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

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References

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1999

A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables

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2002Consumption-Based Asset Pricing239 cited

2001Peso problem explanations for term structure anomalies232 cited

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2003Structural changes in the cointegrated vector autoregressive model180 cited

1994Monetary Policy and the Term Structure of Interest Rates174 cited

1997The term structure of Euro-rates: some evidence in support of the expectations hypothesis142 cited