SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The effect of economic regimes on the relation between term structure and real activity in Japan
16 references·10 citing·49 second hop
The effect of economic regimes on the relation between term structure and real activity in Japan (1997)The effect of economic regimes on the rel…International term structures and real economic growth (1994)International term structures…The Term Structure as a Predictor of Real Economic Activity (1991)The Term Structure as a Predi…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Fundamentals and Stock Returns in Japan (1991)Fundamentals and Stock Return…Fundamentals and Stock Returns in Japan (1991)Fundamentals and Stock Return…Financial Investment Opportunities and the Macroeconomy (1991)Financial Investment Opportun…What does the term structure tell us about future inflation? (1990)What does the term structure …Term-structure forecasts of interest rates, inflation and real returns (1990)Term-structure forecasts of i…Forecasts of Economic Growth from the Bond and Stock Markets (1989)Forecasts of Economic Growth …The real term structure and consumption growth (1988)The real term structure and c…Rational-expectations econometric analysis of changes in regime (1988)Rational-expectations econome…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…Real Business Cycles (1983)Real Business CyclesAn intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…The Rate of Interest (1907)The Rate of InterestThe yield spread's ability to forecast economic activity: What have we learned after 30 years of studies? (2018)The yield spread's ability to…Interconnections Between Eurozone and US Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model (2016)Interconnections Between Euro…The predictive power of yield spread: evidence from wavelet analysis (2013)The predictive power of yield…Forecasting industrial production in Brazil: Evidence from a wavelet approach (2010)Forecasting industrial produc…Predicting European Union Recessions in the Euro Era: The Yield Curve as a Forecasting Tool of Economic Activity (2009)Predicting European Union Rec…The Yield Curve as a Leading Indicator: Frequently Asked Questions (2008)The Yield Curve as a Leading …USE OF THE MONEY SUPPLY IN THE CONDUCT OF JAPAN'S MONETARY POLICY: RE-EXAMINING THE TIME-SERIES EVIDENCE* (2005)USE OF THE MONEY SUPPLY IN TH…El Tramo Corto de la Estructura a Plazo como Predictor de Expectativas de la Actividad Económica en Colombia (2005)El Tramo Corto de la Estructu…The term structure of interest rates in Japan: the predictability of economic activity (2004)The term structure of interes…The Term Structure of Interest Rates and Monetary Policy during a Zero Interest Rate Period (2004)The Term Structure of Interes…Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Why Does Stock Market Volatility Change Over Time? (1989)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)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)Understanding business cycles (1977)Time to Build and Aggregate Fluctuations (1982)Trends and random walks in macroeconmic time series (1982)Agency Costs, Collateral, and Business Fluctuations (1986)Noise (1986)The Value Premium (2005)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)A Theory of the Term Structure of Interest Rates (1985)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)Time Series Regression with a Unit Root (1987)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Econometric policy evaluation: A critique (1976)The theory and practice of econometrics (1986)The Information in Long-Maturity Forward Rates (1987)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Credit Spreads and Business Cycle Fluctuations (2012)The arbitrage theory of capital asset pricing (1976)What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns (1993)Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)Oil prices and the stock prices of alternative energy companies (2007)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Efficient Capital Markets: II (1991)Momentum Strategies (1996)Accounting valuation, market expectation, and cross-sectional stock returns (1998)Characteristics, Covariances, and Average Returns: 1929 to 1997 (2000)An Intertemporal Capital Asset Pricing Model (1973)Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables (1999)Interest rates and the conduct of monetary policy (1991)Asset Pricing at the Millennium (2000)Time-varying short-horizon predictability☆ (2010)
this work references cited by second hop

References

  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1983Real Business Cycles2,076 cited
  • 1991The Term Structure as a Predictor of Real Economic Activity1,739 cited
  • 1991Fundamentals and Stock Returns in Japan1,380 cited
  • 1988Rational-expectations econometric analysis of changes in regime898 cited
  • 1991Financial Investment Opportunities and the Macroeconomy844 cited
  • 1988The real term structure and consumption growth703 cited
  • 1984The information in the term structure659 cited
  • 1986The Changing Behavior of the Term Structure of Interest Rates472 cited
  • 1990Term-structure forecasts of interest rates, inflation and real returns444 cited
  • 1990What does the term structure tell us about future inflation?428 cited
  • 1989Forecasts of Economic Growth from the Bond and Stock Markets424 cited
  • 1907The Rate of Interest404 cited
  • 1994International term structures and real economic growth358 cited
  • 1991

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Fundamentals and Stock Returns in Japan
353 cited

Cited by

  • 2016Interconnections Between Eurozone and US Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model58 cited
  • 2008The Yield Curve as a Leading Indicator: Frequently Asked Questions36 cited
  • 2013The predictive power of yield spread: evidence from wavelet analysis33 cited
  • 2004The term structure of interest rates in Japan: the predictability of economic activity32 cited
  • 2018The yield spread's ability to forecast economic activity: What have we learned after 30 years of studies?27 cited
  • 2005USE OF THE MONEY SUPPLY IN THE CONDUCT OF JAPAN'S MONETARY POLICY: RE-EXAMINING THE TIME-SERIES EVIDENCE*25 cited
  • 2004The Term Structure of Interest Rates and Monetary Policy during a Zero Interest Rate Period14 cited
  • 2009Predicting European Union Recessions in the Euro Era: The Yield Curve as a Forecasting Tool of Economic Activity13 cited
  • 2010Forecasting industrial production in Brazil: Evidence from a wavelet approach13 cited
  • 2005El Tramo Corto de la Estructura a Plazo como Predictor de Expectativas de la Actividad Económica en Colombia13 cited