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The Term Structure with Semi‐credible Targeting
16 references·3 citing·36 second hop
The Term Structure with Semi‐credible Targeting (2003)The Term Structure with Semi‐credible Tar…Un Cours sur les Intégrales Stochastiques (2002)Un Cours sur les Intégrales S…An Econometric Model of the Yield Curve with Macroeconomic Jump Effects (2001)An Econometric Model of the Y…The Central Tendency: A Second Factor in Bond Yields (1998)The Central Tendency: A Secon…Mathematics of Derivative Securities (1998)Mathematics of Derivative Sec…A model of target changes and the term structure of interest rates (1997)A model of target changes and…The Behavior of Interest Rates Implied by the Term Structure of Eurodollar Futures (1996)The Behavior of Interest Rate…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Federal Reserve interest rate targeting, rational expectations, and the term structure (1995)Federal Reserve interest rate…Federal Reserve interest rate targeting, rational expectations, and the term structure (1995)Federal Reserve interest rate…Target Zones and Exchange Rate Dynamics (1991)Target Zones and Exchange Rat…The Term Structure of Interest Rate Differentials in a Target Zone: Theory and Swedish Data (1990)The Term Structure of Interes…Target Zones and Realignments (1990)Target Zones and RealignmentsThe effect of changes in the federal funds rate target on market interest rates in the 1970s (1989)The effect of changes in the …A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Instantaneous Control of Brownian Motion (1983)Instantaneous Control of Brow…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Why are excess returns on China’s Treasury bonds so predictable? The role of the monetary system (2011)Why are excess returns on Chi…China’s official rates and bond yields (2009)China’s official rates and bo…Modeling the Euro overnight rate (2007)Modeling the Euro overnight r…The Information in Long-Maturity Forward Rates (1987)The federal funds rate and the channels of monetary transmission (1989)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Macroeconomic news and bond market volatility1We thank Walter Toshi Baily, Bob Korajczyk, Jim Poterba, Mark Watson, seminar participants at the University of Chicago, Columbia University, Cornell University, and the University of Montreal, and especially Ludger Hentschel (the referee) for helpful comments. We also thank Mark Mitchell for supplying data, and Amy C. Ko and Sydney Ludvigson for research assistance. Lamont was supported by the FMC Faculty Research Fund at the Graduate School of Business, University of Chicago. A portion of this research was completed while Lumsdaine was a National Fellow at the Hoover Institution. We also thank the Financial Research Center at Princeton University for support. 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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1991Target Zones and Exchange Rate Dynamics1,089 cited
  • 1989The effect of changes in the federal funds rate target on market interest rates in the 1970s595 cited
  • 2002Un Cours sur les Intégrales Stochastiques421 cited
  • 1995Federal Reserve interest rate targeting, rational expectations, and the term structure373 cited
  • 1995Federal Reserve interest rate targeting, rational expectations, and the term structure356 cited
  • 1998Mathematics of Derivative Securities337 cited
  • 1990Target Zones and Realignments297 cited
  • 1983Instantaneous Control of Brownian Motion295 cited
  • 1997A model of target changes and the term structure of interest rates162 cited
  • 1996The Behavior of Interest Rates Implied by the Term Structure of Eurodollar Futures153 cited
  • 1998The Central Tendency: A Second Factor in Bond Yields145 cited
  • 2001An Econometric Model of the Yield Curve with Macroeconomic Jump Effects124 cited

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1990
The Term Structure of Interest Rate Differentials in a Target Zone: Theory and Swedish Data
107 cited

Cited by

  • 2011Why are excess returns on China’s Treasury bonds so predictable? The role of the monetary system29 cited
  • 2009China’s official rates and bond yields28 cited
  • 2007Modeling the Euro overnight rate27 cited