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Resolving the Spanning Puzzle in Macro-Finance Term Structure Models
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References

  • 1993Discretion versus policy rules in practice9,059 cited
  • 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
  • 2013Handbook of the Economics of Finance1,813 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 1999Monetary Policy Rules1,705 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,687 cited
  • 2005Bond Risk Premia1,546 cited
  • 2013Handbook of Economic Forecasting1,216 cited
  • 2009Macro Factors in Bond Risk Premia1,043 cited
  • 2005The macroeconomy and the yield curve: a dynamic latent factor approach967 cited
  • 2006NBER Macroeconomics Annual 2005718 cited
  • 2013Pricing the term structure with linear regressions703 cited
  • 2005A consumption-based model of the term structure of interest rates☆693 cited
  • 2004Monetary Policy Alternatives at the Zero Bound: An Empirical Assessment670 cited
  • 2013Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks587 cited
  • 2008A Macro‐Finance Model of the Term Structure, Monetary Policy and the Economy

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556 cited

Cited by

  • 2021Macro risks and the term structure of interest rates65 cited
  • 2023Interest Rate Skewness and Biased Beliefs57 cited
  • 2022Machine-Learning-Based Return Predictors and the Spanning Controversy in Macro-Finance54 cited
  • 2017Robust Bond Risk Premia35 cited
  • 2019Core and ‘Crust’: Consumer Prices and the Term Structure of Interest Rates34 cited
  • 2010Determinants of Bond Risk Premia33 cited
  • 2022Green Bond Index Prediction Based on CEEMDAN-LSTM32 cited
  • 2016Risk Premia and Volatilities in a Nonlinear Term Structure Model31 cited
  • 2018Bond Risk Premia with Machine Learning31 cited
  • 2020The Yield Spread and Bond Return Predictability in Expansions and Recessions24 cited
  • 2021Unspanned Global Macro Risks in Bond Returns22 cited
  • 2019Decomposing global yield curve co-movement20 cited
  • 2018ESTIMATING INFLATION RISK PREMIA USING INFLATION‐LINKED BONDS: A REVIEW18 cited
  • 2017Interest Rates Under Falling Stars16 cited