Expectations in the Term Structure of Interest Rates
In: Economic Forecasts and Expectations: Analysis of Forecasting Behavior and Performance
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- J. M. Culbertson, 1957. "The Term Structure of Interest Rates," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 71(4), pages 485-517.
- John H. Wood, 1963. "Expectations, Errors, and the Term Structure of Interest Rates," Journal of Political Economy, University of Chicago Press, vol. 71(2), pages 160-160.
- David Durand, 1942. "Basic Yields of Corporate Bonds, 1900-1942," NBER Chapters, in: Basic Yields of Corporate Bonds, 1900-1942, pages 1-40, National Bureau of Economic Research, Inc.
- David Durand, 1942. "Basic Yields of Corporate Bonds, 1900-1942," NBER Books, National Bureau of Economic Research, Inc, number dura42-1.
- J. Tobin, 1958.
"Liquidity Preference as Behavior Towards Risk,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 25(2), pages 65-86.
- James Tobin, 1956. "Liquidity Preference as Behavior Towards Risk," Cowles Foundation Discussion Papers 14, Cowles Foundation for Research in Economics, Yale University.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Shiller, Robert J. & Huston McCulloch, J., 1990.
"The term structure of interest rates,"
Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 13, pages 627-722,
Elsevier.
- Robert J. Shiller & J. Huston McCulloch, 1987. "The Term Structure of Interest Rates," NBER Working Papers 2341, National Bureau of Economic Research, Inc.
- Shiller, Robert J., 1978.
"Rational expectations and the dynamic structure of macroeconomic models : A critical review,"
Journal of Monetary Economics, Elsevier, vol. 4(1), pages 1-44, January.
- Robert J. Shiller, 1975. "Rational Expectations and the Dynamic Structure of Macroeconomic Models:A Critical Review," NBER Working Papers 0093, National Bureau of Economic Research, Inc.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Shiller, Robert J. & Huston McCulloch, J., 1990.
"The term structure of interest rates,"
Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 13, pages 627-722,
Elsevier.
- Robert J. Shiller & J. Huston McCulloch, 1987. "The Term Structure of Interest Rates," NBER Working Papers 2341, National Bureau of Economic Research, Inc.
- John Lintner, 1972. "Finance and Capital Markets," NBER Chapters, in: Economic Research. Retrospect and Prospect: Finance and Capital Markets, Fiftieth Anniversary Colloquium II, pages 1-53, National Bureau of Economic Research, Inc.
- Emma Berenguer-Carceles & Ricardo Gimeno & Juan M. Nave, 2012. "Estimation of the Term Structure of Interest Rates: Methodology and Applications," Working Papers 12.06, Universidad Pablo de Olavide, Department of Financial Economics and Accounting (former Department of Business Administration).
- Mariusz Czekala & Zbigniew Kurylek, 2021. "Inversions Distribution and Testing Correlation Changes for Rates of Return," European Research Studies Journal, European Research Studies Journal, vol. 0(3B), pages 633-650.
- repec:hal:spmain:info:hdl:2441/5221 is not listed on IDEAS
- Wilson, Jack W. & Jones, Charles P., 1988. "Returns On Stocks, Bonds, And Commercial Paper: Long-Term Construction, Analysis, And Comparisons," Department of Economics and Business - Archive 259430, North Carolina State University, Department of Economics.
- Arya Sasongko & Ali Sakti, 2020. "Sovereign Green Sukuk: Environmental Risk Model Development," Working Papers WP/02/2020, Bank Indonesia.
- Alexander Bogin & William Doerner, 2014.
"Generating historically-based stress scenarios using parsimonious factorization,"
Journal of Risk Finance, Emerald Group Publishing Limited, vol. 15(5), pages 591-611, November.
- Alexander N. Bogin & William M. Doerner, 2013. "Generating Historically-Based Stress Scenarios Using Parsimonious Factorization," FHFA Staff Working Papers 13-02, Federal Housing Finance Agency, revised Aug 2014.
- Esposito, Francesco Paolo, 2011. "Credit risk tools, (numerical methods for finance, university of Limerick 2011)," MPRA Paper 40081, University Library of Munich, Germany.
- Dimitri Vayanos & Jean‐Luc Vila, 2021.
"A Preferred‐Habitat Model of the Term Structure of Interest Rates,"
Econometrica, Econometric Society, vol. 89(1), pages 77-112, January.
- Vayanos, Dimitri & ,, 2009. "A Preferred-Habitat Model of the Term Structure of Interest Rates," CEPR Discussion Papers 7547, C.E.P.R. Discussion Papers.
- Dimitri Vayanos & Jean-Luc Vila, 2009. "A Preferred-Habitat Model of the Term Structure of Interest Rates," NBER Working Papers 15487, National Bureau of Economic Research, Inc.
- Jean-Luc Vila & Dimitri Vayanos, 2009. "A Preferred-Habitat Model of the Term Structure of Interest Rates," FMG Discussion Papers dp641, Financial Markets Group.
- Vayanos, Dimitri & Vila, Jean-Luc, 2009. "A preferred-habitat model of the term structure of interest rates," LSE Research Online Documents on Economics 29308, London School of Economics and Political Science, LSE Library.
- Vayanos, Dimitri & Vila, Jean-Luc, 2021. "A preferred-habitat model of the term structure of interest rates," LSE Research Online Documents on Economics 106509, London School of Economics and Political Science, LSE Library.
- repec:spo:wpmain:info:hdl:2441/5221 is not listed on IDEAS
- Melino, Angelo, 1988.
"The Term Structure of Interest Rates: Evidence and Theory,"
Journal of Economic Surveys, Wiley Blackwell, vol. 2(4), pages 335-366.
- Angelo Melino, 1986. "The Term Structure of Interest Rates: Evidence and Theory," NBER Working Papers 1828, National Bureau of Economic Research, Inc.
- Aryo Sasongko & Cynthia Afriani Utama & Buddi Wibowo & Zaäfri Ananto Husodo, 2019. "Modifying Hybrid Optimisation Algorithms to Construct Spot Term Structure of Interest Rates and Proposing a Standardised Assessment," Computational Economics, Springer;Society for Computational Economics, vol. 54(3), pages 957-1003, October.
- Janet L. Yellen, 2011. "Unconventional monetary policy and central bank communications : a speech at the University of Chicago Booth School of Business U.S. Monetary Policy Forum, New York, New York, February 25, 2011," Speech 604, Board of Governors of the Federal Reserve System (U.S.).
- Das, Rituparna, 2010. "Indian G-Sec Market II: Anatomy of Short Rates," MPRA Paper 27553, University Library of Munich, Germany.
- Andre d'Almeida Monteiro, 2010. "Estimating Interest Rate Curves by Support Vector Regression," Econometric Reviews, Taylor & Francis Journals, vol. 29(5-6), pages 717-753.
- 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.
- repec:fip:fedgsq:y:2011:i:feb25 is not listed on IDEAS
- Miles Livingston, 1987. "Flattening Of Bond Yield Curves," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(1), pages 17-24, March.
- Ben Hunt, 1995. "Fitting Parsimonious Yield Curve Models to Australian Coupon Bond Data," Working Paper Series 51, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Rand Kwong Yew Low, 2018. "Vine copulas: modelling systemic risk and enhancing higher‐moment portfolio optimisation," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 423-463, November.
- Alan J. Auerbach, 1981. "Evaluating the Taxation of Risky Assets," NBER Working Papers 0806, National Bureau of Economic Research, Inc.
- Hong, Claire Yurong & Lu, Xiaomeng & Pan, Jun, 2021. "FinTech adoption and household risk-taking," BOFIT Discussion Papers 14/2021, Bank of Finland Institute for Emerging Economies (BOFIT).
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nbr:nberch:1217. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/nberrus.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.