A learning hypothesis of the term structure of interest rates
Author
Abstract
Suggested Citation
Note: Type of Document - pdf; pages: 42
Download full text from publisher
References listed on IDEAS
- Francis X. Diebold & Monika Piazzesi & Glenn D. Rudebusch, 2005.
"Modeling Bond Yields in Finance and Macroeconomics,"
American Economic Review, American Economic Association, vol. 95(2), pages 415-420, May.
- Francis X. Diebold & Monika Piazzesi & Glenn D. Rudebusch, 2005. "Modeling Bond Yields in Finance and Macroeconomics," PIER Working Paper Archive 05-008, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Francis X. Diebold & Monika Piazzesi & Glenn D. Rudebusch, 2005. "Modeling bond yields in finance and macroeconomics," Working Paper Series 2005-04, Federal Reserve Bank of San Francisco.
- Diebold, Francis X. & Piazzesi, Monica & Rudebusch, Glenn D., 2005. "Modeling bond yields in finance and macroeconomics," CFS Working Paper Series 2005/03, Center for Financial Studies (CFS).
- Francis X. Diebold & Monika Piazzesi & Glenn Rudebusch, 2005. "Modeling Bond Yields in Finance and Macroeconomics," NBER Working Papers 11089, National Bureau of Economic Research, Inc.
- Giordani, Paolo & Soderlind, Paul, 2003.
"Inflation forecast uncertainty,"
European Economic Review, Elsevier, vol. 47(6), pages 1037-1059, December.
- Giordani, Paolo & Soderlind, Paul, 2000. "Inflation Forecast Uncertainty," SSE/EFI Working Paper Series in Economics and Finance 384, Stockholm School of Economics, revised 06 Nov 2001.
- Söderlind, Paul, 2000. "Inflation Forecast Uncertainty," CEPR Discussion Papers 2499, C.E.P.R. Discussion Papers.
- Marianne Sensier & Dick van Dijk, 2004.
"Testing for Volatility Changes in U.S. Macroeconomic Time Series,"
The Review of Economics and Statistics, MIT Press, vol. 86(3), pages 833-839, August.
- M Sensier & D van Dijk, 2003. "Testing for Volatility Changes in US Macroeconomic Time Series," Centre for Growth and Business Cycle Research Discussion Paper Series 36, Economics, The University of Manchester.
- Oscar Jorda & Kevin Salyer, 2003.
"The Response of Term Rates to Monetary Policy Uncertainty,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 941-962, October.
- Oscar Jorda & Kevin Salyer, "undated". "The Response of Term Rates to Monetary Policy Uncertainty," Department of Economics 01-06, California Davis - Department of Economics.
- Kevin Salyer & Oscar Jorda, 2003. "The Response of Term Rates to Monetary Policy Uncertainty," Working Papers 274, University of California, Davis, Department of Economics.
- Orphanides, Athanasios & Wieland, Volker, 2000.
"Efficient Monetary Policy Design near Price Stability,"
Journal of the Japanese and International Economies, Elsevier, vol. 14(4), pages 327-365, December.
- Athanasios Orphanides & Volker W. Wieland, 1999. "Efficient monetary policy design near price stability," Finance and Economics Discussion Series 1999-67, Board of Governors of the Federal Reserve System (U.S.).
- Michael Dotsey & Christopher Otrok, 1995. "The rational expectations hypothesis of the term structure, monetary policy, and time-varying term premia," Economic Quarterly, Federal Reserve Bank of Richmond, issue Win, pages 65-81.
- Bengt Holmström & Jean Tirole, 2001.
"LAPM: A Liquidity‐Based Asset Pricing Model,"
Journal of Finance, American Finance Association, vol. 56(5), pages 1837-1867, October.
- Bengt Holmstrom & Jean Tirole, 1998. "LAPM: A Liquidity-based Asset Pricing Model," NBER Working Papers 6673, National Bureau of Economic Research, Inc.
- Bengt Holmstrom & Jean Tirole, 1998. "LAPM: A Liquidity Based Asset Pricing Model," Working papers 98-8, Massachusetts Institute of Technology (MIT), Department of Economics.
- Hansen, Lars Peter & Singleton, Kenneth J, 1983. "Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 249-265, April.
- Bullard, James & Mitra, Kaushik, 2002.
"Learning about monetary policy rules,"
Journal of Monetary Economics, Elsevier, vol. 49(6), pages 1105-1129, September.
- Kaushik Mitra & James Bullard, "undated". "Learning About Monetary Policy Rules," Discussion Papers 00/41, Department of Economics, University of York.
- James B. Bullard & Kaushik Mitra, 2002. "Learning about monetary policy rules," Working Papers 2000-001, Federal Reserve Bank of St. Louis.
- Allan W. Gregory & Graham M. Voss, 1991.
"The Term Structure of Interest Rates: Departures from Time-Separable Expected Utility,"
Canadian Journal of Economics, Canadian Economics Association, vol. 24(4), pages 923-939, November.
- Allan W. Gregory & Graham M. Voss, 1990. "The Term Structure of Interest Rates: Departures from Time-Separable Expected Utility," Working Paper 794, Economics Department, Queen's University.
- J. Huston McCulloch, 2000. "Long Forward and Zero-Coupon Rates Indeed Can Never Fall, but Are Indeterminate: A Comment on Dybvig, Ingersoll and Ross," Working Papers 00-12, Ohio State University, Department of Economics.
- Ang, Andrew & Bekaert, Geert, 2002. "Short rate nonlinearities and regime switches," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1243-1274, July.
- Bernanke, Ben S & Blinder, Alan S, 1992.
"The Federal Funds Rate and the Channels of Monetary Transmission,"
American Economic Review, American Economic Association, vol. 82(4), pages 901-921, September.
- Ben S. Bernanke & Alan S. Blinder, 1989. "The federal funds rate and the channels of monetary transmission," Working Papers 89-10, Federal Reserve Bank of Philadelphia.
- Ben Bernanke, 1990. "The Federal Funds Rate and the Channels of Monetary Transnission," NBER Working Papers 3487, National Bureau of Economic Research, Inc.
- Joon-Ho Hahm & Douglas G. Steigerwald, 1999. "Consumption Adjustment under Time-Varying Income Uncertainty," The Review of Economics and Statistics, MIT Press, vol. 81(1), pages 32-40, February.
- Tzavalis, Elias, 2004. "The term premium and the puzzles of the expectations hypothesis of the term structure," Economic Modelling, Elsevier, vol. 21(1), pages 73-93, January.
- John Y. Campbell & John H. Cochrane, 2000.
"Explaining the Poor Performance of Consumption‐based Asset Pricing Models,"
Journal of Finance, American Finance Association, vol. 55(6), pages 2863-2878, December.
- John Y. Campbell & John H. Cochrane, 1999. "Explaining the Poor Performance of Consumption-Based Asset Pricing Models," NBER Working Papers 7237, National Bureau of Economic Research, Inc.
- Campbell, John & Cochrane, John, 2000. "Explaining the Poor Performance of Consumption-Based Asset Pricing Models," Scholarly Articles 3163265, Harvard University Department of Economics.
- Favero, Carlo A. & Mosca, Federico, 2001.
"Uncertainty on monetary policy and the expectations model of the term structure of interest rates,"
Economics Letters, Elsevier, vol. 71(3), pages 369-375, June.
- Carlo A. Favero & Federico Mosca, "undated". "Uncertainty on Monetary Policy and the Expectations Model of the Term Structure of Interest Rates," Working Papers 179, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Favero, Carlo A. & Mosca, Federico, 2001. "Uncertainty on Monetary Policy and the Expectational Model of the Term Structure of Interest Rates," CEPR Discussion Papers 2748, C.E.P.R. Discussion Papers.
- Steigerwald, Doug, 1997.
"Consumption Adjustment under Changing Income Uncertainty,"
University of California at Santa Barbara, Economics Working Paper Series
qt5kp8k6xc, Department of Economics, UC Santa Barbara.
- Hahm, J.-H. & Steigerwald, D.G., 1998. "Consumption Adjustment under Changing Income Uncertainty," Papers 345, Australian National University - Department of Economics.
- Takatoshi Ito & Frederic S. Mishkin, 2006.
"Two Decades of Japanese Monetary Policy and the Deflation Problem,"
NBER Chapters, in: Monetary Policy with Very Low Inflation in the Pacific Rim, pages 131-1997,
National Bureau of Economic Research, Inc.
- Takatoshi Ito & Frederic S. Mishkin, 2004. "Two Decades of Japanese Monetary Policy and the Deflation Problem," NBER Working Papers 10878, National Bureau of Economic Research, Inc.
- Casey B. Mulligan, 2004. "Robust Aggregate Implications of Stochastic Discount Factor Volatility," NBER Working Papers 10210, National Bureau of Economic Research, Inc.
- Gil-Alana, Luis A., 2004. "Long memory in the U.S. interest rate," International Review of Financial Analysis, Elsevier, vol. 13(3), pages 265-276.
- John H. Cochrane & Monika Piazzesi, 2005.
"Bond Risk Premia,"
American Economic Review, American Economic Association, vol. 95(1), pages 138-160, March.
- John H. Cochrane & Monika Piazzesi, 2002. "Bond Risk Premia," NBER Working Papers 9178, National Bureau of Economic Research, Inc.
- Robert C. Merton & Zvi Bodie, 2005.
"Design Of Financial Systems: Towards A Synthesis Of Function And Structure,"
World Scientific Book Chapters, in: H Gifford Fong (ed.), The World Of Risk Management, chapter 1, pages 1-27,
World Scientific Publishing Co. Pte. Ltd..
- Robert C. Merton & Zvi Bodie, 2004. "The Design of Financial Systems: Towards a Synthesis of Function and Structure," NBER Working Papers 10620, National Bureau of Economic Research, Inc.
- McCallum, Bennett T & Nelson, Edward, 1999.
"An Optimizing IS-LM Specification for Monetary Policy and Business Cycle Analysis,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 31(3), pages 296-316, August.
- Bennett T. McCallum & Edward Nelson, "undated". "An Optimizing IS-LM Specification for Monetary Policy and Business Cycle Analysis," GSIA Working Papers 1997-71, Carnegie Mellon University, Tepper School of Business.
- Bennett T. McCallum & Edward Nelson, 1997. "An Optimizing IS-LM Specification for Monetary Policy and Business Cycle Analysis," NBER Working Papers 5875, National Bureau of Economic Research, Inc.
- Bams, Dennis & Wolff, Christian C. P., 2003.
"Risk premia in the term structure of interest rates: a panel data approach,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(3), pages 211-236, July.
- Bams, D. & Wolff, C., 1998. "Risk Premia in Term Structure of Interest Rates: A Panel Data Approach," Papers 98-50, Southern California - School of Business Administration.
- Wolff, Christian & Bams, Dennis, 2000. "Risk Premia In The Term Structure Of Interest Rates: A Panel Data Approach," CEPR Discussion Papers 2392, C.E.P.R. Discussion Papers.
- 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.
- Markku Lanne, 2003.
"Testing the Expectations Hypothesis of the Term Structure of Interest Rates in the Presence of a Potential Regime Shift,"
Manchester School, University of Manchester, vol. 71(s1), pages 54-67, September.
- Lanne, Markku, 1999. "Testing the expectations hypothesis of the term structure of interest rates in the presence of a potential regime shift," Bank of Finland Research Discussion Papers 20/1999, Bank of Finland.
- Markku Lanne, 2000. "Testing The Expectations Hypothesis Of The Term Structure Of Interest Rates In The Presence Of A Potential Regime Shift," Computing in Economics and Finance 2000 294, Society for Computational Economics.
- Ang, Andrew & Bekaert, Geert, 2002.
"Regime Switches in Interest Rates,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 163-182, April.
- Andrew Ang & Geert Bekaert, 1998. "Regime Switches in Interest Rates," NBER Working Papers 6508, National Bureau of Economic Research, Inc.
- Bekaert, Geert & Hodrick, Robert J. & Marshall, David A., 2001.
"Peso problem explanations for term structure anomalies,"
Journal of Monetary Economics, Elsevier, vol. 48(2), pages 241-270, October.
- Geert Bekaert & Robert J. Hodrick & David A. Marshall, 1997. ""Peso Problem" Explanations for Term Structure Anomalies," NBER Working Papers 6147, National Bureau of Economic Research, Inc.
- Geert Bekaert & Robert J. Hodrick & David A. Marshall, 1997. "\"Peso problem\" explanations for term structure anomalies," Working Paper Series, Issues in Financial Regulation WP-97-07, Federal Reserve Bank of Chicago.
- Romhanyi, Balazs, 2002. "Extending the McCallum monetary policy reaction function for more than two periods," Economics Letters, Elsevier, vol. 77(2), pages 227-232, October.
- Jeffrey C. Fuhrer, 1996. "Monetary Policy Shifts and Long-Term Interest Rates," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 111(4), pages 1183-1209.
- Rudebusch, Glenn D., 1995.
"Federal Reserve interest rate targeting, rational expectations, and the term structure,"
Journal of Monetary Economics, Elsevier, vol. 35(2), pages 245-274, April.
- Glenn D. Rudebusch, 1995. "Federal Reserve interest rate targeting, rational expectations, and the term structure," Working Papers in Applied Economic Theory 95-02, Federal Reserve Bank of San Francisco.
- Christiansen, Charlotte, 2003. "Testing the expectations hypothesis using long-maturity forward rates," Economics Letters, Elsevier, vol. 78(2), pages 175-180, February.
- Smets, Frank & Tsatsaronis, Kostas, 1997.
"Why Does the Yield Curve Predict Economic Activity? Dissecting the Evidence for Germany and the United States,"
CEPR Discussion Papers
1758, C.E.P.R. Discussion Papers.
- Kostas Tsatsaronis & Frank Smets, 1997. "Why does the yield curve predict economic activity? Dissecting the evidence for Germany and the United States," BIS Working Papers 49, Bank for International Settlements.
- Rudebusch, Glenn D., 2002.
"Term structure evidence on interest rate smoothing and monetary policy inertia,"
Journal of Monetary Economics, Elsevier, vol. 49(6), pages 1161-1187, September.
- Glenn D. Rudebusch, 2001. "Term structure evidence on interest rate smoothing and monetary policy inertia," Working Paper Series 2001-02, Federal Reserve Bank of San Francisco.
- Markku Lanne, 1999. "Near Unit Roots And The Predictive Power Of Yield Spreads For Changes In Long-Term Interest Rates," The Review of Economics and Statistics, MIT Press, vol. 81(3), pages 393-398, August.
- Söderlind, Paul & Söderström, Ulf & Vredin, Anders, 2003.
"Taylor Rules and the Predictability of Interest Rates,"
Working Paper Series
147, Sveriges Riksbank (Central Bank of Sweden).
- Vredin, Anders & Söderlind, Paul & Söderström, Ulf, 2003. "Taylor Rules and the Predictability of Interest Rates," CEPR Discussion Papers 3934, C.E.P.R. Discussion Papers.
- Ang, Andrew & Piazzesi, Monika, 2003.
"A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables,"
Journal of Monetary Economics, Elsevier, vol. 50(4), pages 745-787, May.
- Andrew Ang & Monika Piazzesi, 2001. "A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables," NBER Working Papers 8363, National Bureau of Economic Research, Inc.
- Hsu, Chiente & Kugler, Peter, 1997. "The Revival of the Expectations Hypothesis of the US Term Structure of Interest Rates," Economics Letters, Elsevier, vol. 55(1), pages 115-120, August.
- John Y. Campbell & Robert J. Shiller, 1991.
"Yield Spreads and Interest Rate Movements: A Bird's Eye View,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(3), pages 495-514.
- John Y. Campbell & Robert J. Shiller, 1989. "Yield Spreads and Interest Rate Movements: A Bird's Eye View," NBER Working Papers 3153, National Bureau of Economic Research, Inc.
- Shiller, Robert & Campbell, John, 1991. "Yield Spreads and Interest Rate Movements: A Bird's Eye View," Scholarly Articles 3221490, Harvard University Department of Economics.
- J. Huston McCulloch, 2001. "The Inflation Premium implicit in the US Real and Nominal," Computing in Economics and Finance 2001 210, Society for Computational Economics.
- Foster, Dean P & Nelson, Daniel B, 1996.
"Continuous Record Asymptotics for Rolling Sample Variance Estimators,"
Econometrica, Econometric Society, vol. 64(1), pages 139-174, January.
- Dean P. Foster & Daniel B. Nelson, 1994. "Continuous Record Asymptotics for Rolling Sample Variance Estimators," NBER Technical Working Papers 0163, National Bureau of Economic Research, Inc.
- Evans, Martin D. D. & Lewis, Karen K., 1994.
"Do stationary risk premia explain it all?: Evidence from the term structure,"
Journal of Monetary Economics, Elsevier, vol. 33(2), pages 285-318, April.
- Martin D. Evans & Karen K. Lewis, 1992. "Do Stationary Risk Premia Explain It All? Evidence from the Term Structure," Working Papers 92-11, New York University, Leonard N. Stern School of Business, Department of Economics.
- Pierre Collin-Dufresne & Christopher S. Jones & Robert S. Goldstein, 2004. "Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility," NBER Working Papers 10756, National Bureau of Economic Research, Inc.
- Glenn D. Rudebusch & Tao Wu, 2004.
"The recent shift in term structure behavior from a no-arbitrage macro-finance perspective,"
Working Paper Series
2004-25, Federal Reserve Bank of San Francisco.
- Tao Wu & Glenn Rudebusch, 2005. "The Recent Shift in Term Structure Behavior from a No-Arbitrage Macro-Finance Perspective," Computing in Economics and Finance 2005 3, Society for Computational Economics.
- Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-489, October.
- Dybvig, Philip H & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1996.
"Long Forward and Zero-Coupon Rates Can Never Fall,"
The Journal of Business, University of Chicago Press, vol. 69(1), pages 1-25, January.
- Jonathan E. Ingersoll Jr. & Philip H. Dybvig & Stephen A. Ross, 1998. "Long Forward and Zero-Coupon Rates Can Never Fall," Yale School of Management Working Papers ysm45, Yale School of Management.
- repec:zbw:bofrdp:1999_020 is not listed on IDEAS
- repec:bla:manchs:v:71:y:2003:i:supplement:p:54-67 is not listed on IDEAS
- Taylor, John B., 1993. "Discretion versus policy rules in practice," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 39(1), pages 195-214, December.
- Engsted, Tom & Tanggaard, Carsten, 1994. "Cointegration and the US term structure," Journal of Banking & Finance, Elsevier, vol. 18(1), pages 167-181, January.
- Sebastian Schich, 2000. "What the Yield Curves say About Inflation: Does it Change Over Time?," OECD Economics Department Working Papers 227, OECD Publishing.
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.- Guidolin, Massimo & Thornton, Daniel L., 2018.
"Predictions of short-term rates and the expectations hypothesis,"
International Journal of Forecasting, Elsevier, vol. 34(4), pages 636-664.
- 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.
- Zeno Rotondi, 2006. "The Macroeconomy and the Yield Curve: A Review of the Literature with Some New Evidence," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 65(2), pages 193-224, November.
- Glenn D. Rudebusch & Tao Wu, 2004.
"The recent shift in term structure behavior from a no-arbitrage macro-finance perspective,"
Working Paper Series
2004-25, Federal Reserve Bank of San Francisco.
- Tao Wu & Glenn Rudebusch, 2005. "The Recent Shift in Term Structure Behavior from a No-Arbitrage Macro-Finance Perspective," Computing in Economics and Finance 2005 3, Society for Computational Economics.
- Ang, Andrew & Piazzesi, Monika & Wei, Min, 2006.
"What does the yield curve tell us about GDP growth?,"
Journal of Econometrics, Elsevier, vol. 131(1-2), pages 359-403.
- Andrew Ang & Monika Piazzesi & Min Wei, 2003. "What does the yield curve tell us about GDP growth?," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Andrew Ang & Monika Piazzesi & Min Wei, 2004. "What Does the Yield Curve Tell us about GDP Growth?," NBER Working Papers 10672, National Bureau of Economic Research, Inc.
- Glenn D. Rudebusch & Tao Wu, 2008.
"A Macro‐Finance Model of the Term Structure, Monetary Policy and the Economy,"
Economic Journal, Royal Economic Society, vol. 118(530), pages 906-926, July.
- Glenn D. Rudebusch & Tao Wu, 2004. "A macro-finance model of the term structure, monetary policy, and the economy," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- GlennD. Rudebusch & Tao Wu, 2008. "A Macro-Finance Model of the Term Structure, Monetary Policy and the Economy," Economic Journal, Royal Economic Society, vol. 118(530), pages 906-926, July.
- Glenn D. Rudebusch & Tao Wu, 2003. "A macro-finance model of the term structure, monetary policy, and the economy," Working Paper Series 2003-17, Federal Reserve Bank of San Francisco.
- Tao Wu & Glenn Rudebusch, 2004. "A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economy," 2004 Meeting Papers 104, Society for Economic Dynamics.
- Guidolin, Massimo & Timmermann, Allan, 2009.
"Forecasts of US short-term interest rates: A flexible forecast combination approach,"
Journal of Econometrics, Elsevier, vol. 150(2), pages 297-311, June.
- Timmermann, Allan & Guidolin, Massimo, 2007. "Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach," CEPR Discussion Papers 6188, C.E.P.R. Discussion Papers.
- Massimo Guidolin & Allan Timmerman, 2007. "Forecasts of U.S. short-term interest rates: a flexible forecast combination approach," Working Papers 2005-059, Federal Reserve Bank of St. Louis.
- Luis Ceballos & Alberto Naudon & Damián Romero, 2016.
"Nominal term structure and term premia: evidence from Chile,"
Applied Economics, Taylor & Francis Journals, vol. 48(29), pages 2721-2735, June.
- Ceballos, Luis & Naudon, Alberto & Romero, Damian, 2014. "Nominal Term Structure and Term Premia. Evidence from Chile," MPRA Paper 60911, University Library of Munich, Germany.
- Luis Ceballos & Alberto Naudon & Damián Romero, 2015. "Nominal Term Structure and Term Premia: Evidence from Chile," Working Papers Central Bank of Chile 752, Central Bank of Chile.
- Hibiki Ichiue, 2004.
"Why Can the Yield Curve Predict Output Growth, Inflation, and Interest Rates? An Analysis with an Affine Term Structure Model,"
Bank of Japan Working Paper Series
04-E-11, Bank of Japan.
- Hibiki Ichiue, 2004. "Why Can the Yield Curve Predict Output Growth, Inflation, and Interest Rates? An Analysis with Affine Term Structure Model," Econometric Society 2004 Far Eastern Meetings 581, Econometric Society.
- Kozicki, Sharon & Tinsley, P.A., 2005.
"What do you expect? Imperfect policy credibility and tests of the expectations hypothesis,"
Journal of Monetary Economics, Elsevier, vol. 52(2), pages 421-447, March.
- Sharon Kozicki & Peter A. Tinsley, 2001. "What do you expect? : imperfect policy credibility and tests of the expectations hypothesis?," Research Working Paper RWP 01-02, Federal Reserve Bank of Kansas City.
- Ono, Sadayuki, 2019. "Term structure dynamics in a monetary economy with learning," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 730-745.
- Glenn D. Rudebusch, 2010.
"Macro‐Finance Models Of Interest Rates And The Economy,"
Manchester School, University of Manchester, vol. 78(s1), pages 25-52, September.
- Glenn D. Rudebusch, 2010. "Macro-finance models of interest rates and the economy," Working Paper Series 2010-01, Federal Reserve Bank of San Francisco.
- M. Isabel Martínez-Serna & Eliseo Navarro-Arribas, 2002. "El modelo de McCallum. Evidencia empírica en la estructura temporal de los tipos de interés española," Investigaciones Economicas, Fundación SEPI, vol. 26(2), pages 323-357, May.
- Huse, Cristian, 2011. "Term structure modelling with observable state variables," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3240-3252.
- Glenn D. Rudebusch & Eric T. Swanson & Tao Wu, 2006.
"The Bond Yield "Conundrum" from a Macro-Finance Perspective,"
Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 24(S1), pages 83-109, December.
- Glenn D. Rudebusch & Eric T. Swanson & Tao Wu, 2006. "The bond yield \"conundrum\" from a macro-finance perspective," Working Paper Series 2006-16, Federal Reserve Bank of San Francisco.
- repec:hal:spmain:info:hdl:2441/5221 is not listed on IDEAS
- John Driffill & Zeno Rotondi, 2007.
"Inertia in Taylor Rules,"
Birkbeck Working Papers in Economics and Finance
0720, Birkbeck, Department of Economics, Mathematics & Statistics.
- John Driffill & Zeno Rotondi, 2007. "Inertia in Taylor Rules," WEF Working Papers 0032, ESRC World Economy and Finance Research Programme, Birkbeck, University of London.
- Driffill, John & Rotondi, Zeno, 2007. "Inertia in Taylor Rules," CEPR Discussion Papers 6570, C.E.P.R. Discussion Papers.
- Sarno, Lucio & Thornton, Daniel L., 2003.
"The dynamic relationship between the federal funds rate and the Treasury bill rate: An empirical investigation,"
Journal of Banking & Finance, Elsevier, vol. 27(6), pages 1079-1110, June.
- Sarno, Lucio & Thornton, Daniel L, 2002. "The Dynamic Relationship Between the Federal Funds rate and the Treasury Bill Rate: An Empirical Investigation," CEPR Discussion Papers 3225, C.E.P.R. Discussion Papers.
- Lucio Sarno & Daniel L. Thornton, 2002. "The dynamic relationship between the federal funds rate and the Treasury bill rate: an empirical investigation," Working Papers 2000-032, Federal Reserve Bank of St. Louis.
- Doshi, Hitesh & Jacobs, Kris & Liu, Rui, 2018. "Macroeconomic determinants of the term structure: Long-run and short-run dynamics," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 99-122.
- Dick, Christian D. & Schmeling, Maik & Schrimpf, Andreas, 2013.
"Macro-expectations, aggregate uncertainty, and expected term premia,"
European Economic Review, Elsevier, vol. 58(C), pages 58-80.
- Christian D. Dick & Maik Schmeling & Andreas Schrimpf, 2010. "Macro Expectations, Aggregate Uncertainty, and Expected Term Premia," CREATES Research Papers 2010-49, Department of Economics and Business Economics, Aarhus University.
- Dick, Christian D. & Schmeling, Maik & Schrimpf, Andreas, 2010. "Macro expectations, aggregate uncertainty, and expected term premia," ZEW Discussion Papers 10-064, ZEW - Leibniz Centre for European Economic Research.
- Till Strohsal & Enzo Weber, 2014.
"Mean-variance cointegration and the expectations hypothesis,"
Quantitative Finance, Taylor & Francis Journals, vol. 14(11), pages 1983-1997, November.
- Strohsal, Till & Weber, Enzo, 2010. "Mean-Variance Cointegration and the Expectations Hypothesis," University of Regensburg Working Papers in Business, Economics and Management Information Systems 442, University of Regensburg, Department of Economics.
- Strohsal, Till & Weber, Enzo, 2011. "Mean-variance cointegration and the expectations hypothesis," SFB 649 Discussion Papers 2011-007, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- repec:spo:wpmain:info:hdl:2441/5221 is not listed on IDEAS
- Glenn D. Rudebusch & Tao Wu, 2007.
"Accounting for a Shift in Term Structure Behavior with No-Arbitrage and Macro-Finance Models,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2-3), pages 395-422, March.
- Glenn D. Rudebusch & Tao Wu, 2007. "Accounting for a Shift in Term Structure Behavior with No‐Arbitrage and Macro‐Finance Models," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2‐3), pages 395-422, March.
More about this item
Keywords
term structure; interest rate; learning; uncertainty; monetary policy;All these keywords.
JEL classification:
- D8 - Microeconomics - - Information, Knowledge, and Uncertainty
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
- E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2005-04-16 (Central Banking)
- NEP-FIN-2005-04-16 (Finance)
- NEP-MAC-2005-04-16 (Macroeconomics)
- NEP-MON-2005-04-16 (Monetary Economics)
Statistics
Access and download statisticsCorrections
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:wpa:wuwpma:0503001. 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: EconWPA The email address of this maintainer does not seem to be valid anymore. Please ask EconWPA to update the entry or send us the correct address (email available below). General contact details of provider: https://econwpa.ub.uni-muenchen.de .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.