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Level, slope, curvature of the sovereign yield curve, and fiscal behaviour
16 references·14 citing·36 second hop
Level, slope, curvature of the sovereign yield curve, and fiscal behaviour (2012)Level, slope, curvature of the sovereign …Sovereign risk premiums in the European government bond market (2012)Sovereign risk premiums in th…Monetary–fiscal policy interactions and fiscal stimulus (2010)Monetary–fiscal policy intera…New Evidence on the Interest Rate Effects of Budget Deficits and Debt (2009)New Evidence on the Interest …A Macro‐Finance Model of the Term Structure, Monetary Policy and the Economy (2008)A Macro‐Finance Model of the …The U.S. Treasury yield curve: 1961 to the present (2007)The U.S. Treasury yield curve…What does the yield curve tell us about GDP growth? (2005)What does the yield curve tel…The macroeconomy and the yield curve: a dynamic latent factor approach (2005)The macroeconomy and the yiel…A joint econometric model of macroeconomic and term-structure dynamics (2005)A joint econometric model of …Yield spreads on EMU government bonds (2003)Yield spreads on EMU governme…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…Estimating and Interpreting Forward Interest Rates: Sweden 1992 - 1994 (1994)Estimating and Interpreting F…Estimating and Interpreting Foreward Interest Rates: Sweden 1992-1994 (1994)Estimating and Interpreting F…Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…Forecasting, Structural Time Series Models and the Kalman Filter (1990)Forecasting, Structural Time …Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…A Review of the Role of Artificial Intelligence in Banking and Stock Market Trading (2024)A Review of the Role of Artif…Quantile-on-quantile connectedness measures: Evidence from the US treasury yield curve (2023)Quantile-on-quantile connecte…Network connectedness dynamics of the yield curve of G7 countries (2022)Network connectedness dynamic…The Impact of Monetary Policies on the Sustainable Economic and Financial Development in the Euro Area Countries (2020)The Impact of Monetary Polici…Transmission mechanisms of financial stress into economic activity in Turkey (2019)Transmission mechanisms of fi…Quantitative easing and sovereign yield spreads: Euro-area time-varying evidence (2018)Quantitative easing and sover…Yield curve interactions with the macroeconomic factors during global financial crisis among Asian markets (2017)Yield curve interactions with…The Sovereign Yield Curve and Credit Ratings in GIIPS (2017)The Sovereign Yield Curve and…Factors of the Term Structure of Sovereign Yield Spreads (2015)Factors of the Term Structure…The Macroeconomic Determinants of the US Term-Structure during the Great Moderation (2014)The Macroeconomic Determinant…The impacts of standard monetary and budgetary policies on liquidity and financial markets: International evidence from the credit freeze crisis (2013)The impacts of standard monet…Size and Value Risk in Financial Firms (2013)Size and Value Risk in Financ…Applying a macro-finance yield curve to UK quantitative Easing (2013)Applying a macro-finance yiel…The Financial Market Impact of UK Quantitative Easing (2012)The Financial Market Impact o…The Information in Long-Maturity Forward Rates (1987)Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply (2012)Noise as Information for Illiquidity (2013)A Preferred-Habitat Model of the Term Structure of Interest Rates (2009)The Econometrics of Financial Markets (2012)Pricing the term structure with linear regressions (2013)Intermediary asset pricing: New evidence from many asset classes (2017)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)Debt and growth: New evidence for the euro area (2012)Public debt and economic growth: Is there a causal effect? (2014)Public debt and growth: Heterogeneity and non-linearity (2015)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)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)Comparing Predictive Accuracy (1994)A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series (2005)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)The Term Structure as a Predictor of Real Economic Activity (1991)Predicting U.S. Recessions: Financial Variables as Leading Indicators (1998)Real-Time Measurement of Business Conditions (2009)Basel Committee On Banking Supervision (2010)Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)Explaining the Rate Spread on Corporate Bonds (2001)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)The Determinants of Credit Spread Changes (2001)Credit Spreads and Business Cycle Fluctuations (2012)A consumption-based model of the term structure of interest rates☆ (2005)Bond Risk Premia (2005)Macro Factors in Bond Risk Premia (2009)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Handbook on Constructing Composite Indicators (2005)Handbook on Constructing Composite Indicators: Methodology and User Guide (2008)
this work references cited by second hop

References

  • 1990Forecasting, Structural Time Series Models and the Kalman Filter4,101 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 2003Forecasting the Term Structure of Government Bond Yields1,838 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,687 cited
  • 2007The U.S. Treasury yield curve: 1961 to the present1,337 cited
  • 2005The macroeconomy and the yield curve: a dynamic latent factor approach967 cited
  • 2005What does the yield curve tell us about GDP growth?815 cited
  • 2009New Evidence on the Interest Rate Effects of Budget Deficits and Debt698 cited
  • 1994Estimating and Interpreting Forward Interest Rates: Sweden 1992 - 1994588 cited
  • 2003Yield spreads on EMU government bonds580 cited
  • 2008A Macro‐Finance Model of the Term Structure, Monetary Policy and the Economy556 cited
  • 2012Sovereign risk premiums in the European government bond market432 cited
  • 1994Estimating and Interpreting Foreward Interest Rates: Sweden 1992-1994426 cited
  • 2010Monetary–fiscal policy interactions and fiscal stimulus388 cited

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  • 2005A joint econometric model of macroeconomic and term-structure dynamics382 cited
  • Cited by

    • 2023Quantile-on-quantile connectedness measures: Evidence from the US treasury yield curve112 cited
    • 2018Quantitative easing and sovereign yield spreads: Euro-area time-varying evidence46 cited
    • 2019Transmission mechanisms of financial stress into economic activity in Turkey43 cited
    • 2013Size and Value Risk in Financial Firms38 cited
    • 2022Network connectedness dynamics of the yield curve of G7 countries34 cited
    • 2017The Sovereign Yield Curve and Credit Ratings in GIIPS31 cited
    • 2012The Financial Market Impact of UK Quantitative Easing30 cited
    • 2013The impacts of standard monetary and budgetary policies on liquidity and financial markets: International evidence from the credit freeze crisis24 cited
    • 2020The Impact of Monetary Policies on the Sustainable Economic and Financial Development in the Euro Area Countries21 cited
    • 2013Applying a macro-finance yield curve to UK quantitative Easing21 cited
    • 2015Factors of the Term Structure of Sovereign Yield Spreads21 cited
    • 2024A Review of the Role of Artificial Intelligence in Banking and Stock Market Trading18 cited
    • 2014The Macroeconomic Determinants of the US Term-Structure during the Great Moderation18 cited
    • 2017Yield curve interactions with the macroeconomic factors during global financial crisis among Asian markets14 cited