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An affine macro-finance term structure model for the euro area
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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
  • 2004Interest and Prices2,583 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 1999Monetary Policy Rules1,705 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,687 cited
  • 1997Inflation forecast targeting: Implementing and monitoring inflation targets1,666 cited
  • 2003Measuring the Natural Rate of Interest1,062 cited
  • 2002Term structure evidence on interest rate smoothing and monetary policy inertia772 cited
  • 1998Policy Rules for Inflation Targeting656 cited
  • 2003An Area Wide Model (Awm) for the Euro Area641 cited
  • 2001Affine Term Structure Models and the Forward Premium Anomaly594 cited
  • 2008A Macro‐Finance Model of the Term Structure, Monetary Policy and the Economy556 cited
  • 2004An area-wide model for the euro area478 cited
  • 2005A joint econometric model of macroeconomic and term-structure dynamics

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382 cited

Cited by

  • 2009An Extended Macro-Finance Model with Financial Factors38 cited
  • 2007Time-Varying Contributions by the Corporate Bond and CDS Markets to Credit Risk Price Discovery31 cited
  • 2011Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets29 cited
  • 2017The interest rate effects of government bond purchases away from the lower bound21 cited
  • 2014The Macroeconomic Determinants of the US Term-Structure during the Great Moderation18 cited
  • 2010Yield Curve Dynamics and Spillovers in Central and Eastern European Countries13 cited