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Inflation Uncertainty and Expected Returns on Treasury Bills

Citations

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Cited by:

  1. Christopher J. Neely & David E. Rapach, 2008. "Real interest rate persistence: evidence and implications," Review, Federal Reserve Bank of St. Louis, vol. 90(Nov), pages 609-642.
  2. P. Kearns & A.R. Pagan, 1993. "Australian Stock Market Volatility: 1875–1987," The Economic Record, The Economic Society of Australia, vol. 69(2), pages 163-178, June.
  3. repec:adr:anecst:y:1991:i:24:p:01 is not listed on IDEAS
  4. G. William Schwert, 1988. "Why Does Stock Market Volatility Change Over Time?," NBER Working Papers 2798, National Bureau of Economic Research, Inc.
  5. M. Dolores Robles Fernandez & Rafael Florez De Frutos, 2000. "Time varying term premia and risk: the case of the Spanish interbank money market," Applied Financial Economics, Taylor & Francis Journals, vol. 10(3), pages 243-260.
  6. Park, S.B., 1997. "Cointegration and Market Efficiency: An Application to the Canadian Treasury Bill Market," Carleton Economic Papers 97-06, Carleton University, Department of Economics.
  7. Fisher, Gordon & Willson, Douglas & Xu, Kuan, 1998. "An empirical analysis of term premiums using significance tests for stochastic dominance," Economics Letters, Elsevier, vol. 60(2), pages 195-203, August.
  8. Terry A. Marsh, 1985. "Asset Pricing Model Specification and the Term Structure Evidence," NBER Working Papers 1612, National Bureau of Economic Research, Inc.
  9. Huei-Fu Lu & Tien-Tze Chen, 2016. "The Impact of Match-Fixing Scandals on the Stock Returns of Parent Companies and Sponsors: Evidence from Chinese Professional Baseball League In Taiwan," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 6(4), pages 172-189, April.
  10. Martin D. Evans & Paul Wachtel, 1990. "A Modern Look At Asset Pricing and Short-Term Interest Rates," NBER Working Papers 3245, National Bureau of Economic Research, Inc.
  11. Eugene F. Fama, 2014. "Two Pillars of Asset Pricing," American Economic Review, American Economic Association, vol. 104(6), pages 1467-1485, June.
  12. Fernandes, Cecilia Melo, 2021. "ECB communication as a stabilization and coordination device: evidence from ex-ante inflation uncertainty," Working Paper Series 2582, European Central Bank.
  13. Levine, Ross, 1989. "The pricing of forward exchange rates," Journal of International Money and Finance, Elsevier, vol. 8(2), pages 163-179, June.
  14. Dicle, Mehmet F. & Levendis, John, 2020. "Historic risk and implied volatility," Global Finance Journal, Elsevier, vol. 45(C).
  15. Engle, Robert F & Ng, Victor K, 1993. "Time-Varying Volatility and the Dynamic Behavior of the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(3), pages 336-349, August.
  16. Michael McKenzie & Heather Mitchell & Robert Brooks & Robert Faff, 2001. "Power ARCH modelling of commodity futures data on the London Metal Exchange," The European Journal of Finance, Taylor & Francis Journals, vol. 7(1), pages 22-38.
  17. Barsky, Robert B, 1989. "Why Don't the Prices of Stocks and Bonds Move Together?," American Economic Review, American Economic Association, vol. 79(5), pages 1132-1145, December.
  18. Tim Bollerslev & Ray Y. Chou & Narayanan Jayaraman & Kenneth F. Kroner - L, 1991. "es modéles ARCH en finance : un point sur la théorie et les résultats empiriques," Annals of Economics and Statistics, GENES, issue 24, pages 1-59.
  19. Gloria M. Soto Pacheco & Cristóbal González & Laura Ballester & Román Ferrer, 2009. "Determinants of interest rate exposure of Spanish banking industry," Working Papers. Serie EC 2009-07, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  20. Buraschi, Andrea & Jiltsov, Alexei, 2005. "Inflation risk premia and the expectations hypothesis," Journal of Financial Economics, Elsevier, vol. 75(2), pages 429-490, February.
  21. Campbell, John Y., 1987. "Stock returns and the term structure," Journal of Financial Economics, Elsevier, vol. 18(2), pages 373-399, June.
  22. Cynthia E. Devers & Gerry McNamara & Robert M. Wiseman & Mathias Arrfelt, 2008. "Moving Closer to the Action: Examining Compensation Design Effects on Firm Risk," Organization Science, INFORMS, vol. 19(4), pages 548-566, August.
  23. Madureira, Leonardo, 2007. "The ex ante real rate and inflation premium under a habit consumption model," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 355-382, June.
  24. Nima Nonejad, 2019. "Has the 2008 financial crisis and its aftermath changed the impact of inflation on inflation uncertainty in member states of the european monetary union?," Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(2), pages 246-276, May.
  25. Collin-Dufresne, Pierre & Goldstein, Robert S. & Jones, Christopher S., 2009. "Can interest rate volatility be extracted from the cross section of bond yields?," Journal of Financial Economics, Elsevier, vol. 94(1), pages 47-66, October.
  26. M. Kabir Hassan & Ahmad Khasawneh, 2009. "The Risks of Off-Balance Sheet Derivatives in U.S. Commercial Banks," NFI Working Papers 2009-WP-11, Indiana State University, Scott College of Business, Networks Financial Institute.
  27. Huizinga, John & Mishkin, Frederic S., 1986. "Monetary policy regime shifts and the unusual behavior of real interest rates," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 24(1), pages 231-274, January.
  28. Timothy Q. Cook & Thomas K. Hahn, 1990. "Interest rate expectations and the slope of the money market yield curve," Economic Review, Federal Reserve Bank of Richmond, vol. 76(Sep), pages 3-26.
  29. James R. Rhodes, 2006. "DEVOLUTION OF THE FISHER EQUATION: Rational Appreciation to Money Illusion," GRIPS Discussion Papers 07-05, National Graduate Institute for Policy Studies, revised Sep 2007.
  30. Sandy Suardi & O.T.Henry & N. Olekalns, "undated". "Equity Return and Short-Term Interest Rate Volatility: Level Effects and Asymmetric Dynamics," MRG Discussion Paper Series 0205, School of Economics, University of Queensland, Australia.
  31. Lin, James Wuh, 1996. "Arbitrage, carrying costs, and inflation: A reexamination of market efficiency in treasury bill futures," International Review of Economics & Finance, Elsevier, vol. 5(2), pages 207-222.
  32. Tsong-Yue Lai & Hin Man Mak & Ko Wang, 2001. "Asset Pricing Model with Short-Sale Restrictions: The Case of Asian Property Markets," International Real Estate Review, Global Social Science Institute, vol. 4(1), pages 43-56.
  33. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  34. Anthony Saunders & Richard B. Tress, 1981. "Inflation and Stock Market Returns:Some Australian Evidence," The Economic Record, The Economic Society of Australia, vol. 57(1), pages 58-66, March.
  35. Hiona Balfoussia & Mike Wickens, 2007. "Macroeconomic Sources of Risk in the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(1), pages 205-236, February.
  36. Matti Suominen & Petri Jylhä, 2009. "Arbitrage Capital and Currency Carry Trade Returns," 2009 Meeting Papers 84, Society for Economic Dynamics.
  37. Wolfgang Drobetz & Rebekka Haller & Christian Jasperneite & Tizian Otto, 2019. "Predictability and the cross section of expected returns: evidence from the European stock market," Journal of Asset Management, Palgrave Macmillan, vol. 20(7), pages 508-533, December.
  38. Kearney, Colm, 2000. "The determination and international transmission of stock market volatility," Global Finance Journal, Elsevier, vol. 11(1-2), pages 31-52.
  39. Chun-Da Chen & Chih-Chun Chen, 2012. "Assessing the Effects of Sports Marketing on Stock Returns," Journal of Sports Economics, , vol. 13(2), pages 169-197, April.
  40. Fan, Longzhen & Johansson, Anders C., 2009. "What Moves Bond Yields In China?," Working Paper Series 2009-9, Stockholm School of Economics, China Economic Research Center.
  41. Shubhasis Dey, 2014. "Inflation Hedging in India," Working papers 164, Indian Institute of Management Kozhikode.
  42. Michelfelder, Richard A. & Pilotte, Eugene A., 2011. "Treasury Bond risk and return, the implications for the hedging of consumption and lessons for asset pricing," Journal of Economics and Business, Elsevier, vol. 63(6), pages 582-604.
  43. Bradford Cornell, 1986. "Inflation Measurement, Inflation Risk, And The Pricing Of Treasury Bills," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(3), pages 193-202, September.
  44. Brockett, Patrick L. & Witt, Robert C. & Golany, Boaz & Sipra, Naim & Xia, Xiaohua, 1996. "Statistical tests of stochastic process models used in the financial theory of insurance companies," Insurance: Mathematics and Economics, Elsevier, vol. 18(1), pages 73-79, May.
  45. Shen Chung-Hua, 1998. "The Term Structure of Taiwan Money Market Rates And Rational Expectation," International Economic Journal, Taylor & Francis Journals, vol. 12(1), pages 105-119.
  46. Rafael Flores de Frutos, 1993. "Sobre la Estimación de Primas por Plazo dentro de la Estructura Temporal de Tipos de Interes," Documentos de Trabajo del ICAE 9302, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
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