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Models of the term structure of interest rates

Author

Listed:
  • John Y. Campbell
  • Andrew W. Lo
  • A. Craig MacKinlay

Abstract

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Suggested Citation

  • John Y. Campbell & Andrew W. Lo & A. Craig MacKinlay, 1994. "Models of the term structure of interest rates," Working Papers 94-10, Federal Reserve Bank of Philadelphia.
    • Handle: RePEc:fip:fedpwp:94-10
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    Citations

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    Cited by:

    1. Gong, Fangxiong & Remolona, Eli M, 1997. "Two Factors along the Yield Curve," The Manchester School of Economic & Social Studies, University of Manchester, vol. 65(0), pages 1-31, Supplemen.
    2. John Y. Campbell & John Cochrane, 1999. "Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," Journal of Political Economy, University of Chicago Press, vol. 107(2), pages 205-251, April.
    3. Joseph Dziwura & Irene Pedraza & Eli M. Remolona, 1995. "The short end of the forward convergence curve and asymmetric cat's tail convergence," Research Paper 9523, Federal Reserve Bank of New York.
    4. Sharon Kozicki & Peter A. Tinsley, "undated". "Moving Endpoints in Macrofinance," Computing in Economics and Finance 1996 _058, Society for Computational Economics.
    5. Elias Soukiazis & Pedro André Cerqueira & Micaela Antunes, 2015. "Causes of the decline of economic growth in Italy with special reference to the post-euro period: a balance-of-payments approach," Review of Keynesian Economics, Edward Elgar Publishing, vol. 3(4), pages 491—516-4, October.

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    Keywords

    Interest rates;

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