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Quantitative Easing and Sovereign Bond Yields: A Global Perspective
16 references·1 citing·33 second hop
Quantitative Easing and Sovereign Bond Yields: A Global Perspective (2022)Quantitative Easing and Sovereign Bond Yi…Dilemma not Trilemma: The Global Financial Cycle and Monetary Policy Independence (2015)Dilemma not Trilemma: The Glo…A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk (2014)A Pyrrhic Victory? Bank Bailo…The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy (2011)The Effects of Quantitative E…How Sovereign Is Sovereign Credit Risk? (2011)How Sovereign Is Sovereign Cr…Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)Default and Recovery Implicit…Fully modified OLS for heterogeneous cointegrated panels (2004)Fully modified OLS for hetero…Testing for unit roots in heterogeneous panels (2003)Testing for unit roots in het…Measuring the Natural Rate of Interest (2003)Measuring the Natural Rate of…Unit root tests in panel data: asymptotic and finite-sample properties (2002)Unit root tests in panel data…Unit root tests for panel data (2001)Unit root tests for panel dataTesting for stationarity in heterogeneous panel data (2000)Testing for stationarity in h…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors (1999)Critical Values for Cointegra…On cox processes and credit risky securities (1998)On cox processes and credit r…A General Equilibrium Approach To Monetary Theory (1969)A General Equilibrium Approac…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…Multifactor Keynesian models of the long-term interest rate (2022)Multifactor Keynesian models …Spurious regression and residual-based tests for cointegration in panel data (1999)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Renewable energy consumption and economic growth: Evidence from a panel of OECD countries (2009)CO2 emissions, economic growth, energy consumption, trade and urbanization in new EU member and candidate countries: A panel data analysis (2014)Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors (2015)The external wealth of nations mark II: Revised and extended estimates of foreign assets and liabilities, 1970–2004 (2007)Liquidity and leverage (2008)Credit Booms Gone Bust: Monetary Policy, Leverage Cycles, and Financial Crises, 1870–2008 (2012)International Liquidity and Exchange Rate Dynamics * (2015)Exchange Arrangements Entering the Twenty-First Century: Which Anchor will Hold?* (2019)The Wall Street Consensus (2021)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)A simple panel unit root test in the presence of cross‐section dependence (2007)Introductory Econometrics for Finance (2008)Time Series Analysis: Forecasting and Control (1977)Testing for a Unit Root in Time Series Regression (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)A Simple Panel Unit Root Test in the Presence of Cross Section Dependence (2004)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Information Technology and the U.S. Economy (2001)Nursery Cities: Urban Diversity, Process Innovation, and the Life Cycle of Products (2001)Does female representation in top management improve firm performance? A panel data investigation (2012)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Testing for Error Correction in Panel Data* (2007)
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References

  • 2003Testing for unit roots in heterogeneous panels15,333 cited
  • 2002Unit root tests in panel data: asymptotic and finite-sample properties12,832 cited
  • 1999Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors6,715 cited
  • 1969A General Equilibrium Approach To Monetary Theory5,340 cited
  • 2001Unit root tests for panel data4,109 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 2000Testing for stationarity in heterogeneous panel data3,003 cited
  • 2004Fully modified OLS for heterogeneous cointegrated panels2,721 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 2015Dilemma not Trilemma: The Global Financial Cycle and Monetary Policy Independence2,090 cited
  • 1998On cox processes and credit risky securities1,213 cited
  • 2011The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy1,198 cited
  • 2011How Sovereign Is Sovereign Credit Risk?1,129 cited
  • 2003Measuring the Natural Rate of Interest1,062 cited
  • 2014A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk812 cited

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2008
Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads
805 cited

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  • 2022Multifactor Keynesian models of the long-term interest rate11 cited