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Predictions of Short-Term Rates and the Expectations Hypothesis · Study

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PreprintPredictions of Short-Term Rates and the Expectations Hypothesis

Massimo Guidolin2011

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Preprintgreen2011

Predictions of Short-Term Rates and the Expectations Hypothesis

Massimo Guidolin · Daniel L. Thornton

14 citations·0/0 files stored·SSRN Electronic Journal

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Monetary Policy and Economic Impact Financial Markets and Investment Strategies Forecasting Techniques and Applications

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References

1985A Theory of the Term Structure of Interest Rates 1977An equilibrium characterization of the term structure 1987Parsimonious Modeling of Yield Curves 1997Testing the equality of prediction mean squared errors 2003Forecasting the Term Structure of Government Bond Yields 1991Common Factors Affecting Bond Returns 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View 2000Specification Analysis of Affine Term Structure Models

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2010Predictions of Short-Term Rates and the Expectations Hypothesisreport · 62 shared references 2006Tests of the Expectations Hypothesis: Resolving the Campbell-Shiller Paradoxarticle · 21 shared references 2005The Recent Shift in Term Structure Behavior from a No-Arbitrage Macro-Finance Perspectivepreprint · 21 shared references 2003Tests of the Expectations Hypothesis: Resolving the Campbell-Shiller Paradoxreport · 19 shared references 2007Accounting for a Shift in Term Structure Behavior with No‐Arbitrage and Macro‐Finance Modelsarticle · 18 shared references 1999Endogenous term premia and anomalies in the term structure of interest rates: Explaining the predictability smilearticle · 17 shared references

Details

Year2011

Typepreprint

Published2011-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations14

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.2139/ssrn.1612403

openalex_workW1572303293

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