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Forecasting Interest Rates and Inflation: Blue Chip Clairvoyants or Econometrics?
16 references·2 citing·38 second hop
Forecasting Interest Rates and Inflation: Blue Chip Clairvoyants or Econometrics? (2011)Forecasting Interest Rates and Inflation:…Futures prices as risk-adjusted forecasts of monetary policy (2008)Futures prices as risk-adjust…Tests of Conditional Predictive Ability (2006)Tests of Conditional Predicti…Monetary Policy Surprises and Interest Rates: Evidence from the Fed Funds Futures Markets (2006)Monetary Policy Surprises and…A Test for Superior Predictive Ability (2005)A Test for Superior Predictiv…Forecasting the Term Structure of Government Bond Yields (2003)Forecasting the Term Structur…Earnings skewness and analyst forecast bias (2003)Earnings skewness and analyst…A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)A no-arbitrage vector autoreg…Term Premia and Interest Rate Forecasts in Affine Models (2002)Term Premia and Interest Rate…Monetary policy surprises and interest rates: Evidence from the Fed funds futures market (2001)Monetary policy surprises and…Federal Reserve Information and the Behavior of Interest Rates (2000)Federal Reserve Information a…Asymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyTesting the Rationality of Price Forecasts: New Evidence from Panel Data (1990)Testing the Rationality of Pr…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…Bayes-Stein Estimation for Portfolio Analysis (1986)Bayes-Stein Estimation for Po…A NOTE ON USING CROSS‐SECTIONAL INFORMATION IN BAYESIAN ESTIMATION OF SECURITY BETAS (1973)A NOTE ON USING CROSS‐SECTION…Financial nowcasts and their usefulness in macroeconomic forecasting (2019)Financial nowcasts and their …Anchoring the yield curve using survey expectations (2017)Anchoring the yield curve usi…Macroeconomics and Reality (1980)Rules, discretion and reputation in a model of monetary policy (1983)Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements (2004)What Explains the Stock Market's Reaction to Federal Reserve Policy? (2005)Monetary Policy Surprises, Credit Costs, and Economic Activity (2015)American Economic Review (2019)Testing the equality of prediction mean squared errors (1997)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2011)Forecasting: theory and practice (2022)Measuring the Term Structure of Interest Rates (1971)THE TAX‐ADJUSTED YIELD CURVE (1975)The Determinants of Credit Spread Changes (2001)Founding family ownership and the agency cost of debt (2003)Term Structure of Interest Rates (2008)Risk, Return, and Equilibrium: Empirical Tests (1973)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Approximately normal tests for equal predictive accuracy in nested models (2006)Volatility forecast comparison using imperfect volatility proxies (2010)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Common risk factors in the returns on stocks and bonds (1993)Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2016)Discretion versus policy rules in practice (1993)The macroeconomy and the yield curve: a dynamic latent factor approach (2005)What does the yield curve tell us about GDP growth? (2005)The effect of changes in the federal funds rate target on market interest rates in the 1970s (1989)Federal Reserve interest rate targeting, rational expectations, and the term structure (1995)Do Measures of Monetary Policy in a VAR Make Sense (1998)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Forecasting Economic Time Series (2000)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Comparing Predictive Accuracy (1995)Macroeconomic Forecasting Using Diffusion Indexes (2002)Bond Risk Premia (2005)Macro Factors in Bond Risk Premia (2009)
this work references cited by second hop

References

  • 1994Comparing Predictive Accuracy5,578 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 2001Monetary policy surprises and interest rates: Evidence from the Fed funds futures market2,054 cited
  • 2003Forecasting the Term Structure of Government Bond Yields1,838 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,687 cited
  • 2006Tests of Conditional Predictive Ability1,667 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited
  • 2005A Test for Superior Predictive Ability1,227 cited
  • 2000Federal Reserve Information and the Behavior of Interest Rates1,049 cited
  • 1986Bayes-Stein Estimation for Portfolio Analysis960 cited
  • 1990Testing the Rationality of Price Forecasts: New Evidence from Panel Data499 cited
  • 1973A NOTE ON USING CROSS‐SECTIONAL INFORMATION IN BAYESIAN ESTIMATION OF SECURITY BETAS477 cited
  • 2006Monetary Policy Surprises and Interest Rates: Evidence from the Fed Funds Futures Markets414 cited
  • 2003Earnings skewness and analyst forecast bias403 cited

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  • 2008Futures prices as risk-adjusted forecasts of monetary policy400 cited
  • Cited by

    • 2017Anchoring the yield curve using survey expectations27 cited
    • 2019Financial nowcasts and their usefulness in macroeconomic forecasting26 cited