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Level, Slope, Curvature of the Sovereign Yield Curve, and Fiscal Behaviour
8 references·1 citing·44 second hop
Level, Slope, Curvature of the Sovereign Yield Curve, and Fiscal Behaviour (2010)Level, Slope, Curvature of the Sovereign …No-Arbitrage Macroeconomic Determinants of the Yield Curve (2005)No-Arbitrage Macroeconomic De…The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach (2004)The Macroeconomy and the Yiel…Measuring Systematic Risk in EMU Government Yield Spreads (2004)Measuring Systematic Risk in …Federal Government Debt and Interest Rates (2004)Federal Government Debt and I…Macro Factors and the Term Structure of Interest Rates (2003)Macro Factors and the Term St…Forecasting the Term Structure of Government Bond Yields (2003)Forecasting the Term Structur…A Joint Econometric Model of Macroeconomic and Term Structure Dynamics (2003)A Joint Econometric Model of …Short-Run Effects of Fiscal Policy with Forward-Looking Financial Markets (2002)Short-Run Effects of Fiscal P…Yield Curve as a Predictor of Recessions: Evidence from Panel Data (2013)Yield Curve as a Predictor of…Are Government Bonds Net Wealth? (1974)Investor Diversification and International Equity Markets (1991)Discretion versus policy rules in practice (1993)The Economic Effects of Long-Term Fiscal Discipline (2002)The Case Against the Case Against Discretionary Fiscal Policy (2004)Effects of Income Tax Changes on Economic Growth (2014)The Behavior of U. S. Public Debt and Deficits (1998)An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output (1999)An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output (2002)Budget Deficits, National Saving, and Interest Rates (2004)Fiscal Discipline and the Cost of Public Debt Service: Some Estimates for OECD Countries (2007)The macroeconomic effects of fiscal policy (2011)Limited-dependent and qualitative variables in econometrics (1983)Qualitative Response Models: A Survey (1994)Econometric Analysis of Panel Data (2021)Parsimonious Modeling of Yield Curves (1987)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economy (2004)Informed and Strategic Order Flow in the Bond Markets (2007)Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Monetary Policy Rules in Practice: Some International Evidence (1997)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory (1998)Macro Factors and the Affine Term Structure of Interest Rates (2006)Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models (2007)The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models (2007)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Should Central Banks Respond to Movements in Asset Prices? (2001)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models (2006)Monetary Policy Shifts and the Term Structure (2008)Term Structure Forecasting using Macro Factors and Forecast Combination (2010)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Sovereign default and debt renegotiation (2009)A New Perspective on Gaussian Dynamic Term Structure Models (2010)Forecasting Inflation (2013)Macro Factors and the Affine Term Structure of Interest Rates (2005)The Recent Shift in Term Structure Behavior from a No-Arbitrage Macro-Finance Perspective (2005)The Econometrics of Financial Markets (2012)Resolving the Spanning Puzzle in Macro-Finance Term Structure Models (2014)How Sovereign is Sovereign Credit Risk? (2007)Euro Area Sovereign Risk During the Crisis (2009)Economic policy uncertainty and risk spillovers in the Eurozone (2016)
this work references cited by second hop

References

  • 2003Forecasting the Term Structure of Government Bond Yields1,838 cited
  • 2004Federal Government Debt and Interest Rates323 cited
  • 2004The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach282 cited
  • 2004Measuring Systematic Risk in EMU Government Yield Spreads216 cited
  • 2003A Joint Econometric Model of Macroeconomic and Term Structure Dynamics144 cited
  • 2002Short-Run Effects of Fiscal Policy with Forward-Looking Financial Markets47 cited
  • 2005No-Arbitrage Macroeconomic Determinants of the Yield Curve47 cited
  • 2003Macro Factors and the Term Structure of Interest Rates46 cited

Cited by

  • 2013Yield Curve as a Predictor of Recessions: Evidence from Panel Data13 cited

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