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Information in (and not in) the Term Structure
14 references·16 citing·34 second hop
Information in (and not in) the Term Structure (2011)Information in (and not in) the Term Stru…A New Perspective on Gaussian Dynamic Term Structure Models (2010)A New Perspective on Gaussian…Macro Factors in Bond Risk Premia (2009)Macro Factors in Bond Risk Pr…Time-Varying Risk Premiums and the Output Gap (2008)Time-Varying Risk Premiums an…What does the yield curve tell us about GDP growth? (2005)What does the yield curve tel…Bond Risk Premia (2005)Bond Risk PremiaA 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…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…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates (1993)Maximum Likelihood Estimation…Discretion versus policy rules in practice (1993)Discretion versus policy rule…Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Interest Rates under Falling Stars (2020)Interest Rates under Falling …Uncertainty Shocks as Second-Moment News Shocks (2019)Uncertainty Shocks as Second-…Short-Rate Expectations and Unexpected Returns in Treasury Bonds (2018)Short-Rate Expectations and U…Variance risk premiums and the forward premium puzzle (2017)Variance risk premiums and th…Robust Bond Risk Premia (2017)Robust Bond Risk PremiaBond Return Predictability: Economic Value and Links to the Macroeconomy (2017)Bond Return Predictability: E…Decomposing real and nominal yield curves (2016)Decomposing real and nominal …Expected Returns in Treasury Bonds (2015)Expected Returns in Treasury …The Cross‐Section of Credit Risk Premia and Equity Returns (2014)The Cross‐Section of Credit R…Equity yields (2013)Equity yieldsCountercyclical currency risk premia (2013)Countercyclical currency risk…The term structure of inflation expectations (2012)The term structure of inflati…Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset Allocation Perspective (2012)Out-of-Sample Predictions of …Correcting Estimation Bias in Dynamic Term Structure Models (2012)Correcting Estimation Bias in…Why Gaussian Macro-Finance Term Structure Models are (Nearly) Unconstrained Factor-VARs (2011)Why Gaussian Macro-Finance Te…Bond Liquidity Premia (2011)Bond Liquidity PremiaThe 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)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)Industry costs of equity (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)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)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)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Determining the Number of Factors in Approximate Factor Models (2002)Common Risk Factors in Currency Markets (2011)Pricing the term structure with linear regressions (2013)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)A consumption-based model of the term structure of interest rates☆ (2005)The Econometrics of Financial Markets (2012)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)Expected Stock Returns and Variance Risk Premia (2009)How Sovereign Is Sovereign Credit Risk? (2011)
this work references cited by second hop

References

  • 1993Discretion versus policy rules in practice9,059 cited
  • 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*4,631 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1991Common Factors Affecting Bond Returns1,796 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
  • 2005Bond Risk Premia1,546 cited
  • 2009Macro Factors in Bond Risk Premia1,043 cited
  • 2005What does the yield curve tell us about GDP growth?815 cited
  • 1993Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates552 cited
  • 2010A New Perspective on Gaussian Dynamic Term Structure Models544 cited
  • 2008Time-Varying Risk Premiums and the Output Gap501 cited

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  • 2013Countercyclical currency risk premia360 cited

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  • 2011Bond Liquidity Premia304 cited
  • 2015Expected Returns in Treasury Bonds266 cited
  • 2012The term structure of inflation expectations255 cited
  • 2012Correcting Estimation Bias in Dynamic Term Structure Models230 cited
  • 2019Uncertainty Shocks as Second-Moment News Shocks226 cited
  • 2018Short-Rate Expectations and Unexpected Returns in Treasury Bonds224 cited
  • 2020Interest Rates under Falling Stars209 cited
  • 2014The Cross‐Section of Credit Risk Premia and Equity Returns209 cited
  • 2013Equity yields209 cited
  • 2017Robust Bond Risk Premia175 cited
  • 2012Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset Allocation Perspective169 cited
  • 2016Decomposing real and nominal yield curves167 cited
  • 2011Why Gaussian Macro-Finance Term Structure Models are (Nearly) Unconstrained Factor-VARs154 cited
  • 2017Bond Return Predictability: Economic Value and Links to the Macroeconomy144 cited
  • 2017Variance risk premiums and the forward premium puzzle131 cited