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The term structure spread and future changes in long and short rates in the G7 countries · Study

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ArticleThe term structure spread and future changes in long and short rates in the G7 countries

Gikas A. Hardouvelis1994

Article1994

The term structure spread and future changes in long and short rates in the G7 countries

Gikas A. Hardouvelis

287 citations·0/0 files stored·Journal of Monetary Economics

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Monetary Policy and Economic Impact Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1987Cointegration and Tests of Present Value Models 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View 1991The Term Structure as a Predictor of Real Economic Activity 1987The Information in Long-Maturity Forward Rates 1992Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement 1991Financial Investment Opportunities and the Macroeconomy 1979The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure

Cited by

1999A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables 1997On biases in tests of the expectations hypothesis of the term structure of interest rates 2010Affine Term Structure Models 2005A joint econometric model of macroeconomic and term-structure dynamics 2003Term Structure Dynamics in Theory and Reality

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Year1994

Typearticle

Published1994-04-01

VenueJournal of Monetary Economics

ISSN-L0304-3932

Languageen

Citations287

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/0304-3932(94)90003-5

openalex_workW1545455349

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2003

Chapter 13 Consumption-based asset pricing

1999Chapter 19 Asset prices, consumption, and the business cycle

1998Monetary policy and the term structure of nominal interest rates: Evidence and theory