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The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach
16 references·3 citing·32 second hop
The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach (2004)The Macroeconomy and the Yield Curve: A D…A Macro‐Finance Model of the Term Structure, Monetary Policy and the Economy (2008)A Macro‐Finance Model of the …What does the yield curve tell us about GDP growth? (2005)What does the yield curve tel…Forecasting the Term Structure of Government Bond Yields (2003)Forecasting the Term Structur…A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)A no-arbitrage vector autoreg…Term structure evidence on interest rate smoothing and monetary policy inertia (2002)Term structure evidence on in…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…A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables (1999)A No-Arbitrage Vector Autoreg…Predicting U.S. Recessions: Financial Variables as Leading Indicators (1998)Predicting U.S. Recessions: F…Policy Rules for Inflation Targeting (1998)Policy Rules for Inflation Ta…Do Measures of Monetary Policy in a VAR Make Sense (1998)Do Measures of Monetary Polic…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…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…The Information in Long-Maturity Forward Rates (1987)The Information in Long-Matur…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…Yield Curve in an Estimated Nonlinear Macro Model (2009)Yield Curve in an Estimated N…Extraction of Financial Market Expectations about Inflation and Interest Rates from a Liquid Market (2009)Extraction of Financial Marke…Modeling Bond Yields in Finance and Macroeconomics (2005)Modeling Bond Yields in Finan…Trends and random walks in macroeconomic time series (1988)Business conditions and expected returns on stocks and bonds (1989)Dynamic Asset Pricing Theory. (1993)Investor Psychology and Asset Pricing (2001)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)Econometric policy evaluation: A critique (1976)The theory and practice of econometrics (1986)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Credit Spreads and Business Cycle Fluctuations (2012)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Cointegration and Tests of Present Value Models (1987)Bond Risk Premia (2005)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)Discretion versus policy rules in practice (1993)Sovereign default and debt renegotiation (2009)A New Perspective on Gaussian Dynamic Term Structure Models (2010)Forecasting Inflation (2013)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)New Indexes of Coincident and Leading Economic Indicators (1989)The macroeconomy and the yield curve: a dynamic latent factor approach (2005)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)Stochastic Differential Equations and Diffusion Processes (1983)Basel Committee On Banking Supervision (2010)Explaining the Rate Spread on Corporate Bonds (2001)The U.S. Treasury yield curve: 1961 to the present (2007)
this work references cited by second hop

References

  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 2003Forecasting the Term Structure of Government Bond Yields1,838 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
  • 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
  • 1987The Information in Long-Maturity Forward Rates1,552 cited
  • 1998Predicting U.S. Recessions: Financial Variables as Leading Indicators1,180 cited
  • 2005What does the yield curve tell us about GDP growth?815 cited
  • 2002Term structure evidence on interest rate smoothing and monetary policy inertia772 cited
  • 1998Policy Rules for Inflation Targeting656 cited
  • 1998Do Measures of Monetary Policy in a VAR Make Sense629 cited
  • 2008A Macro‐Finance Model of the Term Structure, Monetary Policy and the Economy556 cited

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  • 1999A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables543 cited
  • Cited by

    • 2005Modeling Bond Yields in Finance and Macroeconomics27 cited
    • 2009Extraction of Financial Market Expectations about Inflation and Interest Rates from a Liquid Market22 cited
    • 2009Yield Curve in an Estimated Nonlinear Macro Model14 cited