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The term structure of very short-term rates: New evidence for the expectations hypothesis
16 references·16 citing·42 second hopsampled
The term structure of very short-term rates: New evidence for the expectations hypothesis (2000)The term structure of very short-term rat…The Econometrics of Financial Markets (2012)The Econometrics of Financial…On biases in tests of the expectations hypothesis of the term structure of interest rates (1997)On biases in tests of the exp…The econometrics of financial markets (1996)The econometrics of financial…Special Repo Rates (1996)Special Repo RatesModeling the conditional distribution of interest rates as a regime-switching process (1996)Modeling the conditional dist…How Much Can Marketability Affect Security Values? (1995)How Much Can Marketability Af…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …Liquidity, Taxes, and Short-Term Treasury Yields (1994)Liquidity, Taxes, and Short-T…Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Yield Spreads and Interest Ra…New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates (1989)New Hope for the Expectations…The Information in Long-Maturity Forward Rates (1987)The Information in Long-Matur…The information in the term structure (1984)The information in the term s…Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates (1983)Forward Rates and Future Poli…A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)A Re-Examination of Tradition…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…Monetary Policy Expectation Errors (2020)Monetary Policy Expectation E…The Effect of the Term Auction Facility on the London Interbank Offered Rate (2015)The Effect of the Term Auctio…LIBOR vs. OIS: The Derivatives Discounting Dilemma (2013)LIBOR vs. OIS: The Derivative…Municipal Debt and Marginal Tax Rates: Is There a Tax Premium in Asset Prices? (2011)Municipal Debt and Marginal T…Repo Market Effects of the Term Securities Lending Facility (2010)Repo Market Effects of the Te…Repo Market Effects of the Term Securities Lending Facility (2010)Repo Market Effects of the Te…How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads (2009)How the Subprime Crisis Went …Capital Constraints, Counterparty Risk, and Deviations from Covered Interest Rate Parity (2009)Capital Constraints, Counterp…The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value☆ (2008)The expectation hypothesis of…Liquidity or Credit Risk? The Determinants of Very Short‐Term Corporate Yield Spreads (2007)Liquidity or Credit Risk? The…Forward-looking information in VAR models and the price puzzle (2006)Forward-looking information i…Nonlinear Mean Reversion in the Short-Term Interest Rate (2003)Nonlinear Mean Reversion in t…Likelihood-based specification analysis of continuous-time models of the short-term interest rate (2003)Likelihood-based specificatio…Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors? (2003)Does the Failure of the Expec…Liquidity risk and specialness (2002)Liquidity risk and specialnessThe Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads (2001)The Market Price of Credit Ri…Trends and random walks in macroeconomic time series (1988)Business conditions and expected returns on stocks and bonds (1989)Dynamic Asset Pricing Theory. 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(2005)Presidential Address: Discount Rates (2011)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)An equilibrium characterization of the term structure (1977)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)Cointegration and Tests of Present Value Models (1987)Term Premia and Interest Rate Forecasts in Affine Models (2002)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Bond Risk Premia (2005)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)ARCH modeling in finance (1992)
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References

  • 2012The Econometrics of Financial Markets5,875 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
  • 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View1,780 cited
  • 1987The Information in Long-Maturity Forward Rates1,552 cited
  • 1996Modeling the conditional distribution of interest rates as a regime-switching process1,492 cited
  • 1996The econometrics of financial markets886 cited
  • 1984The information in the term structure659 cited
  • 1981A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates588 cited
  • 1983Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates562 cited
  • 1996Special Repo Rates461 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt406 cited
  • 1997On biases in tests of the expectations hypothesis of the term structure of interest rates385 cited
  • 1989New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates336 cited
  • 1995How Much Can Marketability Affect Security Values?

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284 cited
  • 1994Liquidity, Taxes, and Short-Term Treasury Yields278 cited
  • Cited by

    • 2007Liquidity or Credit Risk? The Determinants of Very Short‐Term Corporate Yield Spreads170 cited
    • 2009Capital Constraints, Counterparty Risk, and Deviations from Covered Interest Rate Parity142 cited
    • 2003Nonlinear Mean Reversion in the Short-Term Interest Rate138 cited
    • 2008The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value☆113 cited
    • 2002Liquidity risk and specialness111 cited
    • 2003Likelihood-based specification analysis of continuous-time models of the short-term interest rate104 cited
    • 2013LIBOR vs. OIS: The Derivatives Discounting Dilemma100 cited
    • 2011Municipal Debt and Marginal Tax Rates: Is There a Tax Premium in Asset Prices?97 cited
    • 2006Forward-looking information in VAR models and the price puzzle85 cited
    • 2015The Effect of the Term Auction Facility on the London Interbank Offered Rate69 cited
    • 2010Repo Market Effects of the Term Securities Lending Facility68 cited
    • 2001The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads68 cited
    • 2009How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads67 cited
    • 2020Monetary Policy Expectation Errors64 cited
    • 2010Repo Market Effects of the Term Securities Lending Facility60 cited
    • 2003Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors?60 cited