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Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure
16 references·13 citing·40 second hop
Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure (1997)Explaining the Failures of the Term Sprea…Term Structure of Interest Rates (2008)Term Structure of Interest Ra…Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag (1995)Unit Root Tests in ARMA Model…A Cointegration Analysis of Treasury Bill Yields (1992)A Cointegration Analysis of T…Is the Fisher Effect for Real? A Reexamination of the Relationship Between Inflation and Interest Rates (1991)Is the Fisher Effect for Real…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Rational-expectations econometric analysis of changes in regime (1988)Rational-expectations econome…Cointegration and Tests of Present Value Models (1987)Cointegration and Tests of Pr…The Changing Behavior of the Term Structure of Interest Rates (1986)The Changing Behavior of the …The information in the term structure (1984)The information in the term s…Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates (1983)Forward Rates and Future Poli…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)A Re-Examination of Tradition…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)The Volatility of Long-Term I…Value and Capital (1939)Value and CapitalHow Did We Get to Where We Are Now? 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this work references cited by second hop

References

  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1939Value and Capital2,893 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 1995Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag1,459 cited
  • 1988Rational-expectations econometric analysis of changes in regime898 cited
  • 1979The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure811 cited
  • 1984The information in the term structure659 cited
  • 1981A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates588 cited
  • 1983Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates562 cited
  • 2008Term Structure of Interest Rates524 cited
  • 1986The Changing Behavior of the Term Structure of Interest Rates472 cited
  • 1991Is the Fisher Effect for Real? A Reexamination of the Relationship Between Inflation and Interest Rates

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438 cited
  • 1992A Cointegration Analysis of Treasury Bill Yields392 cited
  • Cited by

    • 2002Asset Pricing with Observable Stochastic Discount Factors58 cited
    • 2007Preferred habitat for liquidity in international short-term interest rates38 cited
    • 2006Tests of the Expectations Hypothesis: Resolving the Campbell-Shiller Paradox32 cited
    • 2003Estimating Risk Premia in Money Market Rates32 cited
    • 2007Macroeconomic Sources of Risk in the Term Structure30 cited
    • 2003Testes da Hipótese de Expectativas na Estrutura a Termo das Taxas de Juros Brasileiras29 cited
    • 2010Revisiting the expectations hypothesis of the term structure of interest rates27 cited
    • 2005The Expectations Hypothesis of the Term Structure : A Look at the Polish Interbank Market20 cited
    • 2015How Did We Get to Where We Are Now? Reflections on 50 Years of Macroeconomic and Financial Econometrics19 cited
    • 2003The term premium and the puzzles of the expectations hypothesis of the term structure19 cited
    • 2005A Kalman filter approach to characterizing the Canadian term structure of interest rates19 cited
    • 2007Does Central Bank Transparency Impact Financial Markets? A Cross‐Country Econometric Analysis15 cited
    • 2010Predictions of Short-Term Rates and the Expectations Hypothesis15 cited