SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Accounting for a Shift in Term Structure Behavior with No‐Arbitrage and Macro‐Finance Models
16 references·16 citing·35 second hopsampled
Accounting for a Shift in Term Structure Behavior with No‐Arbitrage and Macro‐Finance Models (2007)Accounting for a Shift in Term Structure …The macroeconomy and the yield curve: a dynamic latent factor approach (2005)The macroeconomy and the yiel…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…Regime Switches in Interest Rates (2002)Regime Switches in Interest R…The Long and Large Decline in U.S. Output Volatility (2001)The Long and Large Decline in…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…Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle (1999)Has the U.S. Economy Become M…Modeling the conditional distribution of interest rates as a regime-switching process (1996)Modeling the conditional dist…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…Discretion versus policy rules in practice (1993)Discretion versus policy rule…Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Yield Spreads and Interest Ra…Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…Rational-expectations econometric analysis of changes in regime (1988)Rational-expectations econome…Output Fluctuations in the United States: What Has Changed since the Early 1980's?Output Fluctuations in the Un…Resolving the Spanning Puzzle in Macro-Finance Term Structure Models (2016)Resolving the Spanning Puzzle…Yield Curve Modeling and Forecasting (2013)Yield Curve Modeling and Fore…Macroeconomic Drivers of Bond and Equity Risks (2013)Macroeconomic Drivers of Bond…Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach (2012)Yield Curve Modeling and Fore…No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth (2012)No-arbitrage Near-Cointegrate…The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks (2010)The Bond Premium in a DSGE Mo…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…Time‐varying yield curve dynamics and monetary policy (2009)Time‐varying yield curve dyna…The term structure of policy rules (2009)The term structure of policy …The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks (2009)The Bond Premium in a DSGE Mo…Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds (2008)Inflation Bets or Deflation H…An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model (2008)An Arbitrage-Free Generalized…An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model (2008)An Arbitrage-Free Generalized…The Bond Yield 'Conundrum' from a Macro-Finance Perspective (2007)The Bond Yield 'Conundrum' fr…Revealing the Secrets of the Temple: The Value of Publishing Central Bank Interest Rate Projections (2006)Revealing the Secrets of the …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)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Cointegration and Tests of Present Value Models (1987)The Information in Long-Maturity Forward Rates (1987)Bond Risk Premia (2005)Common risk factors in the returns on stocks and bonds (1993)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)The Science of Monetary Policy: A New Keynesian Perspective (1999)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)A consumption-based model of the term structure of interest rates☆ (2005)Macro Factors in Bond Risk Premia (2009)The Econometrics of Financial Markets (2012)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)American Economic Review (2019)Stochastic Differential Equations and Diffusion Processes (1983)Basel Committee On Banking Supervision (2010)The Determinants of Credit Spread Changes (2001)Credit Spreads and Business Cycle Fluctuations (2012)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1993Discretion versus policy rules in practice9,059 cited
  • 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*4,631 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • n.d.Output Fluctuations in the United States: What Has Changed since the Early 1980's?1,867 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View1,780 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
  • 1996Modeling the conditional distribution of interest rates as a regime-switching process1,492 cited
  • 1999Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle1,174 cited
  • 2001The Long and Large Decline in U.S. Output Volatility995 cited
  • 2005The macroeconomy and the yield curve: a dynamic latent factor approach967 cited
  • 1988

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Rational-expectations econometric analysis of changes in regime
898 cited
  • 2002Regime Switches in Interest Rates854 cited
  • Cited by

    • 2009The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks160 cited
    • 2010The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks156 cited
    • 2008Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds121 cited
    • 2012Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach91 cited
    • 2016Resolving the Spanning Puzzle in Macro-Finance Term Structure Models87 cited
    • 2013Yield Curve Modeling and Forecasting66 cited
    • 2009The term structure of policy rules63 cited
    • 2010MACRO‐FINANCE MODELS OF INTEREST RATES AND THE ECONOMY61 cited
    • 2008An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model57 cited
    • 2010Bond risk premiums and optimal monetary policy56 cited
    • 2012No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth54 cited
    • 2007The Bond Yield 'Conundrum' from a Macro-Finance Perspective54 cited
    • 2009Time‐varying yield curve dynamics and monetary policy52 cited
    • 2006Revealing the Secrets of the Temple: The Value of Publishing Central Bank Interest Rate Projections52 cited
    • 2013Macroeconomic Drivers of Bond and Equity Risks51 cited
    • 2008An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model45 cited