Location via proxy:   [ UP ]  
[Report a bug]   [Manage cookies]                
create a website

Moving Endpoints in Macrofinance. (). Tinsley, Peter ; Kozicki, Sharon.
In: Computing in Economics and Finance 1996.
RePEc:sce:scecf6:_058.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 38

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Andrews, D., Tests for Parameter Instability and Structural Change with Unknown Change Point, Econometrica, 61, 4, July 1993, 821-56.

  2. Backus, D.K., and S.E. Zin, Long-Memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates, Journal of Money, Credit, and Banking, 25, 3, August 1993, 681-700.

  3. Bai, J., Estimating Multiple Breaks One at a Time, MIT working paper 95-18, 1995.

  4. Breedon, D., An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities, Journal of Financial Economics, 7, 3, September 1979, 275-96.

  5. Brunner, A.D., Testing for Structural Breaks in U.S. Post-War Inflation, Unpublished manuscript, Division of Monetary Affairs, Board of Governors of the Federal Reserve System, Washington, 1991.
    Paper not yet in RePEc: Add citation now
  6. Campbell, J. and R. Shiller, Cointegration and Tests of Present Value Models, Journal of Political Economy, 95, 5, 1987, 1062-88.

  7. Campbell, J., A. Lo, and A. MacKinlay, Models of the Term Structure of Interest Rates, Federal Reserve Bank of Philadelphia working paper 94-10, 1994.

  8. Campbell, J.Y., A Defense of Traditional Hypotheses about the Term Structure of Interest Rates, Journal of Finance, 41, 1986, 183-193.

  9. Choi, S., and M.E. Wohar, New Evidence Concerning the Expectations Theory for the Short End of the Maturity Spectrum, The Journal of Financial Research, 14, 1991, 83-92.

  10. Cox, J., J. Ingersoll, and S. Ross, A Theory of the Term Structure of Interest Rates, Econometrica, 53, 2, March 1985b, 385-407.

  11. Cox, J., J. Ingersoll, and S. Ross, An Intertemporal General Equilibrium Model of Asset Prices, Econometrica, 53, 2, March 1985a, 363-84.

  12. Crowder, W. and D. Hoffman, The Long Run Relationship Between Nominal Interest Rates and Inflation: The Fisher Equation Revisited, Journal of Money, Credit, and Banking, 28, 1996, 102-118.

  13. Engle, R.F. and S. Kozicki, Testing for Common Features, Journal of Business and Economic Statistics, 11, 4, October 1993, 369-380.

  14. Evans, M. and K. Lewis, Do Expected Shifts in Inflation Affect Estimates of the Long-Run Fisher Relation'DONE', Journal of Finance, 50, 1, March 1995, 225-53.

  15. Evans, M.D., and P. Wachtel, Inflation Regimes and the Sources of Inflation Uncertainty, Journal of Money, Credit, and Banking, 25, 1993, 475-511.

  16. Fama, E. and R. Bliss, The Information in Long-Maturity Forward Rates, The American Economic Review, 77, 1987, 680-92.

  17. Fama, E.F., The Information in the Term Structure, Journal of Financial Economics, 13, 1984, 509-528.

  18. Hall, A., H. Anderson, and C. Granger, A Cointegration Analysis of Treasury Bill Yields, The Review of Economics and Statistics, 74, 1, February 1992, 116-26.

  19. Hamilton, J.D., A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle, Econometrica, 57, 1989, 357-84.

  20. Hardouvelis, G.A., The Predictive Power of the Term Structure During Recent Monetary Regimes, Journal of Finance, 43, 1988, 339-356.

  21. Hinkley, D., Inference About the Change-Point in a Sequence of Random Variables, Biometrika, 57, 1, April 1970, 1-17.
    Paper not yet in RePEc: Add citation now
  22. Huizinga, J. and F. Mishkin, Monetary Policy Regime Shifts and the Unusual Behavior of Real Interest Rates, in K. Brunner and A. Meltzer (eds.), Carnegie-Rochester Conference Series on Public Policy, 24, 1986, 231-74.

  23. Lucas, R., Asset Prices in an Exchange Economy, Econometrica, 46, 6, November 1978, 1429-45.

  24. Mankiw, N.G., and J.A. Miron, The Changing Behavior of the Term Structure of Interest Rates, Quarterly Journal of Economics, 101, 1986, 211-228.

  25. McCulloch, J.H., The Tax-Adjusted Yield Curve, The Journal of Finance, 30, 1975, 811-830.

  26. Mishkin, F.S, Is the Fisher Effect for Real'DONE' A reexamination of the relationship between inflation and interest rates, Journal of Monetary Economics, 30, 1992, 195-215.

  27. Mougoue, M., The Term Structure of Interest Rates as a Cointegrated System: Empirical Evidence from the Eurocurrency Market, The Journal of Financial Research, 15, 3, 1992, 285-96.

  28. Nelson, C., and C. Plosser, Trends and Random Walks in Macroeconomic Time Series, Journal of Monetary Economics, 10, 1982, 139-62.

  29. Quandt, R., Tests of the Hypothesis That a Linear Regression System Obeys Two Separate Regimes, Journal of the American Statistical Association, June 1960, 324-30.
    Paper not yet in RePEc: Add citation now
  30. R-1 Garcia, R., and P. Perron, An Analysis of the Real Interest Rate under Regime Shifts, Centre de recherche et developpement en economique, cahier 2391, Universite de Montreal, 1991.

  31. Ricketts, N., and D. Rose, Inflation, Learning and Monetary Policy Regimes in the G-7 Economies, Bank of Canada Working Paper 95-6, June 1995.

  32. Rubinstein, M., The Valuation of Uncertain Income Streams and the Pricing of Options, The Bell Journal of Economics, 7, 2, 1976, 407-25.

  33. Rudebusch, G.D., Federal Reserve Interest Rate Targeting, Rational Expectations, and the Term Structure, Journal of Monetary Economics, 35, 1995, 245-274.

  34. Sargent, T.J., A Note on Maximum Likelihood Estimation of the Rational Expectations Model of the Term Structure, Journal of Monetary Economics, 5, 1979, 133-43.

  35. Shea, G., Benchmarking the Expectations Hypothesis of the Interest-Rate Term Structure: An Analysis of Cointegration Vectors, Journal of Business and Economic Statistics, 10, 3, July 1992, 347-66.

  36. Shiller, R., J. Campbell, and K. Schoenholtz, Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates, Brookings Papers, 1983, 173-223.

  37. Shiller, R., The Term Structure of Interest Rates, in B. Friedman and F. Hahn (eds.) Handbook of Monetary Economics, vol. I, 1990, 627-722.

  38. Shiller, R., The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure, Journal of Political Economy, 67, 6, December 1979, 190-219.

Cocites

Documents in RePEc which have cited the same bibliography

  1. A quantile regression analysis of flights-to-safety with implied volatilities. (2019). Troster, Victor ; Bouri, Elie ; Roubaud, David.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:62:y:2019:i:c:p:482-495.

    Full description at Econpapers || Download paper

  2. Testing parameter constancy in stationary vector autoregressive models against continuous change. (2004). Teräsvirta, Timo ; Gonzalez, Andres ; He, Changli.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0507.

    Full description at Econpapers || Download paper

  3. Empirical Analysis of Policy Interventions. (2002). Zha, Tao ; Leeper, Eric.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9063.

    Full description at Econpapers || Download paper

  4. Exchange Rate Pass-Through into Import Prices: A Macro or Micro Phenomenon?. (2002). Goldberg, Linda ; Campa, Jose.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8934.

    Full description at Econpapers || Download paper

  5. Inventory dynamics and business cycles: what has changed?. (2002). Zakrajsek, Egon ; McCarthy, Jonathan.
    In: Staff Reports.
    RePEc:fip:fednsr:156.

    Full description at Econpapers || Download paper

  6. Exchange rate pass-through into import prices: a macro or micro phenomenon?. (2002). Goldberg, Linda ; Campa, Jose.
    In: Staff Reports.
    RePEc:fip:fednsr:149.

    Full description at Econpapers || Download paper

  7. Assessing changes in the monetary transmission mechanism: a VAR approach. (2002). Giannoni, Marc ; Boivin, Jean.
    In: Economic Policy Review.
    RePEc:fip:fednep:y:2002:i:may:p:97-111:n:v.8no.1.

    Full description at Econpapers || Download paper

  8. Empirical analysis of policy interventions. (2002). Zha, Tao ; Leeper, Eric.
    In: Proceedings.
    RePEc:fip:fedfpr:y:2002:i:mar:x:1.

    Full description at Econpapers || Download paper

  9. Differences in exchange rate pass-through in the euro area.. (2002). Campa, Jose ; Gonzalez, Jose M..
    In: IESE Research Papers.
    RePEc:ebg:iesewp:d-0479.

    Full description at Econpapers || Download paper

  10. Demand Systems With Nonstationary Prices. (2002). Ng, Serena ; Lewbel, Arthur.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:441.

    Full description at Econpapers || Download paper

  11. Inflation Changes, Yield Spreads, and Threshold Effects. (2002). Tkacz, Greg.
    In: Staff Working Papers.
    RePEc:bca:bocawp:02-40.

    Full description at Econpapers || Download paper

  12. Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US data. (2001). LE BIHAN, Hervé ; Jondeau, Eric.
    In: Macroeconomics.
    RePEc:wpa:wuwpma:0111005.

    Full description at Econpapers || Download paper

  13. Prices, Wages and the U.S. NAIRU in the 1990s. (2001). Watson, Mark ; Staiger, Doug ; Stock, James.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8320.

    Full description at Econpapers || Download paper

  14. The Empirical Relevance of Simple Forward- and Backward-looking Models: A View from a Dynamic General Equilibrium Model. (2001). Lindé, Jesper ; Linde, Jesper.
    In: Working Paper Series.
    RePEc:hhs:rbnkwp:0130.

    Full description at Econpapers || Download paper

  15. MODELING THE DIVIDEND-PRICE RATIO: THE ROLE OF FUNDAMENTALS USING A REGIME-SWITCHING APPROACH. (2001). Olesen, Jan Overgaard ; Nielsen, Steen .
    In: Working Papers.
    RePEc:hhs:cbsnow:2000_012.

    Full description at Econpapers || Download paper

  16. Structural change in U.S. wage determination. (2001). Rich, Robert ; Rissmiller, Donald.
    In: Staff Reports.
    RePEc:fip:fednsr:117.

    Full description at Econpapers || Download paper

  17. Information technology and the U.S. productivity revival: what do the industry data say?. (2001). Stiroh, Kevin.
    In: Staff Reports.
    RePEc:fip:fednsr:115.

    Full description at Econpapers || Download paper

  18. Anticipations of monetary policy in financial markets. (2001). Sack, Brian ; Whitesell, William ; Lange, Joe.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2001-24.

    Full description at Econpapers || Download paper

  19. Testing for Structural Change in the Presence of Auxiliary Models. (2001). Guay, Alain ; Ghysels, Eric.
    In: Cahiers de recherche CREFE / CREFE Working Papers.
    RePEc:cre:crefwp:133.

    Full description at Econpapers || Download paper

  20. Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?. (2000). Nelson, Charles ; Morley, James ; Kim, Chang-Jin.
    In: Discussion Papers in Economics at the University of Washington.
    RePEc:fth:washer:0011.

    Full description at Econpapers || Download paper

  21. Measuring Systematic Monetary Policy. (2000). Jorda, Oscar ; Hoover, Kevin.
    In: Department of Economics.
    RePEc:fth:caldec:00-05.

    Full description at Econpapers || Download paper

  22. Is money useful in the conduct of monetary policy?. (2000). Santucci, Larry ; Lantz, Carl D. ; Dotsey, Michael.
    In: Economic Quarterly.
    RePEc:fip:fedreq:y:2000:i:fall:p:23-48.

    Full description at Econpapers || Download paper

  23. How stable is the predictive power of the yield curve? evidence from Germany and the United States. (2000). Rodrigues, Anthony ; Estrella, Arturo ; Schich, Sebastian.
    In: Staff Reports.
    RePEc:fip:fednsr:113.

    Full description at Econpapers || Download paper

  24. Inference on the Quantile Regression Process. (2000). Koenker, Roger.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0886.

    Full description at Econpapers || Download paper

  25. Tests of Equal Forecast Accuracy and Encompassing for Nested Models. (2000). McCracken, Michael ; Clark, Todd.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0319.

    Full description at Econpapers || Download paper

  26. A Time Series Model of Multiple Structural changes in Level, Trend and Variance. (1999). Zivot, Eric ; Wang, Jiahui.
    In: Econometrics.
    RePEc:wpa:wuwpem:9903002.

    Full description at Econpapers || Download paper

  27. Specification Search and Stability Analysis. (1999). Hoyo, del J. ; Llorente, Guillermo J..
    In: Computing in Economics and Finance 1999.
    RePEc:sce:scecf9:642.

    Full description at Econpapers || Download paper

  28. Are Deep Parameters Stable? The Lucas Critique as an Empirical Hypothesis. (1999). Fuhrer, Jeffrey ; Estrella, Arturo.
    In: Computing in Economics and Finance 1999.
    RePEc:sce:scecf9:621.

    Full description at Econpapers || Download paper

  29. Tests of Equal Forecast Accuracy and Encompassing for Nested Models. (1999). McCracken, Michael ; Clark, Todd.
    In: Computing in Economics and Finance 1999.
    RePEc:sce:scecf9:1241.

    Full description at Econpapers || Download paper

  30. Testing for Structural Breaks in the Evaluation of Programs. (1999). Piehl, Anne ; AnthonyA. Braga, ; Cooper, Suzanne J. ; Kennedy, David M..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7226.

    Full description at Econpapers || Download paper

  31. Tests of equal forecast accuracy and encompassing for nested models. (1999). McCracken, Michael ; Clark, Todd.
    In: Research Working Paper.
    RePEc:fip:fedkrw:99-11.

    Full description at Econpapers || Download paper

  32. Are oil shocks inflationary? Asymmetric and nonlinear specifications versus changes in regime. (1999). Hooker, Mark A..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:1999-65.

    Full description at Econpapers || Download paper

  33. Are deep parameters stable? the Lucas critique as an empirical hypothesis. (1999). Fuhrer, Jeffrey ; Estrella, Arturo.
    In: Working Papers.
    RePEc:fip:fedbwp:99-4.

    Full description at Econpapers || Download paper

  34. Modest policy interventions. (1999). Zha, Tao ; Leeper, Eric.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:99-22.

    Full description at Econpapers || Download paper

  35. Emerging Markets and Trading Costs. (1999). Ghysels, Eric ; Cherkaoui, Mouna .
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:99s-04.

    Full description at Econpapers || Download paper

  36. Structural Change Tests for Simulated Method of Moments. (1998). Guay, Alain.
    In: Cahiers de recherche CREFE / CREFE Working Papers.
    RePEc:cre:crefwp:61.

    Full description at Econpapers || Download paper

  37. Structural Change Tests for Simulated Method of Moments. (1998). Guay, Alain ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:98s-19.

    Full description at Econpapers || Download paper

  38. Slowdowns and Meltdowns: Postwar Growth Evidence from 74 Countries. (1997). Papell, David ; Ben-David, Dan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6266.

    Full description at Econpapers || Download paper

  39. The bank lending channel of monetary policy transmission: evidence from a model of bank behavior that incorporates long-term customer relationships.. (1997). Gibson, Michael S..
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:584.

    Full description at Econpapers || Download paper

  40. What Does the Bundesbank Target?. (1996). Mihov, Ilian ; Bernanke, Ben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5764.

    Full description at Econpapers || Download paper

  41. Moving endpoints and the internal consistency of agents ex ante forecasts. (1996). Tinsley, Peter ; Kozicki, Sharon.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:96-47.

    Full description at Econpapers || Download paper

  42. Structural Change and Asset Pricing in Emerging Markets. (1996). Ghysels, Eric ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:96s-34.

    Full description at Econpapers || Download paper

  43. Modelling Federal Reserve Discount Policy. (1996). Baum, Christopher ; Karasulu, Meral .
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:335.

    Full description at Econpapers || Download paper

  44. CHANGES IN THE INFLATION PROCESS IN CANADA: Evidence and Implications. (1995). Hostland, Doug.
    In: Macroeconomics.
    RePEc:wpa:wuwpma:9508001.

    Full description at Econpapers || Download paper

  45. Oil Prices and the Rise and Fall of the U.S. Real Exchange Rate. (1995). van Norden, Simon ; Amano, Robert.
    In: International Finance.
    RePEc:wpa:wuwpif:9502001.

    Full description at Econpapers || Download paper

  46. On Stable Factor Structures in the Pricing of Risk. (1995). Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:95s-16.

    Full description at Econpapers || Download paper

  47. Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models. (1995). Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:95s-07.

    Full description at Econpapers || Download paper

  48. An Analysis of the Real Interest Rate Under Regime Shifts. (1995). Perron, Pierre ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:95s-05.

    Full description at Econpapers || Download paper

  49. Moving Endpoints in Macrofinance. (). Tinsley, Peter ; Kozicki, Sharon.
    In: Computing in Economics and Finance 1996.
    RePEc:sce:scecf6:_058.

    Full description at Econpapers || Download paper

  50. Ex Post and Ex Ante Analysis of Provisional Data. (). Marcellino, Massimiliano ; Gallo, Giampiero.
    In: Working Papers.
    RePEc:igi:igierp:141.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-02-09 08:33:32 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.