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Riding the Yield Curve
16 references·1 citing·40 second hop
Riding the Yield Curve (2005)Riding the Yield CurveTaylor’s Rule and the Fed (2020)Taylor’s Rule and the FedA Macro‐Finance Model of the Term Structure, Monetary Policy and the Economy (2008)A Macro‐Finance Model of the …A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)A no-arbitrage vector autoreg…New estimates of the UK real and nominal yield curves (2001)New estimates of the UK real …Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Swap Rates and Credit Quality (1996)Swap Rates and Credit QualityFederal Reserve interest rate targeting, rational expectations, and the term structure (1995)Federal Reserve interest rate…Federal Reserve interest rate targeting, rational expectations, and the term structure (1995)Federal Reserve interest rate…Explorations Into Factors Explaining Money Market Returns (1994)Explorations Into Factors Exp…Estimating and Interpreting Foreward Interest Rates: Sweden 1992-1994 (1994)Estimating and Interpreting F…Automatic Lag Selection in Covariance Matrix Estimation (1994)Automatic Lag Selection in Co…Discretion versus policy rules in practice (1993)Discretion versus policy rule…Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Yield Spreads and Interest Ra…Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…The Changing Behavior of the Term Structure of Interest Rates (1986)The Changing Behavior of the …Investing in systematic factor premiums (2016)Investing in systematic facto…The Science of Monetary Policy: A New Keynesian Perspective (1999)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets (2012)Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)Risk, uncertainty and monetary policy (2013)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)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Modeling Sovereign Yield Spreads: A Case Study of Russian Debt (2003)An Empirical Analysis of the Dynamic Relationship between Investment Grade Bonds and Credit Default Swaps (2004)Stochastic Integration and Differential Equations (2005)Affine Term Structure Models (2010)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Cointegration and Tests of Present Value Models (1987)The Information in Long-Maturity Forward Rates (1987)Term Premia and Interest Rate Forecasts in Affine Models (2002)Bond Risk Premia (2005)An equilibrium characterization of the term structure (1977)A consumption-based model of the term structure of interest rates☆ (2005)Macro Factors in Bond Risk Premia (2009)The Econometrics of Financial Markets (2012)MONEY, INCOME, AND CAUSALITY (1972)Generalized autoregressive conditional heteroskedasticity (1986)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Individualism and Momentum around the World (2010)Sentiment During Recessions (2012)Stochastic Differential Equations and Diffusion Processes (1983)Basel Committee On Banking Supervision (2010)Explaining the Rate Spread on Corporate Bonds (2001)Forecasting the Term Structure of Government Bond Yields (2003)The U.S. Treasury yield curve: 1961 to the present (2007)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)The Determinants of Credit Spread Changes (2001)Credit Spreads and Business Cycle Fluctuations (2012)Interest rates and the conduct of monetary policy (1991)Asset Pricing at the Millennium (2000)Time-varying short-horizon predictability☆ (2010)
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References

  • 1993Discretion versus policy rules in practice9,059 cited
  • 1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View1,780 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
  • 2008A Macro‐Finance Model of the Term Structure, Monetary Policy and the Economy556 cited
  • 1996Swap Rates and Credit Quality480 cited
  • 1986The Changing Behavior of the Term Structure of Interest Rates472 cited
  • 1994Estimating and Interpreting Foreward Interest Rates: Sweden 1992-1994426 cited
  • 2020Taylor’s Rule and the Fed397 cited
  • 1995Federal Reserve interest rate targeting, rational expectations, and the term structure373 cited
  • 1995Federal Reserve interest rate targeting, rational expectations, and the term structure356 cited
  • 1994Explorations Into Factors Explaining Money Market Returns277 cited

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  • 2001New estimates of the UK real and nominal yield curves181 cited
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    • 2016Investing in systematic factor premiums19 cited