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Some Lessons from the Yield Curve
14 references·16 citing·48 second hop
Some Lessons from the Yield Curve (1995)Some Lessons from the Yield CurveFederal Reserve interest rate targeting, rational expectations, and the term structure (1995)Federal Reserve interest rate…What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns (1993)What Moves the Stock and Bond…Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Yield Spreads and Interest Ra…The Term Structure as a Predictor of Real Economic Activity (1991)The Term Structure as a Predi…What does the term structure tell us about future inflation? (1990)What does the term structure …Term-structure forecasts of interest rates, inflation and real returns (1990)Term-structure forecasts of i…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…The Information in Long-Maturity Forward Rates (1987)The Information in Long-Matur…The Changing Behavior of the Term Structure of Interest Rates (1986)The Changing Behavior of the …Predicting returns in the stock and bond markets (1986)Predicting returns in the sto…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…The information in the term structure (1984)The information in the term s…Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates (1983)Forward Rates and Future Poli…On the Determination of the Public Debt (1979)On the Determination of the P…Climate Change News Risk and Corporate Bond Returns (2020)Climate Change News Risk and …Term Structure Estimation with Survey Data on Interest Rate Forecasts (2011)Term Structure Estimation wit…Futures Contract Rates as Monetary Policy Forecasts (2008)Futures Contract Rates as Mon…Why Does the Yield Curve Predict Output and Inflation? 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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1979On the Determination of the Public Debt3,308 cited
  • 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View1,780 cited
  • 1991The Term Structure as a Predictor of Real Economic Activity1,739 cited
  • 1986Predicting returns in the stock and bond markets1,715 cited
  • 1987The Information in Long-Maturity Forward Rates1,552 cited
  • 1993What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns892 cited
  • 1984The information in the term structure659 cited
  • 1983Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates562 cited
  • 1986The Changing Behavior of the Term Structure of Interest Rates472 cited
  • 1990Term-structure forecasts of interest rates, inflation and real returns444 cited
  • 1990What does the term structure tell us about future inflation?428 cited
  • 1995Federal Reserve interest rate targeting, rational expectations, and the term structure373 cited

Cited by

  • 2001Global Capital and National Governments

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633 cited
  • 2005Financial Markets and the Real Economy572 cited
  • 2020Climate Change News Risk and Corporate Bond Returns557 cited
  • 2002Beyond Greed and Fear528 cited
  • 2003Discounting the distant future: how much do uncertain rates increase valuations?398 cited
  • 2003Empirical option pricing: a retrospection343 cited
  • 1998Macroeconomic news and bond market volatility1We thank Walter Toshi Baily, Bob Korajczyk, Jim Poterba, Mark Watson, seminar participants at the University of Chicago, Columbia University, Cornell University, and the University of Montreal, and especially Ludger Hentschel (the referee) for helpful comments. We also thank Mark Mitchell for supplying data, and Amy C. Ko and Sydney Ludvigson for research assistance. Lamont was supported by the FMC Faculty Research Fund at the Graduate School of Business, University of Chicago. A portion of this research was completed while Lumsdaine was a National Fellow at the Hoover Institution. We also thank the Financial Research Center at Princeton University for support. A previous version of this paper circulated as `Public Information and the Persistence of Bond Market Volatility'.1342 cited
  • 2001LAPM: A Liquidity‐Based Asset Pricing Model331 cited
  • 2005Why Does the Yield Curve Predict Output and Inflation?329 cited
  • 2005The Incredible Volcker Disinflation296 cited
  • 2004The cross-section of expected corporate bond returns: Betas or characteristics?296 cited
  • 1998Measuring monetary policy with VAR models: An evaluation284 cited
  • 2011Term Structure Estimation with Survey Data on Interest Rate Forecasts237 cited
  • 1996Predicting Real Growth Using the Yield Curve206 cited
  • 2008Futures Contract Rates as Monetary Policy Forecasts186 cited
  • 1997Inflation, real interest rates, and the bond market: A study of UK nominal and index-linked government bond prices173 cited