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Interest Rate Targeting and the Dynamics of Short-Term Rates
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Interest Rate Targeting and the Dynamics of Short-Term Rates (1997)Interest Rate Targeting and the Dynamics …The Econometrics of Financial Markets (1997)The Econometrics of Financial…The Daily Market for Federal Funds (1996)The Daily Market for Federal …The Behavior of Interest Rates Implied by the Term Structure of Eurodollar Futures (1996)The Behavior of Interest Rate…Some Lessons from the Yield Curve (1995)Some Lessons from the Yield C…Federal Reserve interest rate targeting, rational expectations, and the term structure (1995)Federal Reserve interest rate…A Model of Target Changes and the Term Structure of Interest Rates (1993)A Model of Target Changes and…Interest rates and the conduct of monetary policy (1991)Interest rates and the conduc…Expectations and the Treasury Bill-Federal Funds Rate Spread over Recent Monetary Policy Regimes (1990)Expectations and the Treasury…Chapter 13 The term structure of interest rates (1990)Chapter 13 The term structure…The effect of changes in the federal funds rate target on market interest rates in the 1970s (1989)The effect of changes in the …Interest-rate targeting (1989)Interest-rate targetingTHE TERM STRUCTURE OF INTEREST RATES: EVIDENCE AND THEORY (1988)THE TERM STRUCTURE OF INTERES…The Adjustment of Expectations to a Change in Regime: A Study of the Founding of the Federal Reserve (1987)The Adjustment of Expectation…The Changing Behavior of the Term Structure of Interest Rates (1986)The Changing Behavior of the …Money Announcements, The Demand for Bank Reserves, and the Behavior of the Federal Funds Rate within the Statement Week (1986)Money Announcements, The Dema…Cross-Country Differences in Monetary Policy Execution and Money Market Rates' Volatility (2006)Cross-Country Differences in …Econometric policy evaluation: A critique (1976)Policy Analysis with Econometric Models (1982)The Size and Incidence of the Losses from Noise Trading (1989)A Model of the Political Economy of the United States (1993)Financial Intermediation (2003)A Monetary History of the United States, 1867-1960 (2017)On the Determination of the Public Debt (1979)The federal funds rate and the channels of monetary transmission (1989)Interest Rate Control and Nonconvergence to Rational Expectations (1992)Are Higher Levels of Inflation Less Predictable? A State-Dependent Conditional Heteroscedasticity Approach (1993)The Role of Monetary Policy (1995)The term structure of interest rates in real and monetary economies (1995)The Information in Long-Maturity Forward Rates (1987)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)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)Trend Inflation, Taylor Principle, and Indeterminacy (2009)Capital regulation and monetary policy with fragile banks (2013)A Theory of the Term Structure of Interest Rates (1985)Business conditions and expected returns on stocks and bonds (1989)Global Capital and National Governments (2001)Financial Markets and the Real Economy (2005)Climate Change News Risk and Corporate Bond Returns (2020)An equilibrium characterization of the term structure (1977)On estimating the expected return on the market (1980)Pricing Interest-Rate-Derivative Securities (1990)The Central Tendency: A Second Factor in Bond Yields (1998)Nonlinear Mean Reversion in the Short-Term Interest Rate (2003)Monitoring and Controlling Bank Risk: Does Risky Debt Help? 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References

  • 1997The Econometrics of Financial Markets5,007 cited
  • 1989The effect of changes in the federal funds rate target on market interest rates in the 1970s595 cited
  • 1986The Changing Behavior of the Term Structure of Interest Rates472 cited
  • 1991Interest rates and the conduct of monetary policy464 cited
  • 1996The Daily Market for Federal Funds426 cited
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  • 1995Federal Reserve interest rate targeting, rational expectations, and the term structure356 cited
  • 1987The Adjustment of Expectations to a Change in Regime: A Study of the Founding of the Federal Reserve192 cited
  • 1996The Behavior of Interest Rates Implied by the Term Structure of Eurodollar Futures153 cited
  • 1989Interest-rate targeting137 cited
  • 1990Chapter 13 The term structure of interest rates123 cited
  • 1986Money Announcements, The Demand for Bank Reserves, and the Behavior of the Federal Funds Rate within the Statement Week79 cited
  • 1993A Model of Target Changes and the Term Structure of Interest Rates76 cited
  • 1990Expectations and the Treasury Bill-Federal Funds Rate Spread over Recent Monetary Policy Regimes66 cited
  • 1988THE TERM STRUCTURE OF INTEREST RATES: EVIDENCE AND THEORY

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  • 2006Cross-Country Differences in Monetary Policy Execution and Money Market Rates' Volatility21 cited