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The October 1979 Change in the U.S. Monetary Regime: Its Impact on the Forecastability of Canadian Interest Rates
16 references·1 citing·47 second hop
The October 1979 Change in the U.S. Monetary Regime: Its Impact on the Forecastability of Canadian Interest Rates (1988)The October 1979 Change in the U.S. Monet…THE TERM STRUCTURE OF INTEREST RATES: EVIDENCE AND THEORY (1988)THE TERM STRUCTURE OF INTERES…A Defense of Traditional Hypotheses about the Term Structure of Interest Rates (1986)A Defense of Traditional Hypo…Interest Rate Volatility and Monetary Policy (1984)Interest Rate Volatility and …The Response of Short-Term Interest Rates to Weekly Money Announcements: Note (1983)The Response of Short-Term In…Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates (1983)Forward Rates and Future Poli…A Simple Account of the Behavior of Long-Term Interest Rates (1983)A Simple Account of the Behav…The Response of Short-Term Interest Rates to Weekly Money Announcements (1982)The Response of Short-Term In…Interest Rate Volatility and Monetary Policy (1982)Interest Rate Volatility and …A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)A Re-Examination of Tradition…Survey evidence on the ‘rationality’ of interest rate expectations (1980)Survey evidence on the ‘ratio…The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)The Volatility of Long-Term I…On the Random Walk Characteristics of Short- and Long-Term Interest Rates In an Efficient Market (1979)On the Random Walk Characteri…On the Efficiency of the Bond Market: Some Canadian Evidence (1978)On the Efficiency of the Bond…A Classical Macroeconometric Model for the United States (1976)A Classical Macroeconometric …An Estimate of the Liquidity Premium (1975)An Estimate of the Liquidity …The Aggregation of Investor's Diverse Judgments and Preferences in Purely Competitive Security Markets (1969)The Aggregation of Investor's…Forecasting interest rates with eurodollar futures rates (1994)Forecasting interest rates wi…An Intertemporal Capital Asset Pricing Model (1973)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Stock Returns and the Term Structure (1985)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables (1970)Inflation, Rational Expectations and the Term Structure of Interest Rates (1973)Econometric policy evaluation: A critique (1976)Stock Prices and Economic News (1984)Stock Prices, News, and Business Conditions (1993)Replication in Empirical Economics: The Journal of Money, Credit and Banking Project (2016)The Theory of Investment Value, by John Burr Williams (1939)Measuring the Term Structure of Interest Rates (1971)The Information in Long-Maturity Forward Rates (1987)Estimating and Interpreting Forward Interest Rates: Sweden 1992 - 1994 (1994)Proof that Properly Anticipated Prices Fluctuate Randomly (2015)Optimal Choice of Monetary Policy Instruments in a Simple Stochastic Macro Model (1970)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Testing for causality (1980)Sticky Prices in the United States (1982)Non-Monetary Effects of the Financial Crisis in the Propagation of the Great Depression (1983)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2008)MONEY, INCOME, AND CAUSALITY (1972)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Trends and random walks in macroeconmic time series (1982)Does the Stock Market Overreact? (1985)Efficient Capital Markets: II (1991)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Risk Aversion in the Small and in the Large (1976)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Information and the Cost of Capital (2004)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)An Intertemporal General Equilibrium Model of Asset Prices (1985)Chapter 13 The term structure of interest rates (1990)Do stationary risk premia explain it all? (1994)A STATE‐SPACE APPROACH TO ESTIMATE AND TEST MULTIFACTOR COX‐INGERSOLL‐ROSS MODELS OF THE TERM STRUCTURE (1999)Rational Expectations and the Theory of Price Movements (1961)The Behavior of Stock-Market Prices (1965)New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates (1989)Testing the Rationality of Price Forecasts: New Evidence from Panel Data (1990)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Business conditions and expected returns on stocks and bonds (1989)ARCH modeling in finance (1992)Co-Integration and Error-Correction: Representation, Estimation, and Testing (2008)
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References

  • 1979The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure811 cited
  • 1981A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates588 cited
  • 1983Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates562 cited
  • 1976A Classical Macroeconometric Model for the United States553 cited
  • 1969The Aggregation of Investor's Diverse Judgments and Preferences in Purely Competitive Security Markets501 cited
  • 1980Survey evidence on the ‘rationality’ of interest rate expectations189 cited
  • 1986A Defense of Traditional Hypotheses about the Term Structure of Interest Rates167 cited
  • 1975An Estimate of the Liquidity Premium122 cited
  • 1983A Simple Account of the Behavior of Long-Term Interest Rates101 cited
  • 1982The Response of Short-Term Interest Rates to Weekly Money Announcements98 cited
  • 1984Interest Rate Volatility and Monetary Policy82 cited
  • 1979On the Random Walk Characteristics of Short- and Long-Term Interest Rates In an Efficient Market74 cited
  • 1988THE TERM STRUCTURE OF INTEREST RATES: EVIDENCE AND THEORY64 cited
  • 1982Interest Rate Volatility and Monetary Policy63 cited
  • 1978On the Efficiency of the Bond Market: Some Canadian Evidence

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63 cited
  • 1983The Response of Short-Term Interest Rates to Weekly Money Announcements: Note61 cited
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    • 1994Forecasting interest rates with eurodollar futures rates29 cited