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A joint econometric model of macroeconomic and term-structure dynamics · Study

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ArticleA joint econometric model of macroeconomic and term-structure dynamics

Peter Hördahl2005

Article2005

A joint econometric model of macroeconomic and term-structure dynamics

Peter Hördahl · Oreste Tristani Z · David Vestin

382 citations·0/0 files stored·Journal of Econometrics

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Stochastic processes and financial applications Monetary Policy and Economic Impact Financial Markets and Investment Strategies

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References

2005Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy 1994Comparing Predictive Accuracy 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*1978Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence 1999Inflation dynamics: A structural econometric analysis 1996A YIELD‐FACTOR MODEL OF INTEREST RATES 1998Monetary policy rules in practice 1992Interpreting the macroeconomic time series facts

Cited by

2009The Design of Fiscal Rules and Forms of Governance in European Union Countries 2008Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach 2008Canonical Term‐Structure Models with Observable Factors and the Dynamics of Bond Risk Premia 2008Futures Contract Rates as Monetary Policy Forecasts 2012Identification and estimation of Gaussian affine term structure models 2017Robust Bond Risk Premia

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2007No-Arbitrage Taylor Rulesreport · 12 shared references 2010Affine Term Structure Modelschapter · 11 shared references 2010Inflation Risk Premia in the US and the Euro Areapreprint · 11 shared references 2003Term Structure Dynamics in Theory and Realityarticle · 10 shared references 2010Expectations, Bond Yields, and Monetary Policyarticle · 10 shared references 2013Macroeconomic Drivers of Bond and Equity Riskspreprint · 10 shared references

Details

Year2005

Typearticle

Published2005-03-08

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations382

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jeconom.2005.01.012

openalex_workW3124625522

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2007The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models

2008Examining the bond premium puzzle with a DSGE model