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Citations for "New-Keynesian Macroeconomics and the Term Structure"

by Antonio Moreno & Geert Bekaert & Seonghoon Cho

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  1. Seonghoon Cho & Koen Inghelbrecht & Geert Bekaert & Antonio Moreno & Lieven Baele, 2011. "Macroeconomic Regimes," 2011 Meeting Papers 817, Society for Economic Dynamics.
  2. John Y. Campbell & Carolin Pflueger & Luis M. Viceira, 2014. "Monetary Policy Drivers of Bond and Equity Risks," NBER Working Papers 20070, National Bureau of Economic Research, Inc.
  3. repec:hal:journl:peer-00732517 is not listed on IDEAS
  4. P. Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-71, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  5. Takeshi Kimura & Kosuke Aoki, 2009. "Central Bank's Two-Way Communication with the Public and Inflation Dynamics," 2009 Meeting Papers 108, Society for Economic Dynamics.
  6. Gallmeyer, Michael F. & Hollifield, Burton & Zin, Stanley E., 2005. "Taylor rules, McCallum rules and the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 52(5), pages 921-950, July.
  7. Andrew Atkeson & Patrick J. Kehoe, 2008. "On the Need for a New Approach to Analyzing Monetary Policy," NBER Working Papers 14260, National Bureau of Economic Research, Inc.
  8. Joseph P. Byrne & Shuo Cao. & Dimitris Korobilis., 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," Working Papers 2015_08, Business School - Economics, University of Glasgow.
  9. André Kurmann & Christopher Otrok, 2012. "News shocks and the slope of the term structure of interest rates," Working Papers 2012-011, Federal Reserve Bank of St. Louis.
  10. Ramón María-Dolores & Jesús Vázquez, 2008. "Term structure and the estimated monetary policy rule in the Eurozone," Spanish Economic Review, Springer;Spanish Economic Association, vol. 10(4), pages 251-277, December.
  11. Bernd Hayo & Britta Niehof, 2013. "Studying International Spillovers in a New Keynesian Continuous Time Framework with Financial Markets," MAGKS Papers on Economics 201342, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  12. Smith, Josephine M. & Taylor, John B., 2009. "The term structure of policy rules," Journal of Monetary Economics, Elsevier, vol. 56(7), pages 907-917, October.
  13. Bekaert, Geert & Hoerova, Marie & Lo Duca, Marco, 2010. "Risk, Uncertainty and Monetary Policy," CEPR Discussion Papers 8154, C.E.P.R. Discussion Papers.
  14. Monika Piazzesi & Martin Schneider, 2006. "Equilibrium Yield Curves," NBER Working Papers 12609, National Bureau of Economic Research, Inc.
    • Monika Piazzesi & Martin Schneider, 2007. "Equilibrium Yield Curves," NBER Chapters, in: NBER Macroeconomics Annual 2006, Volume 21, pages 389-472 National Bureau of Economic Research, Inc.
  15. Cho, Seonghoon & Moreno, Antonio, 2006. "A Small-Sample Study of the New-Keynesian Macro Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(6), pages 1461-1481, September.
  16. Hans Dewachter & Leonardo Iania, 2010. "An Extended Macro-Finance Model with Financial Factors," CESifo Working Paper Series 2950, CESifo Group Munich.
  17. J. David Lopez-Salido & Francisco Vazquez-Grande & Pierlauro Lopez, 2015. "Macro-Finance Separation by Force of Habit," 2015 Meeting Papers 980, Society for Economic Dynamics.
  18. Edouard Challe & Chryssi Giannitsarou, 2012. "Stock Prices And Monetary Policy Shocks: A General Equilibrium Approach," Working Papers hal-00719956, HAL.
  19. Bikbov, Ruslan & Chernov, Mikhail, 2010. "No-arbitrage macroeconomic determinants of the yield curve," Journal of Econometrics, Elsevier, vol. 159(1), pages 166-182, November.
  20. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  21. Gürkaynak, Refet S. & Wright, Jonathan, 2010. "Macroeconomics and the Term Structure," CEPR Discussion Papers 8018, C.E.P.R. Discussion Papers.
  22. Carboni, Giacomo, 2014. "Term premia implications of macroeconomic regime changes," Working Paper Series 1694, European Central Bank.
  23. Doh, Taeyoung, 2011. "Yield curve in an estimated nonlinear macro model," Journal of Economic Dynamics and Control, Elsevier, vol. 35(8), pages 1229-1244, August.
  24. 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.
  25. Marcelo Ferman, 2011. "Switching Monetary Policy Regimes and the Nominal Term Structure," FMG Discussion Papers dp678, Financial Markets Group.
  26. 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.
  27. Mikhail Chernov & Ruslan Bikbov, 2009. "Monetary Policy Regimes and the Term Structure of Interest Rates," 2009 Meeting Papers 334, Society for Economic Dynamics.
  28. Martin Andreasen, 2011. "Online Appendix to "On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models"," Technical Appendices 11-84, Review of Economic Dynamics.
  29. Chadha, Jagjit S. & Holly, Sean, 2010. "Macroeconomic models and the yield curve: An assessment of the fit," Journal of Economic Dynamics and Control, Elsevier, vol. 34(8), pages 1343-1358, August.
  30. Pablo Aguilar & Jesús Vázquez, 2015. "The role of term structure in an estimated DSGE model with learning," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2015007, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  31. Lemke, Wolfgang, 2008. "An affine macro-finance term structure model for the euro area," The North American Journal of Economics and Finance, Elsevier, vol. 19(1), pages 41-69, March.
  32. Yu-chin Chen & Kwok Ping Tsang, 2011. "A Macro-Finance Approach to Exchange Rate Determination," Working Papers 012011, Hong Kong Institute for Monetary Research.
  33. René Garcia & Richard Luger, 2009. "Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates," CIRANO Working Papers 2009s-20, CIRANO.
  34. Jakas, Vicente, 2011. "Theory and empirics of an affine term structure model applied to European data," MPRA Paper 36029, University Library of Munich, Germany.
  35. Ravenna , Federico & Seppälä, Juha, 2007. "Monetary policy, expected inflation and inflation risk premia," Research Discussion Papers 18/2007, Bank of Finland.
  36. 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.
  37. Lieven Baele & Geert Bekaert & Koen Inghelbrecht, 2007. "The determinants of stock and bond return comovements," Working Paper Research 119, National Bank of Belgium.
  38. Andrew Ang & Sen Dong, 2005. "No-Arbitrage Taylor Rules," 2005 Meeting Papers 22, Society for Economic Dynamics.
  39. Ramón Maria-Dolores & Jesus Vazquez, 2006. "The relative importance of Term Spread, Policy Inertia and Persistent Monetary Policy Shocks in Monetary Policy Rules," Computing in Economics and Finance 2006 6, Society for Computational Economics.
  40. Ravenna, Federico & Seppälä, Juha, 2007. "Monetary policy, expected inflation and inflation risk premia," Research Discussion Papers 18/2007, Bank of Finland.
  41. Josué Fernando Cortés Espada & Manuel Ramos Francia, 2008. "An Affine Model of the Term Structure of Interest Rates in Mexico," Working Papers 2008-09, Banco de México.
  42. David K. Backus & Jonathan H. Wright, 2007. "Cracking the Conundrum," NBER Working Papers 13419, National Bureau of Economic Research, Inc.
  43. Zhu, Xiaoneng & Rahman, Shahidur, 2015. "A regime-switching Nelson–Siegel term structure model of the macroeconomy," Journal of Macroeconomics, Elsevier, vol. 44(C), pages 1-17.
  44. Mirko Abbritti & Luis A. Gil-Alana & Yuliya Lovcha & Antonio Moreno, 2016. "Term Structure Persistence," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 14(2), pages 331-352.
  45. David K. Backus & Jonathan H. Wright, 2007. "Cracking the Conundrum," Working Papers 07-21, New York University, Leonard N. Stern School of Business, Department of Economics.
  46. Li, Erica X.N. & Palomino, Francisco, 2014. "Nominal rigidities, asset returns, and monetary policy," Journal of Monetary Economics, Elsevier, vol. 66(C), pages 210-225.
  47. James D. Hamilton & Jing Cynthia Wu, 2012. "Identification and Estimation of Gaussian Affine Term Structure Models," NBER Working Papers 17772, National Bureau of Economic Research, Inc.
  48. Pami Dua & Nishita Raje, 2010. "Determinants of Weekly Yields on Government Securities in India," Working Papers id:2834, eSocialSciences.
  49. Athanasios Orphanides & Min Wei, 2010. "Evolving macroeconomic perceptions and the term structure of interest rates," Finance and Economics Discussion Series 2010-01, Board of Governors of the Federal Reserve System (U.S.).
  50. Hördahl, Peter & Tristani, Oreste & Vestin, David, 2004. "A joint econometric model of macroeconomic and term structure dynamics," Working Paper Series 0405, European Central Bank.
  51. René Garcia & Richard Luger, 2007. "The Canadian macroeconomy and the yield curve: an equilibrium-based approach," Canadian Journal of Economics, Canadian Economics Association, vol. 40(2), pages 561-583, May.
  52. Dewachter, Hans & Iania, Leonardo & Lyrio, Marco, 2011. "Information in the Yield Curve: A Macro-Finance Approach," Insper Working Papers wpe_230, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  53. 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.
  54. García, Juan Angel & Werner, Thomas, 2010. "Inflation risks and inflation risk premia," Working Paper Series 1162, European Central Bank.
  55. Felix Geiger, 2009. "International Interest-Rate Risk Premia in Affine Term Structure Models," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim 316/2009, Department of Economics, University of Hohenheim, Germany.
  56. Taeyoung Doh, 2007. "What does the yield curve tell us about the Federal Reserve's implicit inflation target?," Research Working Paper RWP 07-10, Federal Reserve Bank of Kansas City.
  57. Federico Ravenna & University of California & Juha Seppala & University of Illinois, 2006. "Monetary Policy and the Term Structure of Interest Rates," Computing in Economics and Finance 2006 197, Society for Computational Economics.
  58. 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.
  59. Josué Fernando Cortés Espada & Alberto Torres García & Manuel Ramos Francia, 2008. "An Empirical Analysis of the Mexican Term Structure of Interest Rates," Working Papers 2008-07, Banco de México.
  60. Yu-chin Chen & Kwok Ping Tsang, 2009. "What Does the Yield Curve Tell Us About Exchange Rate Predictability?," Working Papers e07-15, Virginia Polytechnic Institute and State University, Department of Economics.
  61. 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.
  62. Germán López-Espinosa & Antonio Moreno & Fernando Pérez de Gracia, 2011. "Banks Net Interest Margin in the 2000s: A Macro-Accounting International Perspective," Faculty Working Papers 11/11, School of Economics and Business Administration, University of Navarra.
  63. 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.
  64. Glenn D. Rudebusch & Eric T. Swanson, 2008. "Examining the bond premium puzzle with a DSGE model," Working Paper Series 2007-25, Federal Reserve Bank of San Francisco.
  65. Gil-Alana, Luis Alberiko & Moreno, Antonio, 2009. "Technology Shocks And Hours Worked: A Fractional Integration Perspective," Macroeconomic Dynamics, Cambridge University Press, vol. 13(05), pages 580-604, November.
  66. Bernd Hayo & Britta Niehof, 2014. "Analysis of Monetary Policy Responses After Financial Market Crises in a Continuous Time New Keynesian Model," MAGKS Papers on Economics 201421, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  67. M. Falagiarda & M. Marzo, 2012. "A DSGE model with Endogenous Term Structure," Working Papers wp830, Dipartimento Scienze Economiche, Universita' di Bologna.
  68. 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.
  69. Josephine M. Smith & John B. Taylor, 2007. "The Long and the Short End of the Term Structure of Policy Rules," NBER Working Papers 13635, National Bureau of Economic Research, Inc.
  70. Carboni, Giacomo & Ellison, Martin, 2011. "Inflation and output volatility under asymmetric incomplete information," Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 40-51, January.
  71. Ravenna , Federico & Seppälä , Juha, 2006. "Monetary policy and rejections of the expectations hypothesis," Research Discussion Papers 25/2006, Bank of Finland.
  72. Aoki, Kosuke & Kimura, Takeshi, 2007. "Uncertainty about perceived inflation target and monetary policy," Discussion Paper Series 1: Economic Studies 2007,18, Deutsche Bundesbank, Research Centre.
  73. Martin Møller Andreasen, 2008. "Explaining Macroeconomic and Term Structure Dynamics Jointly in a Non-linear DSGE Model," CREATES Research Papers 2008-43, Department of Economics and Business Economics, Aarhus University.
  74. Hibiki Ichiue, 2005. "How Do Monetary Policy Rules Affect Term Premia?," Bank of Japan Working Paper Series 05-E-14, Bank of Japan.
  75. Rodrigo Alfaro & Damián Romero, 2013. "A Note on Yield Spread and Output Growth," Working Papers Central Bank of Chile 700, Central Bank of Chile.
  76. Ang, Andrew & Bekaert, Geert & Wei, Min, 2007. "Do macro variables, asset markets, or surveys forecast inflation better?," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1163-1212, May.
  77. Gregory R. Duffee, 2012. "Bond pricing and the macroeconomy," Economics Working Paper Archive 598, The Johns Hopkins University,Department of Economics.
  78. Mirko Abbritti & Salvatore Dell'Erba & ​Antonio Moreno & Sergio Sola, 2014. "Global Factors in the Term Structure of Interest Rates," Faculty Working Papers 01/14, School of Economics and Business Administration, University of Navarra.
  79. Britta Niehof, 2014. "Spillover Effects in Government Bond Spreads: Evidence from a GVAR Model," MAGKS Papers on Economics 201458, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  80. Nimark, Kristoffer, 2008. "Monetary policy with signal extraction from the bond market," Journal of Monetary Economics, Elsevier, vol. 55(8), pages 1389-1400, November.
  81. Balfoussia, Hiona & Brissimis, Sophocles & Delis, Manthos D, 2011. "The theoretical framework of monetary policy revisited," MPRA Paper 32236, University Library of Munich, Germany.
  82. Zagaglia, Paolo, 2009. "Forecasting with a DSGE Model of the term Structure of Interest Rates: The Role of the Feedback," Research Papers in Economics 2009:14, Stockholm University, Department of Economics.
  83. Martin M. Andreasen, 2010. "How Non-Gaussian Shocks Affect Risk Premia in Non-Linear DSGE Models," CREATES Research Papers 2010-63, Department of Economics and Business Economics, Aarhus University.
  84. 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.
  85. Badarinza, Cristian & Margaritov, Emil, 2011. "News and policy foresight in a macro-finance model of the US," Working Paper Series 1313, European Central Bank.
  86. Lopez, Pier & Lopez-Salido, J. David & Vazquez-Grande, Francisco, 2015. "Nominal Rigidities and the Term Structures of Equity and Bond Returns," Finance and Economics Discussion Series 2015-64, Board of Governors of the Federal Reserve System (U.S.).
  87. Francisco Palomino, 2012. "Bond Risk Premiums and Optimal Monetary Policy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(1), pages 19-40, January.
  88. Paolo Zagaglia, 2011. "Forecasting Long-Term Interest Rates with a Dynamic General Equilibrium Model of the Euro Area: The Role of the Feedback," Working Paper Series 19_11, The Rimini Centre for Economic Analysis.
  89. Andreasen , Martin & Zabczyk, Pawel, 2011. "An efficient method of computing higher-order bond price perturbation approximations," Bank of England working papers 416, Bank of England.
  90. 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.
  91. Juselius, Mikael, 2008. "Cointegration implications of linear rational expectation models," Research Discussion Papers 6/2008, Bank of Finland.
  92. Jagjit Chadha & Sean Holly, 2006. "Macroeconomic Models and the Yield Curve," Computing in Economics and Finance 2006 105, Society for Computational Economics.
  93. Ravenna, Federico & Seppälä, Juha, 2006. "Monetary policy and rejections of the expectations hypothesis," Research Discussion Papers 25/2006, Bank of Finland.
  94. Michael F. Gallmeyer & Burton Hollifield & Francisco Palomino & Stanley E. Zin, 2007. "Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models," NBER Working Papers 13245, National Bureau of Economic Research, Inc.
  95. Tosapol Apaitan, 2015. "Extracting Market Inflation Expectations: A Semi-structural Macro-finance Term Structure Model," PIER Discussion Papers 4., Puey Ungphakorn Institute for Economic Research, revised Sep 2015.
  96. Gunnar BÃ¥rdsen & Luca Fanelli, 2015. "Frequentist Evaluation of Small DSGE Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 307-322, July.
  97. Glenn D. Rudebusch, 2010. "Macro-Finance Models Of Interest Rates And The Economy," Manchester School, University of Manchester, vol. 78(s1), pages 25-52, 09.
  98. Gregory H. Bauer & Antonio Diez de los Rios, 2012. "An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks," Staff Working Papers 12-5, Bank of Canada.
  99. Jun Yang, 2008. "Macroeconomic Determinants of the Term Structure of Corporate Spreads," Staff Working Papers 08-29, Bank of Canada.
  100. Hans Dewachter & Marco Lyrio, 2008. "Learning, Macroeconomic Dynamics and the Term Structure of Interest Rates," NBER Chapters, in: Asset Prices and Monetary Policy, pages 191-245 National Bureau of Economic Research, Inc.
  101. 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.
  102. Argyropoulos, Efthymios & Tzavalis, Elias, 2016. "Forecasting economic activity from yield curve factors," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 293-311.
  103. 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.
  104. Josué Fernando Cortés Espada & Manuel Ramos Francia, 2008. "A Macroeconomic Model of the Term Structure of Interest Rates in Mexico," Working Papers 2008-10, Banco de México.
  105. 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.
  106. Liuren Wu & Frank Xiaoling Zhang, 2008. "A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure," Management Science, INFORMS, vol. 54(6), pages 1160-1175, June.
  107. 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.
  108. Queijo von Heideken, Virginia, 2008. "Monetary Policy Regimes and the Volatility of Long-Term Interest Rates," Working Paper Series 220, Sveriges Riksbank (Central Bank of Sweden).
  109. Massimo Guidolin & Daniel L. Thornton, 2010. "Predictions of short-term rates and the expectations hypothesis," Working Papers 2010-013, Federal Reserve Bank of St. Louis.
  110. Martin Møller Andreasen, 2008. "Non-linear DSGE Models, The Central Difference Kalman Filter, and The Mean Shifted Particle Filter," CREATES Research Papers 2008-33, Department of Economics and Business Economics, Aarhus University.
  111. Balduzzi, Pierluigi, 2007. "Money and asset prices in a continuous-time Lucas and Stokey cash-in-advance economy," Journal of Economic Dynamics and Control, Elsevier, vol. 31(8), pages 2713-2743, August.
  112. 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.
  113. Mariano Kulish & Daniel Rees, 2008. "Monetary Transmission and the Yield Curve in a Small Open Economy," RBA Research Discussion Papers rdp2008-03, Reserve Bank of Australia.
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