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The Recent Shift in Term Structure Behavior from a No-Arbitrage Macro-Finance Perspective · Study

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PreprintThe Recent Shift in Term Structure Behavior from a No-Arbitrage Macro-Finance Perspective

Glenn D. Rudebusch2005

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Preprintgreen2005

The Recent Shift in Term Structure Behavior from a No-Arbitrage Macro-Finance Perspective

Glenn D. Rudebusch · Tao L. Wu

25 citations·0/0 files stored·SSRN Electronic Journal

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

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References

1993Discretion versus policy rules in practice 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*1993Tests for Parameter Instability and Structural Change With Unknown Change Point 1996A YIELD‐FACTOR MODEL OF INTEREST RATES n.d.Output Fluctuations in the United States: What Has Changed since the Early 1980's?1991Common Factors Affecting Bond Returns 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View 2000Specification Analysis of Affine Term Structure Models

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2007Accounting for a Shift in Term Structure Behavior with No‐Arbitrage and Macro‐Finance Modelsarticle · 37 shared references 2011Predictions of Short-Term Rates and the Expectations Hypothesispreprint · 21 shared references 2004A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economyarticle · 16 shared references 2006Macro Factors and the Affine Term Structure of Interest Ratesarticle · 16 shared references 2010Term Structure Forecasting using Macro Factors and Forecast Combinationarticle · 16 shared references 2003The Term Structure of Real Rates and Expected Inflationpreprint · 15 shared references

Details

Year2005

Typepreprint

Published2005-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations25

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.650862

openalex_workW2116681047

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