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The Information Content of the Yield Curve for Monetary Policy: A Survey
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The Information Content of the Yield Curve for Monetary Policy: A Survey (2001)The Information Content of the Yield Curv…Unemployment: macroeconomic performance and the labour market (1992)Unemployment: macroeconomic p…An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)An Empirical Comparison of Al…Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Yield Spreads and Interest Ra…The Term Structure as a Predictor of Real Economic Activity (1991)The Term Structure as a Predi…The federal funds rate and the channels of monetary transmission (1989)The federal funds rate and th…The Information in Long-Maturity Forward Rates (1987)The Information in Long-Matur…Cointegration and Tests of Present Value Models (1987)Cointegration and Tests of Pr…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…Rules Rather than Discretion: The Inconsistency of Optimal Plans (1977)Rules Rather than Discretion:…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Econometric policy evaluation: A critique (1976)Econometric policy evaluation…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…The Yield Curve as a Leading Indicator: Frequently Asked Questions (2008)The Yield Curve as a Leading …International evidence on the predictability of returns to securitized real estate assets: econometric models versus neural networks (2003)International evidence on the…A Theory of the Consumption Function (1960)Some International Evidence on Output-Inflation Tradeoffs. (1973)The Role of Monetary Policy (1995)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Does Culture Affect Economic Outcomes? (2006)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Efficient Capital Markets: II (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Common risk factors in the returns on stocks and bonds (1993)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The equity premium: A puzzle (1985)Economic Forces and the Stock Market (1986)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross-Section of Expected Stock Returns (1992)Rational Expectations, the Real Rate of Interest, and the Natural Rate of Unemployment (1973)Equilibria under ‘active’ and ‘passive’ monetary and fiscal policies (1991)Decision Making in Political Systems: Veto Players in Presidentialism, Parliamentarism, Multicameralism and Multipartyism (1995)Veto Players. How Political Institutions Work (2003)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Looking into the Black Box: A Survey of the Matching FunctionSocial Foundations of Postindustrial Economies (1999)An Introduction to Varieties of Capitalism (2001)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)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)The Science of Monetary Policy: A New Keynesian Perspective (1999)What Do a Million Observations on Banks Say About the Transmission of Monetary Policy? (2000)
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
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  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1976Econometric policy evaluation: A critique6,104 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1992Unemployment: macroeconomic performance and the labour market3,291 cited
  • 1989The federal funds rate and the channels of monetary transmission2,833 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
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  • 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View1,780 cited
  • 1991The Term Structure as a Predictor of Real Economic Activity1,739 cited
  • 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate1,679 cited

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  • 1987The Information in Long-Maturity Forward Rates1,552 cited
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    • 2008The Yield Curve as a Leading Indicator: Frequently Asked Questions36 cited
    • 2003International evidence on the predictability of returns to securitized real estate assets: econometric models versus neural networks32 cited