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The Expectation Theory: Tests on French, German, and American Euro-Rates
14 references·11 citing·44 second hop
The Expectation Theory: Tests on French, German, and American Euro-Rates (1996)The Expectation Theory: Tests on French, …Term Structure of Interest Rates (2008)Term Structure of Interest Ra…A Cointegration Analysis of Treasury Bill Yields (2008)A Cointegration Analysis of T…The term structure of Euro-rates: some evidence in support of the expectations hypothesis (1997)The term structure of Euro-ra…Some Lessons from the Yield Curve (1995)Some Lessons from the Yield C…Do stationary risk premia explain it all? (1994)Do stationary risk premia exp…Cointegration and the US term structure (1994)Cointegration and the US term…Benchmarking the Expectations Hypothesis of the Interest-Rate Term Structure: An Analysis of Cointegration Vectors (1992)Benchmarking the Expectations…Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets (1989)Market efficiency and cointeg…The information in the term structure: Some further results (1988)The information in the term s…Interpreting cointegrated models (1988)Interpreting cointegrated mod…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…Do Long-Term Interest Rates Overreact to Short-Term Interest Rates? (1984)Do Long-Term Interest Rates O…Financial (Dis)Integration (2010)Financial (Dis)IntegrationEstimation of a Time Varying NAIRU for France (2010)Estimation of a Time Varying …Exchange Rate Regimes and the Expectations Hypothesis of the Term Structure (2005)Exchange Rate Regimes and the…Excès de liquidité monétaire et prix des actifs (2005)Excès de liquidité monétaire …Is there a bank-lending channel in France? Evidence from bank panel data (2003)Is there a bank-lending chann…Croissance économique et diffusion des TIC : le cas de la France sur longue période (1980-2000) (2002)Croissance économique et diff…Threat of a capital levy, expected devaluation and interest rates in France during the interwar period (1999)Threat of a capital levy, exp…La mesure du ratio rendement-risque a partir du marche des euro-devises (1999)La mesure du ratio rendement-…L'investissement en France depuis le debut des annees 1980 (1999)L'investissement en France de…La prevision des taux longs français et allemands a partir d'un modele a anticipations rationnelles (1998)La prevision des taux longs f…Représentation VAR et test de la théorie des anticipations de la structure par terme (1997)Représentation VAR et test de…An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)A Survey of Some Recent Econometric Methods (1989)Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Predictable changes in yields and forward rates (2001)Global Asset Pricing (2011)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets (1995)The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence (1995)On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios (2007)Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates (1983)Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage (1987)A multivariate model of strategic asset allocation (2002)Financial Markets and the Real Economy (2005)Short- Term Interest Rates as Predictors of Inflation (2021)On the Determination of the Public Debt (1979)Business conditions and expected returns on stocks and bonds (1989)Global Capital and National Governments (2001)Climate Change News Risk and Corporate Bond Returns (2020)Does the Stock Market Overreact? (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Stochastic trends and economic fluctuations in a small open economy (1992)Stock prices and bond yields (1992)Two Pillars of Asset Pricing (2014)THE TAX‐ADJUSTED YIELD CURVE (1975)Parsimonious Modeling of Yield Curves (1987)One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities (1993)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)What do We Know About Investment Under Uncertainty? (2000)Asset Pricing Implications of Equilibrium Business Cycle Models (2020)New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates (1989)The Information in the Longer Maturity Term Structure about Future Inflation (1989)Idiosyncratic Variation of Treasury Bill Yields (1996)Interest rates and the conduct of monetary policy (1991)Asset Pricing at the Millennium (2000)Time-varying short-horizon predictability☆ (2010)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Stock Prices, Earnings, and Expected Dividends (1988)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Some Consequences of Temporal Aggregation in Empirical Analysis (1999)Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth (2005)Quantile cointegrating regression (2008)
this work references cited by second hop

References

  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1984The information in the term structure659 cited
  • 2008Term Structure of Interest Rates524 cited
  • 1986The Changing Behavior of the Term Structure of Interest Rates472 cited
  • 1989Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets408 cited
  • 1995Some Lessons from the Yield Curve366 cited
  • 2008A Cointegration Analysis of Treasury Bill Yields320 cited
  • 1984Do Long-Term Interest Rates Overreact to Short-Term Interest Rates?253 cited
  • 1988Interpreting cointegrated models246 cited
  • 1994Do stationary risk premia explain it all?145 cited
  • 1997The term structure of Euro-rates: some evidence in support of the expectations hypothesis142 cited
  • 1994Cointegration and the US term structure131 cited
  • 1988The information in the term structure: Some further results131 cited
  • 1992Benchmarking the Expectations Hypothesis of the Interest-Rate Term Structure: An Analysis of Cointegration Vectors115 cited

Cited by

  • 2010Estimation of a Time Varying NAIRU for France142 cited

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  • 2002Croissance économique et diffusion des TIC : le cas de la France sur longue période (1980-2000)137 cited
  • 1999La mesure du ratio rendement-risque a partir du marche des euro-devises56 cited
  • 1999Threat of a capital levy, expected devaluation and interest rates in France during the interwar period40 cited
  • 2010Financial (Dis)Integration39 cited
  • 1997Représentation VAR et test de la théorie des anticipations de la structure par terme38 cited
  • 1998La prevision des taux longs français et allemands a partir d'un modele a anticipations rationnelles38 cited
  • 1999L'investissement en France depuis le debut des annees 198032 cited
  • 2003Is there a bank-lending channel in France? Evidence from bank panel data17 cited
  • 2005Exchange Rate Regimes and the Expectations Hypothesis of the Term Structure16 cited
  • 2005Excès de liquidité monétaire et prix des actifs15 cited