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Modelling the Yield Curve · Study

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ArticleModelling the Yield Curve

Mark P. Taylor1991

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Articlebronze1991

Modelling the Yield Curve

87 citations·0/0 files stored·The Economic Journal

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Financial Markets and Investment Strategies Monetary Policy and Economic Impact Stochastic processes and financial applications

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References

1986Generalized autoregressive conditional heteroskedasticity 1987Time Series Regression with a Unit Root 1988Trends and random walks in macroeconomic time series 1987Cointegration and Tests of Present Value Models 1979The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure 1983Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates 1973Inflation, Rational Expectations and the Term Structure of Interest Rates 1940The Structure of Interest Rates

Cited by

1995THE TERM STRUCTURE OF INTEREST RATES IN THE LONDON INTERBANK MARKET 2006Market efficiency in the bulk freight market revisited 2020Monetary policy and long‐term interest rates: Evidence from the U.S. economy 2011No-Arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth 1994Reexamining the monetary approach to the exchange rate: the dollar-franc, 1976—90 1995

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Year1991

Typearticle

Published1991-01-01

VenueThe Economic Journal

ISSN-L0013-0133

Languageen

Citations87

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.885174

openalex_workW2040890189

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The Predictive Power of Yield Spreads for Future Interest Rates: Evidence from the Danish Term Structure

1994On the Expectations View of the Term Structure, Term Premia and Survey- Based Expectations

2003Testes da Hipótese de Expectativas na Estrutura a Termo das Taxas de Juros Brasileiras

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