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UK term structure decompositions at the zero lower bound
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UK term structure decompositions at the zero lower bound (2018)UK term structure decompositions at the z…Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2016)Measuring the Macroeconomic I…Estimating Shadow-Rate Term Structure Models with Near-Zero Yields (2014)Estimating Shadow-Rate Term S…Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)Risk Premiums in Dynamic Term…The term structure of inflation expectations (2012)The term structure of inflati…The Response of Interest Rates to US and UK Quantitative Easing (2012)The Response of Interest Rate…The affine arbitrage-free class of Nelson–Siegel term structure models (2011)The affine arbitrage-free cla…Term Structure Models and the Zero Bound: An Empirical Investigation of Japanese Yields (2010)Term Structure Models and the…Inflation Expectations and Risk Premiums in an Arbitrage‐Free Model of Nominal and Real Bond Yields (2010)Inflation Expectations and Ri…A New Perspective on Gaussian Dynamic Term Structure Models (2010)A New Perspective on Gaussian…Market price of risk specifications for affine models: Theory and evidence☆ (2006)Market price of risk specific…A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)A no-arbitrage vector autoreg…Term Premia and Interest Rate Forecasts in Affine Models (2002)Term Premia and Interest Rate…New estimates of the UK real and nominal yield curves (2001)New estimates of the UK real …Interest Rates as Options (1995)Interest Rates as OptionsCommon Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…Forecasting, Structural Time Series Models and the Kalman Filter (1990)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)The Signaling Channel for Federal Reserve Bond Purchases (2013)Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB׳s Securities Markets Programme (2015)Corrigendum: a preferred-habitat model of the term structure of interest rates (Econometrica, (2021), 89, 1, (77-112), 10.3982/ECTA17440) (2023)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)The Science of Monetary Policy: A New Keynesian Perspective (1999)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)Forecasting Inflation (2013)Bond Risk Premiums with Machine Learning (2020)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Common risk factors in the returns on stocks and bonds (1993)Bond Risk Premia (2005)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Forecasting the Term Structure of Government Bond Yields (2003)Bond Liquidity Premia (2011)Information in (and not in) the Term Structure (2011)Risk premia in crude oil futures prices (2013)Discretion versus policy rules in practice (1993)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)Comparing Predictive Accuracy (1994)Correcting Estimation Bias in Dynamic Term Structure Models (2012)Interpreting the macroeconomic time series facts (1992)Monetary Policy Shocks: What Have We Learned and to What End? (1998)Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Macroeconomic Shocks and Their Propagation (2016)Uncertainty Shocks in a Model of Effective Demand (2017)Measuring the effects of federal reserve forward guidance and asset purchases on financial markets (2020)Explaining the Rate Spread on Corporate Bonds (2001)The U.S. Treasury yield curve: 1961 to the present (2007)Interest‐Rate Modelling (2014)The Determinants of Credit Spread Changes (2001)Credit Spreads and Business Cycle Fluctuations (2012)
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References

  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 2016Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound1,840 cited
  • 1991Common Factors Affecting Bond Returns1,796 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
  • 2013Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks587 cited
  • 2010A New Perspective on Gaussian Dynamic Term Structure Models544 cited
  • 2011The affine arbitrage-free class of Nelson–Siegel term structure models431 cited
  • 1995Interest Rates as Options428 cited
  • 2012The Response of Interest Rates to US and UK Quantitative Easing344 cited
  • 2006Market price of risk specifications for affine models: Theory and evidence☆326 cited
  • 2010Term Structure Models and the Zero Bound: An Empirical Investigation of Japanese Yields281 cited
  • 2010Inflation Expectations and Risk Premiums in an Arbitrage‐Free Model of Nominal and Real Bond Yields258 cited
  • 2012The term structure of inflation expectations255 cited
  • 2001New estimates of the UK real and nominal yield curves

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181 cited
  • 2014Estimating Shadow-Rate Term Structure Models with Near-Zero Yields171 cited
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