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Extraction of Financial Market Expectations about Inflation and Interest Rates from a Liquid Market
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
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  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 2003Forecasting the Term Structure of Government Bond Yields1,838 cited
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  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,687 cited
  • 1987The Information in Long-Maturity Forward Rates1,552 cited
  • 2003Measuring the Natural Rate of Interest1,062 cited
  • 2007Do macro variables, asset markets, or surveys forecast inflation better?801 cited
  • 1999A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables543 cited
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  • 2006Macro Factors and the Term Structure of Interest Rates327 cited
  • 2001Expectations Hypotheses Tests289 cited
  • 1991A multicountry comparison of term-structure forecasts at long horizons

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198 cited
  • 2006Term Structure Estimation with Survey Data on Interest Rate Forecasts170 cited
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    • 2010A Quarterly Fiscal Database for the Euro Area Based on Intra-Annual Fiscal Information78 cited
    • 2009Assessing the Risk-Return Trade-Off in Loans Portfolios25 cited