IDEAS home Printed from https://ideas.repec.org/r/nbr/nberwo/0563.html
   My bibliography  Save this item

Alternative Tests of Rational Expectations Models: The Case of the Term Structure

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Campbell, John Y & Shiller, Robert J, 1987. "Cointegration and Tests of Present Value Models," Journal of Political Economy, University of Chicago Press, vol. 95(5), pages 1062-1088, October.
  2. Cakici, Nusret & Zaremba, Adam, 2023. "Recency bias and the cross-section of international stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
  3. Dong, Yunhe & Luo, Haoyi & Xu, Zijin & Yang, Xing, 2024. "Cash, crisis, and capers: The UK's cashbox policy during COVID-19," Economics Letters, Elsevier, vol. 240(C).
  4. Alain Durré, 2006. "The Liquidity Premium in the Money Market: A Comparison of the German Mark Period and the Euro Area," German Economic Review, Verein für Socialpolitik, vol. 7(2), pages 163-187, May.
  5. Pornpinun Chantapacdepong, 2007. "Determinants of the time varying risk premia," Bristol Economics Discussion Papers 07/597, School of Economics, University of Bristol, UK.
  6. Jia, Boxiang & Shen, Dehua & Zhang, Wei, 2024. "Bitcoin market reactions to large price swings of international stock markets," International Review of Economics & Finance, Elsevier, vol. 90(C), pages 72-88.
  7. Mayfield, E. Scott & Murphy, Robert G., 1996. "Explaining the term structure of interest rates: A panel data approach," Journal of Economics and Business, Elsevier, vol. 48(1), pages 11-21, February.
  8. Roberta Muramatsu & Pedro Raffy Vartanian & Gabriel de Andrade Moraes, 2023. "A Behavioral Interpretation of Volatility Patterns in Brazilian Stock Market: Analysis of Pre and Post-COVID-19 Periods from 2019 to 2021," International Journal of Business and Management, Canadian Center of Science and Education, vol. 18(4), pages 1-24, August.
  9. Gerlach, Stefan, 1997. "The Information Content of the Term Structure: Evidence for Germany," Empirical Economics, Springer, vol. 22(2), pages 161-179.
  10. Stelios Bekiros & Christos Avdoulas, 2020. "Revisiting the Dynamic Linkages of Treasury Bond Yields for the BRICS: A Forecasting Analysis," Forecasting, MDPI, vol. 2(2), pages 1-28, May.
  11. Gilbert Colletaz, 1987. "Les taux d'intérêt observés sur le marché monétaire sont-ils trop volatils ?," Revue Économique, Programme National Persée, vol. 38(4), pages 837-852.
  12. Jie Wang & Biyu Peng & Xiaohua Xia & Zhu Ma, 2021. "Are Housing Prices Sustainable in 35 Large and Medium-Sized Chinese Cities? A Study Based on the Cheap Talk Game and Dynamic GMM," Sustainability, MDPI, vol. 13(22), pages 1-18, November.
  13. Carriero, Andrea & Favero, Carlo A. & Kaminska, Iryna, 2006. "Financial factors, macroeconomic information and the Expectations Theory of the term structure of interest rates," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 339-358.
  14. Muthucattu Thomas Paul, 2018. "The Issues and Implications About the Volatility of the Stock and the Bond Prices and Their Returns and the Volatility of Interest Rates and Inflation - Which Are Being Researched in Finance and Macro," Applied Economics and Finance, Redfame publishing, vol. 5(2), pages 125-142, March.
  15. repec:bla:germec:v:7:y:2006:i::p:163-187 is not listed on IDEAS
  16. Robert J. Shiller & John Y. Campbell & Kermit L. Schoenholtz, 1983. "Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 14(1), pages 173-224.
  17. Nadia Balemi & Roland Füss & Alois Weigand, 2021. "COVID-19’s impact on real estate markets: review and outlook," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(4), pages 495-513, December.
  18. Rob Bauer & Katrin Gödker & Paul Smeets & Florian Zimmermann, 2024. "Mental Models in Financial Markets: How Do Experts Reason about the Pricing of Climate Risk?," CESifo Working Paper Series 11149, CESifo.
  19. Lars Peter Hansen & Thomas J. Sargent, 1981. "Exact linear rational expectations models: specification and estimation," Staff Report 71, Federal Reserve Bank of Minneapolis.
  20. Prajwal Eachempati & Praveen Ranjan Srivastava, 2021. "Accounting for unadjusted news sentiment for asset pricing," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 13(3), pages 383-422, May.
  21. Durré, Alain & Evjen, Snorre & Pilegaard, Rasmus, 2003. "Estimating risk premia in money market rates," Working Paper Series 221, European Central Bank.
  22. Stefan Gerlach, 1996. "Monetary policy and the behaviour of interest rates: are long rates excessively volatile?," BIS Working Papers 34, Bank for International Settlements.
  23. Robert J. Shiller, 1985. "Conventional Valuation and the Term Structure of Interest Rates," NBER Working Papers 1610, National Bureau of Economic Research, Inc.
  24. Warren J. Tease, 1988. "The Expectations Theory of the Term Structure of Interest Rates in Australia," The Economic Record, The Economic Society of Australia, vol. 64(2), pages 120-127, June.
  25. David S. Jones & V. Vance Roley, 1982. "Rational Expectations, the Expectations Hypothesis, and Treasury Bill Yields: An Econometric Analysis," NBER Working Papers 0869, National Bureau of Economic Research, Inc.
  26. Schotman, Peter C., 2001. "When units roots matter: excess volatility and excess smoothness of long-term interest rates," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 669-694, December.
  27. Wang, Hailong & Hu, Duni, 2020. "Disagreement with procyclical beliefs and asset pricing," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  28. Mohamed Arbi Madani & Zied Ftiti, 2024. "Understanding Intraday Oil Price Dynamics during the COVID-19 Pandemic: New Evidence from Oil and Stock Investor Sentiments," The Energy Journal, , vol. 45(3), pages 57-86, May.
  29. Rob Bauer & Katrin Gödker & Paul Smeets & Florian Zimmermann, 2024. "Mental Models in Financial Markets: How Do Experts Reason About the Pricing of Climate Change?," CRC TR 224 Discussion Paper Series crctr224_2024_569, University of Bonn and University of Mannheim, Germany.
  30. Wang, Hailong & Hu, Duni, 2022. "Heterogenous beliefs with sentiments and asset pricing," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  31. 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.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.