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The Effect of Money Shocks on Interest Rates in the Presence of Conditional Heteroskedasticity
16 references·0 citing·39 second hop
The Effect of Money Shocks on Interest Rates in the Presence of Conditional Heteroskedasticity (1993)The Effect of Money Shocks on Interest Ra…The Role of Monetary Policy (1995)The Role of Monetary PolicyLiquidity, loanable funds, and real activity (1992)Liquidity, loanable funds, an…Liquidity Effects and the Monetary Transmission Mechanism (1992)Liquidity Effects and the Mon…Interpreting the macroeconomic time series facts (1992)Interpreting the macroeconomi…Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Interest Rate Volatility and …In search of the liquidity effect (1992)In search of the liquidity ef…ARCH modeling in finance (1992)ARCH modeling in financeAn Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)An Empirical Comparison of Al…Identification and the Liquidity Effect of a Monetary Policy Shock (1991)Identification and the Liquid…Liquidity and interest rates (1990)Liquidity and interest ratesEstimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…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…Estimates of the Variance of U. S. Inflation Based upon the ARCH Model (1983)Estimates of the Variance of …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Pricing of Options and Corporate Liabilities (1973)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)A Monetary History of the United States 1867-1960 (1964)MONEY, INCOME, AND CAUSALITY (1972)Macroeconomics and Reality (1980)Monetary Theory and Policy (1999)Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2016)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Asset Prices in an Exchange Economy (1978)Efficient Capital Markets: II (1991)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)Stock Returns and the Term Structure (1985)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Threshold heteroskedastic models (1994)The variation of certain speculative prices (1997)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Specification Analysis of Affine Term Structure Models (2000)Term Premia and Interest Rate Forecasts in Affine Models (2002)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates (1993)Spanning and derivative-security valuation (2000)Arbitrage Theory in Continuous Time (2004)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Econometric Analysis of Cross Section and Panel Data (2001)Econometric policy evaluation: A critique (1976)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Measuring Economic Policy Uncertainty* (2016)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1995The Role of Monetary Policy3,796 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 1992Interpreting the macroeconomic time series facts1,858 cited
  • 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate1,679 cited
  • 1992Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model977 cited
  • 1990Liquidity and interest rates639 cited
  • 1992Liquidity Effects and the Monetary Transmission Mechanism555 cited
  • 1992Liquidity, loanable funds, and real activity545 cited
  • 1983Estimates of the Variance of U. S. Inflation Based upon the ARCH Model462 cited
  • 1992In search of the liquidity effect237 cited

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1991
Identification and the Liquidity Effect of a Monetary Policy Shock
179 cited

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