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A model of the euro-area yield curve with discrete policy rates
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A model of the euro-area yield curve with discrete policy rates (2016)A model of the euro-area yield curve with…The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment (2011)The Effectiveness of Alternat…A New Perspective on Gaussian Dynamic Term Structure Models (2010)A New Perspective on Gaussian…Bond Yields and the Federal Reserve (2005)Bond Yields and the Federal R…Bond Risk Premia (2005)Bond Risk PremiaConducting Monetary Policy at Very Low Short-Term Interest Rates (2004)Conducting Monetary Policy at…The Zero Bound on Interest Rates and Optimal Monetary Policy (2003)The Zero Bound on Interest Ra…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…Modeling the conditional distribution of interest rates as a regime-switching process (1996)Modeling the conditional dist…An Analysis of the Real Interest Rate Under Regime Shifts (1996)An Analysis of the Real Inter…Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates (1993)Maximum Likelihood Estimation…Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Yield Spreads and Interest Ra…Rational-expectations econometric analysis of changes in regime (1988)Rational-expectations econome…The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models (1987)The Role of Conditioning Info…The Information in Long-Maturity Forward Rates (1987)The Information in Long-Matur…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Why Does Stock Market Volatility Change Over Time? (1989)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Asset Prices in an Exchange Economy (1978)Efficient Capital Markets: II (1991)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Forecasting Volatility in Financial Markets: A Review (2003)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Discretion versus policy rules in practice (1993)Rethinking Macroeconomic Policy (2010)Simple Analytics of the Government Expenditure Multiplier (2011)Fiscal Policy in a Depressed Economy (2012)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Cointegration and Tests of Present Value Models (1987)Term Premia and Interest Rate Forecasts in Affine Models (2002)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)The arbitrage theory of capital asset pricing (1976)Time-varying conditional covariances in tests of asset pricing models (1989)Distribution-free estimation of some nonlinear panel data models (1999)The conditional CAPM does not explain asset-pricing anomalies☆ (2006)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Sovereign default and debt renegotiation (2009)Forecasting Inflation (2013)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)An Intertemporal Capital Asset Pricing Model (1973)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Expected Stock Returns and Variance Risk Premia (2009)How Sovereign Is Sovereign Credit Risk? (2011)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)
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References

  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 2003Forecasting the Term Structure of Government Bond Yields1,838 cited
  • 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View1,780 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,687 cited
  • 1987The Information in Long-Maturity Forward Rates1,552 cited
  • 2005Bond Risk Premia1,546 cited
  • 1996Modeling the conditional distribution of interest rates as a regime-switching process1,492 cited
  • 1987The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models980 cited
  • 1988Rational-expectations econometric analysis of changes in regime898 cited
  • 2003The Zero Bound on Interest Rates and Optimal Monetary Policy854 cited
  • 1996An Analysis of the Real Interest Rate Under Regime Shifts779 cited
  • 2011The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment671 cited
  • 2005Bond Yields and the Federal Reserve557 cited
  • 2004Conducting Monetary Policy at Very Low Short-Term Interest Rates554 cited
  • 1993Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates

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  • 2010A New Perspective on Gaussian Dynamic Term Structure Models544 cited
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