1. The Three Intelligible Factors of the Yield Curve in Mexico. (2023). Rocio, Elizondo.
   In: Working Papers.
   RePEc:bdm:wpaper:2023-13.

   Full description at Econpapers || Download paper

2. The effect of central bank communication on sovereign bond yields: The case of Hungary. (2021). Sebk, Miklos ; Mate, Akos ; Barczikay, Tamas.
   In: PLOS ONE.
   RePEc:plo:pone00:0245515.

   Full description at Econpapers || Download paper

1. Ang, A. and Piazzesi, M. (2003), “A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables,” Journal of Monetary Economics, 50, 745-787.

2. Bank for International Settlements (1999), “Zero-Coupon Yield Curves: Technical Documentation,” Bank for International Settlements, Switzerland.
   Paper not yet in RePEc: Add citation now
   

3. Brennan, M.J. and Schwartz, E.S. (1982), “An Equilibrium Model of Bond Pricing and a Test of Market Efficiency,” Journal of Financial and Quantitative Analysis, 17 (September), 301-329.

4. Cantoria, F.M. (1984), “The Role of Expectations in Interest Rate Determination,” Philippine Review of Economics and Business, 11, 77-97.

5. Dewachter, H. and Lyrio, M. (2003), “Macroeconomic Factors in the Term Structure of Interest Rates,” Manuscript, Catholic University of Leuven and Erasmus University Rotterdam.

6. Diebold, F.X., Li, C. (2003), “Forecasting the Term Structure of Government Bond Yields,” Working Paper, National Bureau of Economic Research.

7. Diebold, F.X., Rudebusch, G.D. and Aruoba, S.B. (2003), “The Macroeconomy and the Yield Curve: A Non-Structural Analysis,” Working Paper, University of Pennsylvania.
   Paper not yet in RePEc: Add citation now
   

8. Dothan, U.L. (1978), “On the Term Structure of Interest Rates,” Journal of Financial Economics, 6, 59-69.

9. Duffee, G. (2002), “Term Premia and Interest Rate Forecasts in Affine Models,” Journal of Finance, 57, 405-443.

10. Evans, C.L. and Marshall, D. (2001), “Economic Determinants of the Nominal Treasury Yield Curve,” Manuscript, Federal Reserve Bank of Chicago.
    Paper not yet in RePEc: Add citation now
    
11. Fisher, I. (1930), The Theory of Interest, New York: The MacMillan Company.
    Paper not yet in RePEc: Add citation now
    
12. Haldane, A. and Read, V. (1999), “Monetary Policy and the Yield Curve,” Bank of England Quarterly Bulletin, May 171-176.
    Paper not yet in RePEc: Add citation now
    

13. Heath, D., Jarrow, R. and Morton, A. (1992), “Bond Pricing and the Term Structure of Interest Rates: A New Methodology,” Econometrica, 60, 77-105.

14. Lindé, J. (1998), “Fiscal Policy and the Yield Curve in a Small Open Economy,” Working Paper, Stockholm School of Economics.

15. Litterman, R. and Scheinkman, J. (1991), “Common Factors Affecting Bond Returns,” Journal of Fixed Income, 1, 54-61.
    Paper not yet in RePEc: Add citation now
    

16. Vasicek, O. (1977), “An Equilibrium Characterization of the Term Structure,” Journal of Financial Economics, 5, 177-188.

17. Wu, T. (2001), “Monetary Policy and the Slope Factor in Empirical Term Structure Estimations,” Working Paper 02-07, Federal Reserve Bank of San Francisco.
    Paper not yet in RePEc: Add citation now
    
18. Wu, T. (2003), “What Makes the Yield Curve Move?” Economic Letter, Federal Reserve Bank of San Francisco, Number 2003-15, June 6, 2003.
    Paper not yet in RePEc: Add citation now
    

1. Specification Analysis of International Treasury Yield Curve Factors. (2014). Pegoraro, Fulvio ; SIEGEL, A. F. ; Pezzoli, Tiozzo L..
   In: Working papers.
   RePEc:bfr:banfra:490.

   Full description at Econpapers || Download paper

2. Bond Risk Premia and Gaussian Term Structure Models. (2014). Fontaine, Jean-Sebastien ; Feunou, Bruno.
   In: Staff Working Papers.
   RePEc:bca:bocawp:14-13.

   Full description at Econpapers || Download paper

3. The Euro-dividend: public debt and interest rates in the Monetary Union. (2010). Salotti, Simone ; Marattin, Luigi.
   In: Working Papers.
   RePEc:bol:bodewp:695.

   Full description at Econpapers || Download paper

4. Challenges in macro-finance modeling. (2008). Kim, Don.
   In: Finance and Economics Discussion Series.
   RePEc:fip:fedgfe:2008-06.

   Full description at Econpapers || Download paper

5. Examining the bond premium puzzle with a DSGE model. (2008). Swanson, Eric ; Rudebusch, Glenn.
   In: Working Paper Series.
   RePEc:fip:fedfwp:2007-25.

   Full description at Econpapers || Download paper

6. Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters. (2007). van der Wel, Michel ; Koopman, Siem Jan ; Max I. P. Mallee, .
   In: Tinbergen Institute Discussion Papers.
   RePEc:tin:wpaper:20070095.

   Full description at Econpapers || Download paper

7. Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information. (2007). van Dijk, Dick ; Ravazzolo, Francesco ; De Pooter, Michiel.
   In: Tinbergen Institute Discussion Papers.
   RePEc:tin:wpaper:20070028.

   Full description at Econpapers || Download paper

8. Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information. (2007). van Dijk, Dick ; Ravazzolo, Francesco ; De Pooter, Michiel.
   In: MPRA Paper.
   RePEc:pra:mprapa:2512.

   Full description at Econpapers || Download paper

9. The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models. (2007). Rudebusch, Glenn ; Diebold, Francis ; Christensen, Jens ; Jens H. E. Christensen, .
   In: PIER Working Paper Archive.
   RePEc:pen:papers:07-029.

   Full description at Econpapers || Download paper

10. The Long and the Short End of the Term Structure of Policy Rules. (2007). Taylor, John ; Smith, Josephine.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13635.

    Full description at Econpapers || Download paper

11. The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models. (2007). Rudebusch, Glenn ; Diebold, Francis ; Christensen, Jens ; Jens H. E. Christensen, .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13611.

    Full description at Econpapers || Download paper

12. Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach. (2007). Yue, Vivian ; Diebold, Francis ; Li, Canlin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13588.

    Full description at Econpapers || Download paper

13. No-Arbitrage Taylor Rules. (2007). Piazzesi, Monika ; Ang, Andrew ; Dong, Sen .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13448.

    Full description at Econpapers || Download paper

14. Cracking the Conundrum. (2007). Wright, Jonathan ; Backus, David.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13419.

    Full description at Econpapers || Download paper

15. Mortgage Timing. (2007). Van Nieuwerburgh, Stijn ; koijen, ralph ; Van Hemert, Otto ; Ralph S. J Koijen, .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13361.

    Full description at Econpapers || Download paper

16. Predictive Systems: Living with Imperfect Predictors. (2007). Stambaugh, Robert ; Pastor, Lubos.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12814.

    Full description at Econpapers || Download paper

17. Macro volatility in a model of the UK Gilt edged bond market. (2007). Spencer, Peter.
    In: Money Macro and Finance (MMF) Research Group Conference 2006.
    RePEc:mmf:mmfc06:73.

    Full description at Econpapers || Download paper

18. Term Structure Forecasting: No-arbitrage Restrictions vs. Large Information Set. (2007). Sala, Luca ; Niu, Linlin ; Favero, Carlo.
    In: Working Papers.
    RePEc:igi:igierp:318.

    Full description at Econpapers || Download paper

19. Forecasts of U.S. short-term interest rates: a flexible forecast combination approach. (2007). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-059.

    Full description at Econpapers || Download paper

20. Arbitrage-free bond pricing with dynamic macroeconomic models. (2007). Zin, Stanley ; Palomino, Francisco ; Hollifield, Burton ; Gallmeyer, Michael.
    In: Review.
    RePEc:fip:fedlrv:y:2007:i:jul:p:305-326:n:v.89no.4.

    Full description at Econpapers || Download paper

21. Commentary on Macroeconomic implications of changes in the term premium. (2007). Cochrane, John.
    In: Review.
    RePEc:fip:fedlrv:y:2007:i:jul:p:271-282:n:v.89no.4.

    Full description at Econpapers || Download paper

22. Macroeconomic implications of changes in the term premium. (2007). Swanson, Eric ; Rudebusch, Glenn ; Sack, Brian P..
    In: Review.
    RePEc:fip:fedlrv:y:2007:i:jul:p:241-270:n:v.89no.4.

    Full description at Econpapers || Download paper

23. What does the yield curve tell us about the Federal Reserves implicit inflation target?. (2007). Doh, Taeyoung.
    In: Research Working Paper.
    RePEc:fip:fedkrw:rwp07-10.

    Full description at Econpapers || Download paper

24. On forecasting the term structure of credit spreads. (2007). Thomson, James ; C. N. V. Krishnan, ; Ritchken, Peter H..
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:0705.

    Full description at Econpapers || Download paper

25. The role of no-arbitrage on forecasting: lessons from a parametric term structure model. (2007). Vicente, José Valentim ; Almeida, Caio.
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:657.

    Full description at Econpapers || Download paper

26. Inflation risk premia in the term structure of interest rates. (2007). Tristani, Oreste ; Hördahl, Peter ; Hordahl, Peter.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2007734.

    Full description at Econpapers || Download paper

27. Term Structure Forecasting: No-Arbitrage Restrictions vs Large Information Set. (2007). Sala, Luca ; Niu, Linlin ; Favero, Carlo.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6206.

    Full description at Econpapers || Download paper

28. An affine macro-factor model of the UK yield curve. (2007). Peacock, Chris ; Lildholdt, Peter ; Panigirtzoglou, Nikolaos .
    In: Bank of England working papers.
    RePEc:boe:boeewp:322.

    Full description at Econpapers || Download paper

29. Term Structure Transmission of Monetary Policy. (2007). Tinsley, Peter ; Kozicki, Sharon.
    In: Staff Working Papers.
    RePEc:bca:bocawp:07-30.

    Full description at Econpapers || Download paper

30. A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate. (2007). Yang, Jun ; Chabi-Yo, Fousseni.
    In: Staff Working Papers.
    RePEc:bca:bocawp:07-21.

    Full description at Econpapers || Download paper

31. IMPACT OF MACRO SHOCKS ON SOVEREIGN DEFAULT PROBABILITIES. (2007). Matsumura, Marco S..
    In: Anais do XXXV Encontro Nacional de Economia [Proceedings of the 35th Brazilian Economics Meeting].
    RePEc:anp:en2007:060.

    Full description at Econpapers || Download paper

32. The relative importance of Term Spread, Policy Inertia and Persistent Monetary Policy Shocks in Monetary Policy Rules. (2006). Vázquez, Jesús ; Maria-Dolores, Ramón.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:6.

    Full description at Econpapers || Download paper

33. The term structure of inflation risk premia and macroeconomic dynamics. (2006). Vestin, David ; Tristani, Oreste ; Hrdahl, Peter.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:203.

    Full description at Econpapers || Download paper

34. Macroeconomic Models and the Yield Curve. (2006). Holly, Sean ; Chadha, Jagjit.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:105.

    Full description at Econpapers || Download paper

35. A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration. (2006). Diebold, Francis ; Li, Canlin ; Ji, Lei .
    In: PIER Working Paper Archive.
    RePEc:pen:papers:06-017.

    Full description at Econpapers || Download paper

36. A joint model for the term structure of interest rates and the macroeconomy. (2006). Maes, Konstantijn ; Lyrio, Marco ; Dewachter, Hans.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:21:y:2006:i:4:p:439-462.

    Full description at Econpapers || Download paper

37. Extracting inflation expectations from the term structure: the Fisher equation in a multivariate SDF framework. (2006). Wickens, Michael ; Balfoussia, Hiona.
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:11:y:2006:i:3:p:261-277.

    Full description at Econpapers || Download paper

38. How professional forecasters view shocks to GDP. (2006). Krane, Spencer.
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-06-19.

    Full description at Econpapers || Download paper

39. Macroeconomic implications of changes in the term premium. (2006). Swanson, Eric ; Rudebusch, Glenn ; Sack, Brian P..
    In: Working Paper Series.
    RePEc:fip:fedfwp:2006-46.

    Full description at Econpapers || Download paper

40. The bond yield conundrum from a macro-finance perspective. (2006). Wu, Tao ; Swanson, Eric ; Rudebusch, Glenn.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2006-16.

    Full description at Econpapers || Download paper

41. A factor risk model with reference returns for the US dollar and Japanese yen bond markets. (2006). Nyholm, Ken ; Coche, Joachim ; Bernadell, Carlos.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006641.

    Full description at Econpapers || Download paper

42. New-Keynesian Macroeconomics and the Term Structure. (2006). Moreno, Antonio ; Cho, Seonghoon ; Bekaert, Geert.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5956.

    Full description at Econpapers || Download paper

43. Macroeconomic Models and the Yield Curve: An assessment of the Fit. (2006). Holly, Sean ; Chadha, Jagjit.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0640.

    Full description at Econpapers || Download paper

44. Modelling Term-Structure Dynamics for Risk Management: A Practitioners Perspective. (2006). Bolder, David.
    In: Staff Working Papers.
    RePEc:bca:bocawp:06-48.

    Full description at Econpapers || Download paper

45. Can Affine Term Structure Models Help Us Predict Exchange Rates?. (2006). Diez de los Rios, Antonio.
    In: Staff Working Papers.
    RePEc:bca:bocawp:06-27.

    Full description at Econpapers || Download paper

46. The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields. (2005). Valente, Giorgio ; Thornton, Daniel ; Sarno, Lucio.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5259.

    Full description at Econpapers || Download paper

47. Towards a Joint Characterization of Monetary Policy and the Dynamics of the Term Structure of Interest Rates. (2004). Fendel, Ralf.
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:2290.

    Full description at Econpapers || Download paper

48. What Does the Yield Curve Tell us about GDP Growth?. (2004). Wei, Min ; Piazzesi, Monika ; Ang, Andrew ; Piazessi, Monika.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10672.

    Full description at Econpapers || Download paper

49. Why Can the Yield Curve Predict Output Growth, Inflation, and Interest Rates? An Analysis with Affine Term Structure Model. (2004). Ichiue, Hibiki.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:581.

    Full description at Econpapers || Download paper

50. Modeling Yield-Factor Volatility. (2004). Smith, Daniel ; Parignon, Christophe.
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:307.

    Full description at Econpapers || Download paper

Report date: 2025-02-10 16:54:10 || Missing content? Let us know