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Expectation Puzzles, Time-varying Risk Premia, and Dynamic Models of the Term Structure

41 citations0/0 files storedNational Bureau of Economic Research

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

Abstract

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References

1985A Theory of the Term Structure of Interest Rates 1977An equilibrium characterization of the term structure 1996A YIELD‐FACTOR MODEL OF INTEREST RATES 1991Common Factors Affecting Bond Returns 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View 2000Specification Analysis of Affine Term Structure Models 2002Term Premia and Interest Rate Forecasts in Affine Models 1987The Information in Long-Maturity Forward Rates

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2012Rehabilitating the Role of Active Management for Pension Funds 2004Review Paper. Interest–rate term–structure pricing models: a review 2003An Empirical Examination of Term Structure Models with Regime Shifts 2010Why Do Closed-End Bond Funds Exist? An Additional Explanation for the Growth in Domestic Closed-End Bond Funds 2010No-Arbitrage Taylor Rules with Switching Regimes 2011Predictions of Short-Term Rates and the Expectations Hypothesis

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