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A Model of Target Changes and the Term Structure of Interest Rates
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Cited by:
- Nikolay Nenovsky & Petar Chobanov, 2004. "Dynamics of the Inter-Bank Market in Bulgaria," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 32-52.
- Michael Bauer & Mikhail Chernov, 2024.
"Interest Rate Skewness and Biased Beliefs,"
Journal of Finance, American Finance Association, vol. 79(1), pages 173-217, February.
- Bauer, Michael & Chernov, Mikhail, 2021. "Interest rate skewness and biased beliefs," IMFS Working Paper Series 163, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Chernov, Mikhail & Bauer, Michael, 2021. "Interest Rate Skewness and Biased Beliefs," CEPR Discussion Papers 16274, C.E.P.R. Discussion Papers.
- Michael D. Bauer & Mikhail Chernov, 2021. "Interest Rate Skewness and Biased Beliefs," CESifo Working Paper Series 9150, CESifo.
- Michael D. Bauer & Mikhail Chernov, 2021. "Interest Rate Skewness and Biased Beliefs," NBER Working Papers 28954, National Bureau of Economic Research, Inc.
- Paulo Maio, 2014. "Another Look at the Stock Return Response to Monetary Policy Actions," Review of Finance, European Finance Association, vol. 18(1), pages 321-371.
- Daniel L. Thornton, 2004.
"Testing the expectations hypothesis: some new evidence for Japan,"
Review, Federal Reserve Bank of St. Louis, vol. 86(Sep), pages 21-40.
- Thornton, Daniel-L, 2004. "Testing the Expectations Hypothesis: Some New Evidence for Japan," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 22(2), pages 45-69, May.
- Daniel L. Thornton, 2003. "Testing the expectations hypothesis: some new evidence for Japan," Working Papers 2003-033, Federal Reserve Bank of St. Louis.
- Gruener Hans Peter & Hayo Bernd & Hefeker Carsten, 2009.
"Unions, Wage Setting and Monetary Policy Uncertainty,"
The B.E. Journal of Macroeconomics, De Gruyter, vol. 9(1), pages 1-25, October.
- Grüner, Hans Peter & Hayo, Bernd & Hefeker, Carsten, 2005. "Unions, wage setting and monetary policy uncertainty," Working Paper Series 490, European Central Bank.
- Hamilton, James D, 1996. "The Daily Market for Federal Funds," Journal of Political Economy, University of Chicago Press, vol. 104(1), pages 26-56, February.
- 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.
- John Y. Campbell, 2000.
"Asset Pricing at the Millennium,"
Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, August.
- John Y. Campbell, 2000. "Asset Pricing at the Millennium," Harvard Institute of Economic Research Working Papers 1897, Harvard - Institute of Economic Research.
- Campbell, John, 2000. "Asset Pricing at the Millennium," Scholarly Articles 3294737, Harvard University Department of Economics.
- John Y. Campbell, 2000. "Asset Pricing at the Millennium," NBER Working Papers 7589, National Bureau of Economic Research, Inc.
- repec:zbw:bofrdp:1999_020 is not listed on IDEAS
- Benito, Francis & Leon, Angel & Nave, Juan, 2007. "Modeling the Euro overnight rate," Journal of Empirical Finance, Elsevier, vol. 14(5), pages 756-782, December.
- Soderlind, Paul & Svensson, Lars, 1997.
"New techniques to extract market expectations from financial instruments,"
Journal of Monetary Economics, Elsevier, vol. 40(2), pages 383-429, October.
- Soderlind, P & Svensson, L-E-O, 1996. "New Techniques to Extract Market Expectations from Financial Instruments," Papers 621, Stockholm - International Economic Studies.
- Söderlind, Paul & Svensson, Lars E.O., 1996. "New Techniques to Extract Market expectations from Financial Instruments," SSE/EFI Working Paper Series in Economics and Finance 142, Stockholm School of Economics.
- Söderlind, Paul & Svensson, Lars E O, 1997. "New Techniques to Extract Market Expectations from Financial Instruments," CEPR Discussion Papers 1556, C.E.P.R. Discussion Papers.
- Paul Soderlind & Lars E. O. Svensson, 1997. "New Techniques to Extract Market Expectations from Financial Instruments," NBER Working Papers 5877, National Bureau of Economic Research, Inc.
- Söderlind, Paul & Svensson, Lars E.O., 1997. "New Techniques to Extract Market Expectations from Financial Instruments," Seminar Papers 621, Stockholm University, Institute for International Economic Studies.
- Yarovaya, Larisa & Matkovskyy, Roman & Jalan, Akanksha, 2022.
"The COVID-19 black swan crisis: Reaction and recovery of various financial markets,"
Research in International Business and Finance, Elsevier, vol. 59(C).
- Larisa Yarovaya & Roman Matkovskyy & Akanksha Jalan, 2022. "The COVID-19 black swan crisis: Reaction and recovery of various financial markets," Post-Print hal-03417247, HAL.
- Thornton, Daniel L., 2006.
"Tests of the Expectations Hypothesis: Resolving the Campbell-Shiller Paradox,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(2), pages 511-542, March.
- Daniel L. Thornton, 2004. "Tests of the expectations hypothesis: resolving the Campbell-Shiller paradox," Working Papers 2003-022, Federal Reserve Bank of St. Louis.
- Downing, Chris & Oliner, Stephen, 2007.
"The term structure of commercial paper rates,"
Journal of Financial Economics, Elsevier, vol. 83(1), pages 59-86, January.
- Chris Downing & Stephen D. Oliner, 2004. "The term structure of commercial paper rates," Finance and Economics Discussion Series 2004-18, Board of Governors of the Federal Reserve System (U.S.).
- Peter Ritchken & Iyuan Chuang, 2000. "Interest rate option pricing with volatility humps," Review of Derivatives Research, Springer, vol. 3(3), pages 237-262, October.
- repec:bla:germec:v:4:y:2003:i::p:433-457 is not listed on IDEAS
- Karolina Puławska, 2022. "Effects of the bank levy introduction on the interbank market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 844-864, January.
- Carlo A. Favero, "undated". "Does Macroeconomics Help Understand the Term Structure of Interest Rates?," Working Papers 195, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Vitor Gaspar & Gabriel Pérez Quir? & Hugo Rodr?uez Mendiz?al, 2004.
"Interest Rate Determination in the Interbank Market,"
UFAE and IAE Working Papers
603.04, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Gaspar, Vítor & Pérez Quirós, Gabriel & Rodríguez Mendizábal, Hugo, 2004. "Interest rate determination in the interbank market," Working Paper Series 351, European Central Bank.
- Gaspar, Vitor & Pérez-Quirós, Gabriel & Rodriguez Mendizabal, Hugo, 2004. "Interest Rate Determination in the Interbank Market," CEPR Discussion Papers 4516, C.E.P.R. Discussion Papers.
- Vítor Gaspar & Gabriel Pérez-Quirós & Hugo Rodríguez Mendizábal, 2004. "Interest rate determination in the interbank market," Working Papers 0407, Banco de España.
- John Y. Campbell, 1995.
"Some Lessons from the Yield Curve,"
Journal of Economic Perspectives, American Economic Association, vol. 9(3), pages 129-152, Summer.
- John Y. Campbell, 1995. "Some Lessons from the Yield Curve," Harvard Institute of Economic Research Working Papers 1713, Harvard - Institute of Economic Research.
- John Y. Campbell, 1995. "Some Lessons from the Yield Curve," NBER Working Papers 5031, National Bureau of Economic Research, Inc.
- Campbell, John, 1995. "Some Lessons from the Yield Curve," Scholarly Articles 3163264, Harvard University Department of Economics.
- TUYSUZ, Sukriye, 2007. "Central Bank transparency and the U.S. interest rates level and volatility response to U.S. news," MPRA Paper 5217, University Library of Munich, Germany.
- Bartolini, Leonardo & Bertola, Giuseppe & Prati, Alessandro, 2001.
"Banks' reserve management, transaction costs, and the timing of Federal Reserve intervention,"
Journal of Banking & Finance, Elsevier, vol. 25(7), pages 1287-1317, July.
- Mr. Giuseppe Bertola & Mr. Leonardo Bartolini & Mr. Alessandro Prati, 2000. "Banks’ Reserve Management, Transaction Costs, and the Timing of Federal Reserve Intervention," IMF Working Papers 2000/163, International Monetary Fund.
- Leonardo Bartolini & Giuseppe Bertola & Alessandro Prati, 2000. "Banks' reserve management, transaction costs, and the timing of the Federal Reserve intervention," Staff Reports 109, Federal Reserve Bank of New York.
- Leonardo Bartolini & Giuseppe Bertoli & Alessandro Prati, 2000. "Banks' Reserve Management, Transaction Costs, and the Timing of Federal Reserve Intervention," Econometric Society World Congress 2000 Contributed Papers 0123, Econometric Society.
- Roberds, William & Whiteman, Charles H., 1999.
"Endogenous term premia and anomalies in the term structure of interest rates: Explaining the predictability smile,"
Journal of Monetary Economics, Elsevier, vol. 44(3), pages 555-580, December.
- William Roberds & Charles H. Whiteman, 1996. "Endogenous term premia and anomalies in the term structure of interest rates: explaining the predictability smile," FRB Atlanta Working Paper 96-11, Federal Reserve Bank of Atlanta.
- Prati, Alessandro & Bartolini, Leonardo & Bertola, Giuseppe, 2003.
"The overnight interbank market: Evidence from the G-7 and the Euro zone,"
Journal of Banking & Finance, Elsevier, vol. 27(10), pages 2045-2083, October.
- Leonardo Bartolini & Giuseppe Bertola & Alessandro Prati, 2001. "The overnight interbank market: evidence from the G-7 and the Euro zone," Staff Reports 135, Federal Reserve Bank of New York.
- Bertola, Giuseppe & Prati, Alessandro & Bartolini, Leonardo, 2002. "The Overnight Interbank Market: Evidence from the G7 and the Euro Zone," CEPR Discussion Papers 3090, C.E.P.R. Discussion Papers.
- Philip Lowe & Luci Ellis, 1997. "The Smoothing of Official Interest Rates," RBA Annual Conference Volume (Discontinued), in: Philip Lowe (ed.),Monetary Policy and Inflation Targeting, Reserve Bank of Australia.
- Chauvet, Marcelle & Senyuz, Zeynep, 2008. "A Joint Dynamic Bi-Factor Model of the Yield Curve and the Economy as a Predictor of Business Cycles," MPRA Paper 15076, University Library of Munich, Germany, revised Apr 2009.
- Thornton, Daniel L., 2005.
"Tests of the expectations hypothesis: Resolving the anomalies when the short-term rate is the federal funds rate,"
Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2541-2556, October.
- Daniel L. Thornton, 2004. "Tests of the expectations hypothesis: resolving the anomalies when the short-term rate is the federal funds rate," Working Papers 2000-003, Federal Reserve Bank of St. Louis.
- Carriero, Andrea & Favero, Carlo A. & Kaminska, Iryna, 2006.
"Financial factors, macroeconomic information and the Expectations Theory of the term structure of interest rates,"
Journal of Econometrics, Elsevier, vol. 131(1-2), pages 339-358.
- Iryna Kaminska & Andrea Carriero & Carlo A. Favero, 2004. "Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates," Computing in Economics and Finance 2004 76, Society for Computational Economics.
- Andrea Carriero & Carlo Favero & Iryna Kaminska, 2004. "Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates," Working Papers 253, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Favero, Carlo A. & Carriero, Andrea & Kaminska, Iryna, 2004. "Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates," CEPR Discussion Papers 4301, C.E.P.R. Discussion Papers.
- Thomas Urich & Paul Wachtel, 2001. "Financial Market Responses To Monetary Policy Changes In The 1990s," Contemporary Economic Policy, Western Economic Association International, vol. 19(3), pages 254-267, July.
- Bernoth, Kerstin & von Hagen, Jürgen, 2003. "The performance of the Euribor futures market: Effficiency and the impact of ECB policy announcements," ZEI Working Papers B 27-2003, University of Bonn, ZEI - Center for European Integration Studies.
- 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.
- Renne Jean-Paul, 2017.
"A model of the euro-area yield curve with discrete policy rates,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(1), pages 99-116, February.
- Renne, J-P., 2012. "A model of the euro-area yield curve with discrete policy rates," Working papers 395, Banque de France.
- Ahrens, Ralf, 1999. "Improving market-based forecasts of short-term interest rates: Time-varying stationarity and the predictive content of switching regime-expectations," CFS Working Paper Series 1999/14, Center for Financial Studies (CFS).
- Longstaff, Francis A., 2000. "The term structure of very short-term rates: New evidence for the expectations hypothesis," Journal of Financial Economics, Elsevier, vol. 58(3), pages 397-415, December.
- Dong He & Laurent L. Pauwels, 2008.
"What Prompts the People's Bank of China to Change Its Monetary Policy Stance? Evidence from a Discrete Choice Model,"
China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 16(6), pages 1-21, November.
- Dong He & Laurent Pauwels, 2008. "What Prompts the People's Bank of China to Change its Monetary Policy Stance? Evidence from a Discrete Choice Model," Working Papers 0806, Hong Kong Monetary Authority.
- Aneta Hryckiewicz & Piotr Mielus & Karolina Skorulska & Malgorzata Snarska, 2018. "Does a bank levy increase frictions on the interbank market?," KAE Working Papers 2018-033, Warsaw School of Economics, Collegium of Economic Analysis.
- Daniel L. Thornton, 2005.
"Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates,"
Working Papers
2004-010, Federal Reserve Bank of St. Louis.
- Guidolin, Massimo & Thornton, Daniel L., 2008. "Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates," Working Paper Series 977, European Central Bank.
- Eijffinger, S.C.W. & Schaling, E. & Verhagen, W.H., 2007. "Interest rate stepping : Theory and evidence," Other publications TiSEM 1eaada04-4480-4d42-afde-4, Tilburg University, School of Economics and Management.
- Bartolini, Leonardo & Bertola, Giuseppe & Prati, Alessandro, 2002.
"Day-to-Day Monetary Policy and the Volatility of the Federal Funds Interest Rate,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(1), pages 137-159, February.
- Mr. Alessandro Prati & Mr. Giuseppe Bertola & Mr. Leonardo Bartolini, 2000. "Day-To-Day Monetary Policy and the Volatility of the Federal Funds Interest Rate," IMF Working Papers 2000/206, International Monetary Fund.
- Leonardo Bartolini & Giuseppe Bertola & Alessandro Prati, 2000. "Day-to-day monetary policy and the volatility of the federal funds interest rate," Staff Reports 110, Federal Reserve Bank of New York.
- Renne, Jean-Paul, 2016. "A tractable interest rate model with explicit monetary policy rates," European Journal of Operational Research, Elsevier, vol. 251(3), pages 873-887.
- Martin T. Bohl & Pierre L. Siklos, 2004. "The Bundesbank's Inflation Policy and Asymmetric Behavior of the German Term Structure," Review of International Economics, Wiley Blackwell, vol. 12(3), pages 495-508, August.
- Fabrizio Iacone, 2009. "A Semiparametric Analysis of the Term Structure of the US Interest Rates," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(4), pages 475-490, August.
- Seo, Byeongseon, 2003. "Nonlinear mean reversion in the term structure of interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 27(11), pages 2243-2265.
- Ángel León & Francis Benito & Juan Nave, 2006. "Modeling The Euro Overnight Rate," Working Papers. Serie AD 2006-11, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- 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," 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.
- 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.
- Daniel Mitchell & Haolin Feng & Kumar Muthuraman, 2014. "Impulse Control of Interest Rates," Operations Research, INFORMS, vol. 62(3), pages 602-615, June.
- Munk, Claus, 2015. "Financial Asset Pricing Theory," OUP Catalogue, Oxford University Press, number 9780198716457.
- 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.
- Balduzzi, Pierluigi & Bertola, Giuseppe & Foresi, Silverio, 1997.
"A model of target changes and the term structure of interest rates,"
Journal of Monetary Economics, Elsevier, vol. 39(2), pages 223-249, July.
- Pierluigi Balduzzi & Giuseppe Bertola & Silverio Foresi, 1993. "A Model of Target Changes and the Term Structure of Interest Rates," NBER Working Papers 4347, National Bureau of Economic Research, Inc.
- Byeongseon Seo, 2000. "Nonlinear Mean Reversion In The Term Structure Of Interest Rates," Computing in Economics and Finance 2000 121, Society for Computational Economics.
- Tuysuz, Sukriye & Kuhry, Yves, 2007. "Interactions between interest rates and the transmission of monetary and economic news: the cases of US and UK," MPRA Paper 5255, University Library of Munich, Germany.
- Tuysuz, Sukriye, 2007. "The asymmetric impact of macroeconomic announcements on U.S. Government bond rate level and volatility," MPRA Paper 5381, University Library of Munich, Germany.
- E Bataa & D R Osborn & D H Kim, 2006.
"A Further Examination of the Expectations Hypothesis for the Term Structure,"
Centre for Growth and Business Cycle Research Discussion Paper Series
72, Economics, The University of Manchester.
- Erdenebat Bataa & Dong H. Kim & Denise R. Osborn, 2006. "A Further Examination of the Expectations Hypothesis for the Term Structure," Economics Discussion Paper Series 0611, Economics, The University of Manchester.
- Shu Wu, 2008.
"Monetary Policy And Long‐Term Interest Rates,"
Contemporary Economic Policy, Western Economic Association International, vol. 26(3), pages 398-408, July.
- Shu Wu, 2005. "Monetary Policy and Long-term Interest Rates," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200512, University of Kansas, Department of Economics, revised Apr 2005.
- García-Verdú Santiago, 2011. "On the Term Structure of Interest Rates of the Mexican Government," Working Papers 2011-18, Banco de México.
- Fan, Longzhen & Johansson, Anders C., 2010.
"China's official rates and bond yields,"
Journal of Banking & Finance, Elsevier, vol. 34(5), pages 996-1007, May.
- Fan, Longzhen & Johansson, Anders C., 2009. "China'S Official Rates And Bond Yields," Working Paper Series 2009-3, Stockholm School of Economics, China Economic Research Center.
- Das, Sanjiv R., 2002. "The surprise element: jumps in interest rates," Journal of Econometrics, Elsevier, vol. 106(1), pages 27-65, January.
- Andreas M. Fischer, 2000.
"Do Interventions Smooth Interest Rates?,"
Working Papers
00.04, Swiss National Bank, Study Center Gerzensee.
- Fischer, Andreas, 2000. "Do Interventions Smooth Interest Rates?," CEPR Discussion Papers 2479, C.E.P.R. Discussion Papers.
- Anna Sznajderska, 2016. "Wpływ sposobu zarządzania płynnością, premii za ryzyko i oczekiwań na stopy rynku międzybankowego w Polsce," Bank i Kredyt, Narodowy Bank Polski, vol. 47(1), pages 61-90.
- Pfann, Gerard A. & Schotman, Peter C. & Tschernig, Rolf, 1996.
"Nonlinear interest rate dynamics and implications for the term structure,"
Journal of Econometrics, Elsevier, vol. 74(1), pages 149-176, September.
- Pfann, G. & Schotman, P. & Tschernig, R., 1994. "Nonlinear Interest Rate Dynamics and Implications for the Term Structure," SFB 373 Discussion Papers 1994,43, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- 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.
- 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.
- Bernd Hayo & Hans Peter Gruner & Carsten Hefeker, 2004. "Monetary policy uncertainty and unionized labour markets," Money Macro and Finance (MMF) Research Group Conference 2003 42, Money Macro and Finance Research Group.
- 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.
- Favero, Carlo A., 2001. "Does Macroeconomics Help Us To Understand the Term Structure of Interest Rates?," CEPR Discussion Papers 2849, C.E.P.R. Discussion Papers.
- Simon Gilchrist, 2001. "Identifying the liquidity effect at the daily frequency (commentary)," Review, Federal Reserve Bank of St. Louis, vol. 83(Jul), pages 59-82.
- Favero, Carlo A., 2006. "Taylor rules and the term structure," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1377-1393, October.
- Bartolini, Leonardo & Prati, Alessandro, 2006.
"Cross-country differences in monetary policy execution and money market rates' volatility,"
European Economic Review, Elsevier, vol. 50(2), pages 349-376, February.
- Leonardo Bartolini & Alessandro Prati, 2003. "Cross-country differences in monetary policy execution and money market rates' volatility," Staff Reports 175, Federal Reserve Bank of New York.
- 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.
- Seo, Byeongseon, 2003. "Nonlinear mean reversion in the term structure of interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 27(11-12), pages 2243-2265, September.
- Bonser-Neal, Catherine & Roley, V. Vance & Sellon, Gordon H., 2000. "The effect of monetary policy actions on exchange rates under interest-rate targeting," Journal of International Money and Finance, Elsevier, vol. 19(5), pages 601-631, October.
- Pesaran, M.H. & Ruge-Murcia, F.J., 1995.
"A Discrete-Time Version of Target Zone Models with Jumps,"
Cahiers de recherche
9530, Universite de Montreal, Departement de sciences economiques.
- Pesaran, H.M. & Ruge-Murcia, F.J., 1995. "A Discrete-Time Version of Target Zone Models with Jumps," Cambridge Working Papers in Economics 9513, Faculty of Economics, University of Cambridge.
- Pesaran, M.H. & Ruge-Murcia, F.J., 1995. "A Discrete-Time Version of Target Zone Models with Jumps," Cahiers de recherche 9530, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Martin Hlusek, 2002. "Estimating Market Probabilities of Future Interest Rate Changes," Working Papers 2002/02, Czech National Bank.
- 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.
- Sarno, Lucio & Thornton, Daniel L & Valente, Giorgio, 2005.
"Federal Funds Rate Prediction,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(3), pages 449-471, June.
- Sarno, Lucio & Daniel l Thornton & Giorgio Valente, 2003. "Federal Funds Rate Prediction," Royal Economic Society Annual Conference 2003 183, Royal Economic Society.
- Lucio Sarno & Daniel L. Thornton & Giorgio Valente, 2004. "Federal funds rate prediction," Working Papers 2002-005, Federal Reserve Bank of St. Louis.
- Sarno, Lucio & Thornton, Daniel L & Valente, Giorgio, 2004. "Federal Funds Rate Prediction," CEPR Discussion Papers 4587, C.E.P.R. Discussion Papers.
- Flôres Junior, Renato Galvão & Brito, Ricardo D., 2001. "Stochastic growth and monetary policy: the impacts on the term structure of interest rates," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 416, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Gevorgyan Ruben & Melikyan Narine, 2004. "Missing Data Problem and the Empirical Yield Curve Analysis. An Example of T-bills Market in Armenia," EERC Working Paper Series 04-03e, EERC Research Network, Russia and CIS.
- Krishna Ramaswamy & Choong-Tze Chua & Winston T.H. Koh, 2004. "Profiting from Mean-Reverting Yield Curve Trading Strategies," Econometric Society 2004 Australasian Meetings 142, Econometric Society.
- Gaspar, Vítor & Pérez Quirós, Gabriel & Rodríguez Mendizábal, Hugo, 2008. "Interest rate dispersion and volatility in the market for daily funds," European Economic Review, Elsevier, vol. 52(3), pages 413-440, April.
- Catherine Bonser-Neal & V. Vance Roley & Gordon H. Sellon, 1997. "The effect of monetary policy actions on exchange rates under interest-rate targeting," Research Working Paper 97-05, Federal Reserve Bank of Kansas City.
- Daniel L. Thornton, 2001. "Identifying the liquidity effect at the daily frequency," Review, Federal Reserve Bank of St. Louis, vol. 83(Jul), pages 59-82.
- Madeline Zavodny & Donna K. Ginther, 2005.
"Does the Beige Book Move Financial Markets?,"
Southern Economic Journal, John Wiley & Sons, vol. 72(1), pages 138-151, July.
- Donna K. Ginther & Madeline Zavodny, 2003. "Does the Beige Book move financial markets?," FRB Atlanta Working Paper 2003-3, Federal Reserve Bank of Atlanta.
- Jean-Sébastien Fontaine, 2012. "Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy," Staff Working Papers 12-41, Bank of Canada.
- Jääskelä, Jarkko & Vilmunen, Jouko, 1999. "Anticipated monetary policy and the dynamic behaviour of the term structure of interest rates," Bank of Finland Research Discussion Papers 12/1999, Bank of Finland.
- Tuysuz, Sukriye, 2007. "The effects of a greater central bank credibility on interest rates level and volatility response to news in the U.K," MPRA Paper 5263, University Library of Munich, Germany.
- V. Vance Roley & Gordon H. Sellon, 1998. "Market reaction to monetary policy nonannouncements," Research Working Paper 98-06, Federal Reserve Bank of Kansas City.
- M. Hashem Pesaran & Francisco J. Ruge-Murcia, 1996. "Limited-dependent rational expectations models with jumps," Discussion Paper / Institute for Empirical Macroeconomics 111, Federal Reserve Bank of Minneapolis.
- Monika Piazzesi, 2001. "An Econometric Model of the Yield Curve with Macroeconomic Jump Effects," NBER Working Papers 8246, National Bureau of Economic Research, Inc.
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