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A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate
16 references·0 citing·31 second hop
A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate (2021)A No-Arbitrage Analysis of Macroeconomic …The macroeconomy and the yield curve: a dynamic latent factor approach (2005)The macroeconomy and the yiel…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…Expectation puzzles, time-varying risk premia, and affine models of the term structure (2002)Expectation puzzles, time-var…Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Open-Economy Inflation Targeting (2000)Open-Economy Inflation Target…Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Monetary Policy Rules and Mac…Habit Formation in Consumption and Its Implications for Monetary-Policy Models (2000)Habit Formation in Consumptio…The Science of Monetary Policy: A New Keynesian Perspective (1999)The Science of Monetary Polic…Inflation dynamics: A structural econometric analysis (1999)Inflation dynamics: A structu…The forward discount anomaly and the risk premium: A survey of recent evidence (1996)The forward discount anomaly …A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns (1993)What Moves the Stock and Bond…The Term Structure as a Predictor of Real Economic Activity (1991)The Term Structure as a Predi…Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…The Pricing of Options and Corporate Liabilities (1973)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Prospect Theory and Asset Prices (2001)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The equity premium: A puzzle (1985)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)Econometric policy evaluation: A critique (1976)The theory and practice of econometrics (1986)Cointegration and Tests of Present Value Models (1987)Understanding Risk and Return (1993)Credit Spreads and Business Cycle Fluctuations (2012)Common risk factors in the returns on stocks and bonds (1993)Forecasting the Term Structure of Government Bond Yields (2003)Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2016)Staggered prices in a utility-maximizing framework (1983)Staggered Prices in a Utility-Maximizing Framework (1996)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Discretion versus policy rules in practice (1993)Bond Risk Premia (2005)Macro Factors in Bond Risk Premia (2009)Stochastic Differential Equations and Diffusion Processes (1983)Rules Rather than Discretion: The Inconsistency of Optimal Plans (1977)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)The Determinants of Credit Spread Changes (2001)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)
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References

  • 1999The Science of Monetary Policy: A New Keynesian Perspective5,230 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*4,631 cited
  • 1999Inflation dynamics: A structural econometric analysis3,088 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 1991The Term Structure as a Predictor of Real Economic Activity1,739 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,705 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 2000Open-Economy Inflation Targeting1,428 cited
  • 2000Habit Formation in Consumption and Its Implications for Monetary-Policy Models1,148 cited
  • 1996The forward discount anomaly and the risk premium: A survey of recent evidence1,119 cited
  • 2005The macroeconomy and the yield curve: a dynamic latent factor approach981 cited
  • 1993What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns

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892 cited
  • 2002Expectation puzzles, time-varying risk premia, and affine models of the term structure754 cited
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