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A multicountry comparison of term-structure forecasts at long horizons
9 references·16 citing·42 second hop
A multicountry comparison of term-structure forecasts at long horizons (1991)A multicountry comparison of term-structu…Term Structure of Interest Rates (2008)Term Structure of Interest Ra…What does the term structure tell us about future inflation? (1990)What does the term structure …The Information in the Longer Maturity Term Structure About Future Inflation (1990)The Information in the Longer…Term-structure forecasts of interest rates, inflation and real returns (1990)Term-structure forecasts of i…The Information in the Longer Maturity Term Structure about Future Inflation (1989)The Information in the Longer…The Information in Long-Maturity Forward Rates (1987)The Information in Long-Matur…The information in the term structure (1984)The information in the term s…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…Why do term structures in different currencies co-move? (2014)Why do term structures in dif…The yield curve and the macro-economy across time and frequencies (2012)The yield curve and the macro…International Bond Risk Premia (2012)International Bond Risk PremiaLand leverage and house prices (2010)Land leverage and house pricesHandbook of Financial Engineering (2008)Handbook of Financial Enginee…Uncovered interest rate parity and the term structure (2007)Uncovered interest rate parit…Does the Term Structure Predict Recessions? The International Evidence (2005)Does the Term Structure Predi…Short rate nonlinearities and regime switches (2002)Short rate nonlinearities and…Asset Prices in a Flexible Inflation Targeting Framework (2002)Asset Prices in a Flexible In…A Re-Examination of the Predictability of Economic Activity Using the Yield Spread (2001)A Re-Examination of the Predi…Regime Switches in Interest Rates (1998)Regime Switches in Interest R…The term structure of Euro-rates: some evidence in support of the expectations hypothesis (1997)The term structure of Euro-ra…Predicting Real Growth and Inflation with the Yield Spread (1997)Predicting Real Growth and In…On biases in tests of the expectations hypothesis of the term structure of interest rates (1997)On biases in tests of the exp…New techniques to extract market expectations from financial instruments (1997)New techniques to extract mar…On Biases in Tests of the Expecations Hypothesis of the Term Structure Of Interest Rates (1996)On Biases in Tests of the Exp…Trends and random walks in macroeconomic time series (1988)Dynamic Asset Pricing Theory. 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(2005)Presidential Address: Discount Rates (2011)Generalized autoregressive conditional heteroskedasticity (1986)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)ARCH modeling in finance (1992)Term Structure Dynamics in Theory and Reality (2003)Affine Term Structure Models (2010)Countercyclical currency risk premia (2013)Cointegration and Tests of Present Value Models (1987)Interest Rate Pass‐Through and Monetary Transmission: Evidence from Individual Financial Institutions' Retail Rates (2004)Should Macroeconomic Forecasters Use Daily Financial Data and How? (2013)Expected Returns in Treasury Bonds (2015)Econometric policy evaluation: A critique (1976)What Moves the Stock and Bond Markets? 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this work references cited by second hop

References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 1987The Information in Long-Maturity Forward Rates1,552 cited
  • 1984The information in the term structure659 cited
  • 2008Term Structure of Interest Rates524 cited
  • 1990Term-structure forecasts of interest rates, inflation and real returns444 cited
  • 1990What does the term structure tell us about future inflation?428 cited
  • 1989The Information in the Longer Maturity Term Structure about Future Inflation256 cited
  • 1990The Information in the Longer Maturity Term Structure About Future Inflation209 cited

Cited by

  • 1997On biases in tests of the expectations hypothesis of the term structure of interest rates385 cited
  • 1997New techniques to extract market expectations from financial instruments197 cited
  • 2002Short rate nonlinearities and regime switches185 cited
  • 2007Uncovered interest rate parity and the term structure179 cited
  • 1998Regime Switches in Interest Rates172 cited
  • 2002Asset Prices in a Flexible Inflation Targeting Framework

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147 cited
  • 1997The term structure of Euro-rates: some evidence in support of the expectations hypothesis142 cited
  • 2014Why do term structures in different currencies co-move?128 cited
  • 2012The yield curve and the macro-economy across time and frequencies127 cited
  • 1997Predicting Real Growth and Inflation with the Yield Spread125 cited
  • 2008Handbook of Financial Engineering118 cited
  • 2012International Bond Risk Premia112 cited
  • 2001A Re-Examination of the Predictability of Economic Activity Using the Yield Spread99 cited
  • 2010Land leverage and house prices95 cited
  • 1996On Biases in Tests of the Expecations Hypothesis of the Term Structure Of Interest Rates92 cited
  • 2005Does the Term Structure Predict Recessions? The International Evidence83 cited