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Identifying the Dynamics of Real Interest Rates and Inflation: Evidence Using Survey Data
16 references·16 citing·34 second hopsampled
Identifying the Dynamics of Real Interest Rates and Inflation: Evidence Using Survey Data (1991)Identifying the Dynamics of Real Interest…Short- Term Interest Rates as Predictors of Inflation (2021)Short- Term Interest Rates as…Theory of rational option pricing (2005)Theory of rational option pri…An Exact Bond Option Formula (1989)An Exact Bond Option FormulaRational-expectations econometric analysis of changes in regime (1988)Rational-expectations econome…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Nominal exchange rate regimes and the behavior of real exchange rates: Evidence and implications (1986)Nominal exchange rate regimes…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…The information in the term structure (1984)The information in the term s…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Econometric policy evaluation: A critique (1976)Econometric policy evaluation…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty (2018)Variance Risk Premia, Asset P…Tips from TIPS: The Informational Content of Treasury Inflation-Protected Security Prices (2018)Tips from TIPS: The Informati…Inflation Expectations, Real Rates, and Risk Premia: Evidence from Inflation Swaps (2012)Inflation Expectations, Real …Estimation of Dynamic Term Structure Models (2012)Estimation of Dynamic Term St…Term Structure Estimation with Survey Data on Interest Rate Forecasts (2011)Term Structure Estimation wit…Affine Term Structure Models (2010)Affine Term Structure ModelsTerm Structure Estimation with Survey Data on Interest Rate Forecasts (2006)Term Structure Estimation wit…Do Macro Variables, Asset Markets, or Surveys Forecast Inflation Better? (2006)Do Macro Variables, Asset Mar…Does the Failure of the Expectations Hypothesis Matter for Long‐Term Investors? (2005)Does the Failure of the Expec…Time-varying risk aversion and unexpected inflation (2003)Time-varying risk aversion an…Multi-Factor Cox-Ingersoll-Ross Models of the Term Structure: Estimates and Tests from a Kalman Filter Model (2003)Multi-Factor Cox-Ingersoll-Ro…Kalman Filtering of Generalized Vasicek Term Structure Models (1999)Kalman Filtering of Generaliz…Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter (1999)Estimating and Testing Expone…New techniques to extract market expectations from financial instruments (1997)New techniques to extract mar…Inflation, Asset Prices, and the Term Structure of Interest Rates in Monetary Economics (1996)Inflation, Asset Prices, and …A Test of the Cox, Ingersoll, and Ross Model of the Term Structure (1993)A Test of the Cox, Ingersoll,…MONEY, INCOME, AND CAUSALITY (1972)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)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)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)The relationship between return and market value of common stocks (1981)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)A Theory of the Consumption Function (1960)Some International Evidence on Output-Inflation Tradeoffs. (1973)The Role of Monetary Policy (1995)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Does Culture Affect Economic Outcomes? (2006)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Option pricing: A simplified approach (1979)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1976Econometric policy evaluation: A critique6,104 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 1988Rational-expectations econometric analysis of changes in regime898 cited
  • 2021Short- Term Interest Rates as Predictors of Inflation870 cited
  • 1986Nominal exchange rate regimes and the behavior of real exchange rates: Evidence and implications860 cited
  • 1989An Exact Bond Option Formula731 cited
  • 1984The information in the term structure

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  • 1996Inflation, Asset Prices, and the Term Structure of Interest Rates in Monetary Economics170 cited
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