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Taylor Rules, McCallum Rules and the Term Structure of Interest Rates
16 references·16 citing·31 second hopsampled
Taylor Rules, McCallum Rules and the Term Structure of Interest Rates (2005)Taylor Rules, McCallum Rules and the Term…Bond Yields and the Federal Reserve (2005)Bond Yields and the Federal R…A consumption-based model of the term structure of interest rates☆ (2005)A consumption-based model of …A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)A no-arbitrage vector autoreg…Term Premia and Interest Rate Forecasts in Affine Models (2002)Term Premia and Interest Rate…Expectation puzzles, time-varying risk premia, and affine models of the term structure (2002)Expectation puzzles, time-var…Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Monetary Policy Rules and Mac…The Science of Monetary Policy: A New Keynesian Perspective (1999)The Science of Monetary Polic…The Science of Monetary Policy: A New Keynesian Perspective (1999)The Science of Monetary Polic…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory (1998)Monetary Policy Rules and Mac…Do Measures of Monetary Policy in a VAR Make Sense (1998)Do Measures of Monetary Polic…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior (1995)By Force of Habit: A Consumpt…Discretion versus policy rules in practice (1993)Discretion versus policy rule…The Information in Long-Maturity Forward Rates (1987)The Information in Long-Matur…Demographics and the Behavior of Interest Rates (2016)Demographics and the Behavior…Yield Curve Modeling and Forecasting (2013)Yield Curve Modeling and Fore…The Swaption Cube (2012)The Swaption CubeHave We Underestimated the Likelihood and Severity of Zero Lower Bound Events? (2011)Have We Underestimated the Li…MACRO‐FINANCE MODELS OF INTEREST RATES AND THE ECONOMY (2010)MACRO‐FINANCE MODELS OF INTER…Bond risk premiums and optimal monetary policy (2010)Bond risk premiums and optima…The Yield Curve and Macroeconomic Dynamics* (2008)The Yield Curve and Macroecon…On the Need for a New Approach to Analyzing Monetary Policy (2008)On the Need for a New Approac…A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure (2008)A No-Arbitrage Analysis of Ma…Macroeconomic Implications of Changes in the Term Premium (2007)Macroeconomic Implications of…Cracking the Conundrum (2007)Cracking the ConundrumArbitrage-Free Bond Pricing with Dynamic Macroeconomic Models (2007)Arbitrage-Free Bond Pricing w…Accounting for a Shift in Term Structure Behavior with No‐Arbitrage and Macro‐Finance Models (2007)Accounting for a Shift in Ter…Monetary Policy and Rejections of the Expectations Hypothesis (2006)Monetary Policy and Rejection…Canonical Term-Structure Models with Observable Factors and the Dynamics of Bond Risk Premiums (2006)Canonical Term-Structure Mode…Fiscal Policy and the Term Structure of Interest Rates (2005)Fiscal Policy and the Term St…Trends and random walks in macroeconomic time series (1988)Business conditions and expected returns on stocks and bonds (1989)Dynamic Asset Pricing Theory. (1993)Investor Psychology and Asset Pricing (2001)The Pricing of Options and Corporate Liabilities (1973)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)Rules, discretion and reputation in a model of monetary policy (1983)Estimation and Inference of Impulse Responses by Local Projections (2005)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)Common risk factors in the returns on stocks and bonds (1993)Bond Risk Premia (2005)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Staggered Prices in a Utility-Maximizing Framework (1996)Inflation dynamics: A structural econometric analysis (1999)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Macro Factors in Bond Risk Premia (2009)The Econometrics of Financial Markets (2012)Stochastic Differential Equations and Diffusion Processes (1983)Basel Committee On Banking Supervision (2010)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Asymmetric Volatility and Risk in Equity Markets (2000)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Investor Psychology and Security Market Under‐ and Overreactions (1998)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)
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References

  • 1993Discretion versus policy rules in practice9,059 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1999The Science of Monetary Policy: A New Keynesian Perspective4,927 cited
  • 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*4,631 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,687 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 1987The Information in Long-Maturity Forward Rates1,552 cited
  • 1995By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior1,527 cited
  • 1998Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory1,166 cited
  • 1999The Science of Monetary Policy: A New Keynesian Perspective1,135 cited
  • 2002Expectation puzzles, time-varying risk premia, and affine models of the term structure754 cited
  • 2005A consumption-based model of the term structure of interest rates☆693 cited
  • 1998Do Measures of Monetary Policy in a VAR Make Sense

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629 cited
  • 2005Bond Yields and the Federal Reserve557 cited
  • Cited by

    • 2007Accounting for a Shift in Term Structure Behavior with No‐Arbitrage and Macro‐Finance Models141 cited
    • 2007Cracking the Conundrum114 cited
    • 2005Fiscal Policy and the Term Structure of Interest Rates107 cited
    • 2008The Yield Curve and Macroeconomic Dynamics*104 cited
    • 2007Macroeconomic Implications of Changes in the Term Premium89 cited
    • 2008A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure73 cited
    • 2006Canonical Term-Structure Models with Observable Factors and the Dynamics of Bond Risk Premiums72 cited
    • 2007Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models72 cited
    • 2013Yield Curve Modeling and Forecasting66 cited
    • 2010MACRO‐FINANCE MODELS OF INTEREST RATES AND THE ECONOMY61 cited
    • 2010Bond risk premiums and optimal monetary policy56 cited
    • 2016Demographics and the Behavior of Interest Rates52 cited
    • 2008On the Need for a New Approach to Analyzing Monetary Policy51 cited
    • 2012The Swaption Cube42 cited
    • 2011Have We Underestimated the Likelihood and Severity of Zero Lower Bound Events?39 cited
    • 2006Monetary Policy and Rejections of the Expectations Hypothesis39 cited