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Monetary Policy Actions and Long-Term Interest Rates
9 references·16 citing·41 second hop
Monetary Policy Actions and Long-Term Interest Rates (1995)Monetary Policy Actions and Long-Term Int…Federal Reserve interest rate targeting, rational expectations, and the term structure (1995)Federal Reserve interest rate…Interest Rate Policy and the Inflation Scare Problem: 1979-1992 (1993)Interest Rate Policy and the …Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Yield Spreads and Interest Ra…Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …The Changing Behavior of the Term Structure of Interest Rates (1986)The Changing Behavior of the …A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Do Long-Term Interest Rates Overreact to Short-Term Interest Rates? (1984)Do Long-Term Interest Rates O…Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates (1983)Forward Rates and Future Poli…Value and Capital (1939)Value and CapitalMonetary policy and long‐term interest rates: Evidence from the U.S. economy (2020)Monetary policy and long‐term…Monetary Policy and Long-Term Interest Rates (2020)Monetary Policy and Long-Term…Fed policy expectations and portfolio flows to emerging markets (2018)Fed policy expectations and p…The Evolution of Federal Reserve Policy and the Impact of Monetary Policy Surprises on Asset Prices (2014)The Evolution of Federal Rese…Asymmetric volatility response to news sentiment in gold futures (2014)Asymmetric volatility respons…Expectations, Bond Yields, and Monetary Policy (2010)Expectations, Bond Yields, an…The high-frequency impact of news on long-term yields and forward rates: Is it real? (2009)The high-frequency impact of …Review of Monetary Policy in South Africa since 1994 (2007)Review of Monetary Policy in …Inflation Targeting under Imperfect Knowledge (2006)Inflation Targeting under Imp…Inflation Targeting Under Imperfect Knowledge (2006)Inflation Targeting Under Imp…DO EUROPEAN CENTRAL BANK'S STATEMENTS STEER INTEREST RATES IN THE EURO ZONE?* (2006)DO EUROPEAN CENTRAL BANK'S ST…The Changing U.S. Financial System: Some Implications for the Monetary Transmission Mechanism (2002)The Changing U.S. Financial S…THE TRANSMISSION OF MONETARY POLICY IN THE EURO AREA: IMPLICATIONS FOR THE EUROPEAN CENTRAL BANK (2001)THE TRANSMISSION OF MONETARY …The market reaction to federal reserve policy action from 1989 to 1992 (1997)The market reaction to federa…Monetary policy and inflation targeting (1997)Monetary policy and inflation…Does the Fed's New Policy of Immediate Disclosure Affect the Market? (1996)Does the Fed's New Policy of …The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Stock Returns and the Term Structure (1985)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Threshold heteroskedastic models (1994)The variation of certain speculative prices (1997)The Information in Long-Maturity Forward Rates (1987)Interpreting the macroeconomic time series facts (1992)Monetary Policy and the Term Structure of Interest Rates (1994)New techniques to extract market expectations from financial instruments (1997)Inflation scares and forecast-based monetary policy (2005)A Monetary History of the United States, 1867-1960 (2017)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Cointegration and Tests of Present Value Models (1987)Term Premia and Interest Rate Forecasts in Affine Models (2002)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Bond Risk Premia (2005)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Discretion versus policy rules in practice (1993)Term Structure Estimation with Survey Data on Interest Rate Forecasts (2006)Trend and Cycle in Bond Premia (2009)Term Structure Estimation with Survey Data on Interest Rate Forecasts (2011)Business conditions and expected returns on stocks and bonds (1989)ARCH modeling in finance (1992)New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates (1989)The Information in the Longer Maturity Term Structure about Future Inflation (1989)Idiosyncratic Variation of Treasury Bill Yields (1996)Self-fulfilling prophecies (1981)The contingent valuation method: a review (2003)Rare Disasters, Asset Prices, and Welfare Costs (2009)Interest rates and the conduct of monetary policy (1991)Asset Pricing at the Millennium (2000)Time-varying short-horizon predictability☆ (2010)Some Lessons from the Yield Curve (1995)Macroeconomic news and bond market volatility1We thank Walter Toshi Baily, Bob Korajczyk, Jim Poterba, Mark Watson, seminar participants at the University of Chicago, Columbia University, Cornell University, and the University of Montreal, and especially Ludger Hentschel (the referee) for helpful comments. We also thank Mark Mitchell for supplying data, and Amy C. Ko and Sydney Ludvigson for research assistance. Lamont was supported by the FMC Faculty Research Fund at the Graduate School of Business, University of Chicago. A portion of this research was completed while Lumsdaine was a National Fellow at the Hoover Institution. We also thank the Financial Research Center at Princeton University for support. A previous version of this paper circulated as `Public Information and the Persistence of Bond Market Volatility'.1 (1998)Interest-rate smoothing and optimal monetary policy: a review of recent empirical evidence (2000)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1939Value and Capital2,893 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View1,780 cited
  • 1983Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates562 cited
  • 1986The Changing Behavior of the Term Structure of Interest Rates472 cited
  • 1995Federal Reserve interest rate targeting, rational expectations, and the term structure373 cited
  • 1984Do Long-Term Interest Rates Overreact to Short-Term Interest Rates?253 cited
  • 1993Interest Rate Policy and the Inflation Scare Problem: 1979-1992192 cited

Cited by

  • 2010Expectations, Bond Yields, and Monetary Policy142 cited
  • 2009The high-frequency impact of news on long-term yields and forward rates: Is it real?113 cited
  • 2007Review of Monetary Policy in South Africa since 199497 cited
  • 2002The Changing U.S. Financial System: Some Implications for the Monetary Transmission Mechanism77 cited
  • 2006Inflation Targeting Under Imperfect Knowledge75 cited
  • 2018Fed policy expectations and portfolio flows to emerging markets

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71 cited
  • 2014Asymmetric volatility response to news sentiment in gold futures67 cited
  • 1997Monetary policy and inflation targeting54 cited
  • 1997The market reaction to federal reserve policy action from 1989 to 199251 cited
  • 2006Inflation Targeting under Imperfect Knowledge45 cited
  • 2020Monetary Policy and Long-Term Interest Rates43 cited
  • 2020Monetary policy and long‐term interest rates: Evidence from the U.S. economy40 cited
  • 2001THE TRANSMISSION OF MONETARY POLICY IN THE EURO AREA: IMPLICATIONS FOR THE EUROPEAN CENTRAL BANK38 cited
  • 1996Does the Fed's New Policy of Immediate Disclosure Affect the Market?36 cited
  • 2014The Evolution of Federal Reserve Policy and the Impact of Monetary Policy Surprises on Asset Prices35 cited
  • 2006DO EUROPEAN CENTRAL BANK'S STATEMENTS STEER INTEREST RATES IN THE EURO ZONE?*34 cited