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"Peso Problem" Explanations for Term Structure Anomalies
16 references·14 citing·47 second hop
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References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View1,780 cited
  • 1988The equity risk premium a solution1,397 cited
  • 1991Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models926 cited
  • 1989Convergence of least squares learning mechanisms in self-referential linear stochastic models871 cited
  • 1983Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates562 cited
  • 1982Learning, estimation, and the stability of rational expectations497 cited
  • 1986The Changing Behavior of the Term Structure of Interest Rates472 cited
  • 1997On biases in tests of the expectations hypothesis of the term structure of interest rates385 cited
  • 1995Federal Reserve interest rate targeting, rational expectations, and the term structure356 cited
  • 2000The forward premium anomaly is not as bad as you think330 cited
  • 1980The ‘peso problem’ in testing the efficiency of forward exchange markets

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312 cited
  • 1988The equity risk premium: A solution?267 cited
  • Cited by

    • 2002The effects of the introduction of the euro on the volatility of European stock markets80 cited
    • 1999International Asset Allocation with Time-Varying Correlations77 cited
    • 1999Endogenous term premia and anomalies in the term structure of interest rates: Explaining the predictability smile65 cited
    • 2007The financial integration of China: New evidence on temporally aggregated data for the A-share market61 cited
    • 1999Stock and Bond Pricing in an Affine Economy53 cited
    • 2001Expectation Puzzles, Time-varying Risk Premia, and Dynamic Models of the Term Structure41 cited
    • 2001Expectations Hypotheses Tests38 cited
    • 2000Short Rate Nonlinearities and Regime Switches36 cited
    • 2007Macroeconomic Sources of Risk in the Term Structure30 cited
    • 2005Testing For Threshold Nonlinearity in Short-Term Interest Rates30 cited
    • 1999Regime Shifts, Risk and the Term Structure27 cited
    • 1999Estimating the Market Risk Premium27 cited
    • 2004Regime-Dependent Synchronization of Growth Cycles between Japan and East Asia26 cited
    • 2005A Kalman filter approach to characterizing the Canadian term structure of interest rates19 cited