Expectations and Equilibrium in High-Grade Australian Bond Markets
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DOI: 10.1142/S0219091505000543
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References listed on IDEAS
- Benjamin H Cohen, 1999. "Monetary Policy Procedures and Volatility Transmission along the Yield Curve," CGFS Papers chapters, in: Bank for International Settlements (ed.), Market Liquidity: Research Findings and Selected Policy Implications, volume 11, pages 1-22, Bank for International Settlements.
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Cited by:
- Valentina Galvani & Stuart Landon, 2013.
"Riding the yield curve: a spanning analysis,"
Review of Quantitative Finance and Accounting, Springer, vol. 40(1), pages 135-154, January.
- Galvani, Valentina & Landon, Stuart, 2011. "Riding the Yield Curve: A Spanning Analysis," Working Papers 2011-19, University of Alberta, Department of Economics.
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More about this item
Keywords
Long-run relationship; expectations hypothesis; Australian dollar Eurobonds; Canonical Cointegrating Regression; GARCH; JEL Classification: G10; JEL Classification: G15; JEL Classification: C22;All these keywords.
JEL classification:
- G1 - Financial Economics - - General Financial Markets
- G2 - Financial Economics - - Financial Institutions and Services
- G3 - Financial Economics - - Corporate Finance and Governance
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