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Monetary policy and the term structure of nominal interest rates: Evidence and theory
16 references·16 citing·43 second hopsampled
Monetary policy and the term structure of nominal interest rates: Evidence and theory (1998)Monetary policy and the term structure of…Monetary Policy Shocks: What Have We Learned and to What End? (1998)Monetary Policy Shocks: What …The New Neoclassical Synthesis and the Role of Monetary Policy (1997)The New Neoclassical Synthesi…Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)Systematic Monetary Policy an…The Effects of Monetary Policy Shocks: Evidence from the Flow of Funds (1996)The Effects of Monetary Polic…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Interpreting the macroeconomic time series facts (1992)Interpreting the macroeconomi…The Term Structure as a Predictor of Real Economic Activity (1991)The Term Structure as a Predi…Implications of Security Market Data for Models of Dynamic Economies (1991)Implications of Security Mark…Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…The federal funds rate and the channels of monetary transmission (1989)The federal funds rate and th…The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)The Dynamic Effects of Aggreg…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Monopolistic Competition and the Effects of Aggregate Demand (1987)Monopolistic Competition and …Are Forecasting Models Usable for Policy Analysis? (1986)Are Forecasting Models Usable…Alternative Explanations of the Money-Income Correlation (1986)Alternative Explanations of t…Macroeconomics and Reality (1980)Macroeconomics and RealityThe management of interest rate risk during the crisis: Evidence from Italian banks (2015)The management of interest ra…Betting the house (2014)Betting the houseThe Federal Reserve's Large‐scale Asset Purchase Programmes: Rationale and Effects (2012)The Federal Reserve's Large‐s…Expectations, Bond Yields, and Monetary Policy (2010)Expectations, Bond Yields, an…Affine Term Structure Models (2010)Affine Term Structure ModelsMeasuring Central Bank Communication: An Automated Approach with Application to FOMC Statements (2009)Measuring Central Bank Commun…No-Arbitrage Taylor Rules (2007)No-Arbitrage Taylor RulesEconomic determinants of the nominal treasury yield curve (2007)Economic determinants of the …On the consistency and effectiveness of central bank communication: Evidence from the ECB (2006)On the consistency and effect…Macro Factors and the Term Structure of Interest Rates (2006)Macro Factors and the Term St…Tobin's Imperfect Asset Substitution in Optimizing General Equilibrium (2004)Tobin's Imperfect Asset Subst…The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach (2004)The Macroeconomy and the Yiel…Money, Interest Rates, and Exchange Rates with Endogenously Segmented Markets (2002)Money, Interest Rates, and Ex…A Model of the Federal Funds Rate Target (2002)A Model of the Federal Funds …A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables (1999)A No-Arbitrage Vector Autoreg…Regime Switches in Interest Rates (1998)Regime Switches in Interest R…Aggregate Dynamics and Staggered Contracts (1980)Trends and random walks in macroeconomic time series (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Impulse response analysis in nonlinear multivariate models (1996)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)A Monetary History of the United States 1867-1960 (1964)MONEY, INCOME, AND CAUSALITY (1972)Monetary Theory and Policy (1999)Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2016)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Generalized impulse response analysis in linear multivariate models (1998)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)Econometric policy evaluation: A critique (1976)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)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)The theory and practice of econometrics (1986)The Information in Long-Maturity Forward Rates (1987)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Credit Spreads and Business Cycle Fluctuations (2012)What Do a Million Observations on Banks Say About the Transmission of Monetary Policy? (2000)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)The Determinants of Credit Spread Changes (2001)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)The Science of Monetary Policy: A New Keynesian Perspective (1999)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1980Macroeconomics and Reality12,826 cited
  • 1988The Dynamic Effects of Aggregate Demand and Supply Disturbances3,940 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1989The federal funds rate and the channels of monetary transmission2,833 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1998Monetary Policy Shocks: What Have We Learned and to What End?2,186 cited
  • 1992Interpreting the macroeconomic time series facts1,858 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 1991The Term Structure as a Predictor of Real Economic Activity1,739 cited
  • 1997Systematic Monetary Policy and the Effects of Oil Price Shocks1,594 cited
  • 1986Alternative Explanations of the Money-Income Correlation1,501 cited
  • 1987Monopolistic Competition and the Effects of Aggregate Demand1,457 cited
  • 1997The New Neoclassical Synthesis and the Role of Monetary Policy1,233 cited
  • 1986Are Forecasting Models Usable for Policy Analysis?1,224 cited
  • 1996The Effects of Monetary Policy Shocks: Evidence from the Flow of Funds1,209 cited
  • 1991

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Implications of Security Market Data for Models of Dynamic Economies
1,182 cited

Cited by

  • 1999A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables543 cited
  • 2014Betting the house406 cited
  • 2010Affine Term Structure Models384 cited
  • 2006Macro Factors and the Term Structure of Interest Rates327 cited
  • 2002Money, Interest Rates, and Exchange Rates with Endogenously Segmented Markets292 cited
  • 2012The Federal Reserve's Large‐scale Asset Purchase Programmes: Rationale and Effects286 cited
  • 2004The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach282 cited
  • 2002A Model of the Federal Funds Rate Target262 cited
  • 2007No-Arbitrage Taylor Rules252 cited
  • 2004Tobin's Imperfect Asset Substitution in Optimizing General Equilibrium244 cited
  • 2009Measuring Central Bank Communication: An Automated Approach with Application to FOMC Statements208 cited
  • 2006On the consistency and effectiveness of central bank communication: Evidence from the ECB183 cited
  • 2007Economic determinants of the nominal treasury yield curve179 cited
  • 1998Regime Switches in Interest Rates172 cited
  • 2015The management of interest rate risk during the crisis: Evidence from Italian banks160 cited
  • 2010Expectations, Bond Yields, and Monetary Policy142 cited