Rahman & Muhammad Mustafa, 2009. "The Slope of the U.S. Nominal Treasury Yield Curve and the Exchange Rate," New York Economic Review, New York State Economics Association (NYSEA), vol. 40(1), pages 3-12.
  73. Greg Duffee, 2005. "Term structure estimation without using latent factors," Computing in Economics and Finance 2005 103, Society for Computational Economics.
  74. Suzan Hol, 2006. "Determinants of long-term interest rates in the Scandinavian countries," Discussion Papers 469, Statistics Norway, Research Department.
  75. 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.
  76. Luciano Vereda & Hélio Lopes & Jessica Kubrusly & Adrian Pizzinga & Taofik Mohammed Ibrahim, 2014. "Yield Curve Forecasts and the Predictive Power of Macro Variables in a VAR Framework," Journal of Reviews on Global Economics, Lifescience Global, vol. 3, pages 377-393.
  77. Kaya, Huseyin, 2013. "The yield curve and the macroeconomy: Evidence from Turkey," Economic Modelling, Elsevier, vol. 32(C), pages 100-107.
  78. Tao Wu & Glenn Rudebusch, 2005. "The Recent Shift in Term Structure Behavior from a No-Arbitrage Macro-Finance Perspective," Computing in Economics and Finance 2005 3, Society for Computational Economics.
  79. James H. Stock & Mark W. Watson, 2008. "Phillips curve inflation forecasts," Conference Series ; [Proceedings], Federal Reserve Bank of Boston, vol. 53.
  80. Michiel D. de Pooter & Francesco Ravazzolo & Dick van Dijk, 2007. "Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information," Tinbergen Institute Discussion Papers 07-028/4, Tinbergen Institute.
  81. Di Maggio, Marco, 2010. "The Political Economy of the Yield Curve," MPRA Paper 20697, University Library of Munich, Germany.
  82. Yu, Wei-Choun & Zivot, Eric, 2011. "Forecasting the term structures of Treasury and corporate yields using dynamic Nelson-Siegel models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 579-591, April.
  83. repec:wyi:journl:002109 is not listed on IDEAS
  84. Bhansali, Vineer & Dorsten, Matthew P. & Wise, Mark B., 2009. "Asymmetric monetary policy and the yield curve," Journal of International Money and Finance, Elsevier, vol. 28(8), pages 1408-1425, December.
  85. Francesco Audrino & Kameliya Filipova, 2009. "Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach," University of St. Gallen Department of Economics working paper series 2009 2009-10, Department of Economics, University of St. Gallen.
  86. Bandholz, Harm & Clostermann, Joerg & Seitz, Franz, 2007. "Explaining the US Bond Yield Conundrum," MPRA Paper 2386, University Library of Munich, Germany.
  87. Lemke, Wolfgang & Werner, Thomas, 2009. "The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics," Working Paper Series 1045, European Central Bank.
  88. Peter Vlaar, 2007. "Term Structure Modeling for Pension Funds:What to do in Practice?," DNB Working Papers 123, Netherlands Central Bank, Research Department.
  89. Peter Spreij & Enno Veerman & Peter Vlaar, 2008. "Multivariate Feller conditions in term structure models: Why do(n't) we care?," DNB Working Papers 173, Netherlands Central Bank, Research Department.
  90. Maurizio Luisi & Jeffery D. Amato, 2006. "Macro factors in the term structure of credit spreads," BIS Working Papers 203, Bank for International Settlements.
  91. Seth Armitage & Janusz Brzeszczynski, 2010. "Forecasting UK Inflation: An Empirical Analysis ," CFI Discussion Papers 1002, Centre for Finance and Investment, Heriot Watt University.
  92. Moench, Emanuel, 2008. "Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach," Journal of Econometrics, Elsevier, vol. 146(1), pages 26-43, September.
  93. 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.
  94. Márcio Laurini & João Frois Caldeira, 2012. "Some Comments on a Macro-Finance Model with Stochastic Volatility," IBMEC RJ Economics Discussion Papers 2012-04, Economics Research Group, IBMEC Business School - Rio de Janeiro.
  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. 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.
  97. Ricardo Gimeno & José Manuel Marqués, 2009. "Extraction of financial market expectations about inflation and interest rates from a liquid market," Banco de Espa�a Working Papers 0906, Banco de Espa�a.
  98. Daniela Osterrieder, 2013. "Interest Rates with Long Memory: A Generalized Affine Term-Structure Model," CREATES Research Papers 2013-17, School of Economics and Management, University of Aarhus.
  99. Klein, Rudolf F. & Chow, Victor K., 2013. "Orthogonalized factors and systematic risk decomposition," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(2), pages 175-187.
  100. Peter N. Ireland, 2014. "Monetary Policy, Bond Risk Premia, and the Economy," Boston College Working Papers in Economics 852, Boston College Department of Economics.
  101. 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.
  102. Carlo Altavilla & Raffaella Giacomini & Riccardo Costantini, 2013. "Bond returns and market expectations," CeMMAP working papers CWP20/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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