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Deriving Inflation Expectations from Nominal and Inflation-Indexed Treasury Yields
7 references·6 citing·43 second hop
Deriving Inflation Expectations from Nominal and Inflation-Indexed Treasury Yields (2000)Deriving Inflation Expectations from Nomi…Using Treasury STRIPS to Measure the Yield Curve (2000)Using Treasury STRIPS to Meas…The relative pricing of U.S. Treasury STRIPS: empirical evidence (2000)The relative pricing of U.S. …Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Monetary Policy Rules and Mac…The Treasury Securities Market: Overview and Recent Developments (1999)The Treasury Securities Marke…Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory (1998)Monetary Policy Rules and Mac…Fitting The Term Structure of Interest Rates With Smoothing Splines (1995)Fitting The Term Structure of…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Development of Inflation Expectations in Serbia and a Comparative Analysis (2020)Development of Inflation Expe…Inflation news and stock returns: market direction and flow-through ability (2012)Inflation news and stock retu…Explanatory factors of the inflation news impact on stock returns by sector: The Spanish case (2008)Explanatory factors of the in…The Lower and Upper Bounds of the Federal Open Market Committee's Long-Run Inflation Objective (2007)The Lower and Upper Bounds of…Monetary Policy Actions, Macroeconomic Data Releases, and Inflation Expectations (2004)Monetary Policy Actions, Macr…Monetary Policy Actions and the Incentive to Invest (2004)Monetary Policy Actions and t…Deriving Inflation Expectations from Nominal and Inflation-Indexed Treasury Yields (2000)Financial Market Implications of the Federal Debt Paydown (2000)Measuring Treasury Market Liquidity (2001)A Search‐Based Theory of the On‐the‐Run Phenomenon (2008)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Liquidity, Maturity, and the Yields on U.S. Treasury Securities (1991)Special Repo Rates (1996)The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices (2002)The Flight‐to‐Liquidity Premium in U.S. Treasury Bond Prices (2004)Affine Term Structure Models (2010)Economic Forces and the Stock Market (1986)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Common risk factors in the returns on stocks and bonds (1993)The inflation–output nexus: Empirical evidence from India, South Africa, and Brazil (2012)Interest and Inflation Risk: Investor Behavior (2016)Using daily stock returns (1985)Parsimonious Modeling of Yield Curves (1987)Event Studies in Economics and Finance (1997)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)ARCH modeling in finance (1992)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)The Investment, Financing, and Valuation of the Corporation (1963)By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior (1995)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Asymmetric convergence in US financial credit default swap sector index markets (2011)Risk spillovers in oil-related CDS, stock and credit markets (2012)Relationships between Financial Sectors’ CDS Spreads and Other Gauges of Risk: Did the Great Recession Change Them? (2013)Liquidity, Reconstitution, and the Value of U.S. Treasury Strips (1993)The U.S. Treasury Yield Curve: 1961 to the Present (2006)Oil and the Macroeconomy since World War II (1983)Staggered Prices in a Utility-Maximizing Framework (1996)Monetary policy rules in practice (1998)Inflation dynamics: A structural econometric analysis (1999)The Science of Monetary Policy: A New Keynesian Perspective (1999)Monetary Policy and Exchange Rate Volatility in a Small Open Economy (2005)Staggered prices in a utility-maximizing framework (1983)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Some Lessons from the Yield Curve (1995)The U.S. Treasury yield curve: 1961 to the present (2007)Noise as Information for Illiquidity (2013)
this work references cited by second hop

References

  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*4,631 cited
  • 1998Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory1,195 cited
  • 1995Fitting The Term Structure of Interest Rates With Smoothing Splines146 cited
  • 1999The Treasury Securities Market: Overview and Recent Developments59 cited
  • 2000The relative pricing of U.S. Treasury STRIPS: empirical evidence44 cited
  • 2000Using Treasury STRIPS to Measure the Yield Curve34 cited

Cited by

  • 2008Explanatory factors of the inflation news impact on stock returns by sector: The Spanish case27 cited
  • 2012Inflation news and stock returns: market direction and flow-through ability15 cited
  • 2004Monetary Policy Actions and the Incentive to Invest12 cited
  • 2004Monetary Policy Actions, Macroeconomic Data Releases, and Inflation Expectations10 cited
  • 2020Development of Inflation Expectations in Serbia and a Comparative Analysis9 cited
  • 2007The Lower and Upper Bounds of the Federal Open Market Committee's Long-Run Inflation Objective9 cited

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