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A joint econometric model of macroeconomic and term-structure dynamics
16 references·16 citing·36 second hopsampled
A joint econometric model of macroeconomic and term-structure dynamics (2005)A joint econometric model of macroeconomi…Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Nominal Rigidities and the Dy…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…Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…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…Inflation dynamics: A structural econometric analysis (1999)Inflation dynamics: A structu…Monetary policy rules in practice (1998)Monetary policy rules in prac…Asymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyInterpreting the macroeconomic time series facts (1992)Interpreting the macroeconomi…Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Yield Spreads and Interest Ra…Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence (1989)Consumption, Income, and Inte…The Information in Long-Maturity Forward Rates (1987)The Information in Long-Matur…Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Stochastic Implications of th…Robust Bond Risk Premia (2017)Robust Bond Risk PremiaIdentification and estimation of Gaussian affine term structure models (2012)Identification and estimation…Bond risk premia, macroeconomic fundamentals and the exchange rate (2011)Bond risk premia, macroeconom…No-arbitrage macroeconomic determinants of the yield curve (2010)No-arbitrage macroeconomic de…Expectations, Bond Yields, and Monetary Policy (2010)Expectations, Bond Yields, an…Discrete-Time AffineℚTerm Structure Models with Generalized Market Prices of Risk (2010)Discrete-Time AffineℚTerm Str…The Design of Fiscal Rules and Forms of Governance in European Union Countries (2009)The Design of Fiscal Rules an…Futures Contract Rates as Monetary Policy Forecasts (2008)Futures Contract Rates as Mon…Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach (2008)Forecasting the yield curve i…Examining the Bond Premium Puzzle with a DSGE Model (2008)Examining the Bond Premium Pu…Examining the bond premium puzzle with a DSGE model (2008)Examining the bond premium pu…Canonical Term‐Structure Models with Observable Factors and the Dynamics of Bond Risk Premia (2008)Canonical Term‐Structure Mode…The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models (2007)The Affine Arbitrage-Free Cla…Accounting for a Shift in Term Structure Behavior with No‐Arbitrage and Macro‐Finance Models (2007)Accounting for a Shift in Ter…The Bond Yield "Conundrum" from a Macro-Finance Perspective (2006)The Bond Yield "Conundrum" fr…Macroeconomic Implications of Changes in the Term Premium (2006)Macroeconomic Implications of…A Monetary History of the United States 1867-1960 (1964)MONEY, INCOME, AND CAUSALITY (1972)Macroeconomics and Reality (1980)Monetary Theory and Policy (1999)Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2016)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)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Cointegration and Tests of Present Value Models (1987)Bond Risk Premia (2005)Staggered Prices in a Utility-Maximizing Framework (1996)The Science of Monetary Policy: A New Keynesian Perspective (1999)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Discretion versus policy rules in practice (1993)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)The Role of Monetary Policy (1995)Estimation and Inference of Impulse Responses by Local Projections (2005)The Impact of Uncertainty Shocks (2009)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Econometric policy evaluation: A critique (1976)An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)The Macroeconomic Effects of Tax Changes: Estimates Based on a New Measure of Fiscal Shocks (2010)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)Trends and random walks in macroeconmic time series (1982)Testing for a Unit Root in Time Series Regression (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
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References

  • 2005Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy5,868 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*4,631 cited
  • 1978Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence3,581 cited
  • 1999Inflation dynamics: A structural econometric analysis3,088 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1998Monetary policy rules in practice2,206 cited
  • 1992Interpreting the macroeconomic time series facts1,858 cited
  • 1989Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence1,820 cited
  • 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View1,780 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,687 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 1987The Information in Long-Maturity Forward Rates1,552 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited

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  • 2000Habit Formation in Consumption and Its Implications for Monetary-Policy Models1,148 cited
  • Cited by

    • 2009The Design of Fiscal Rules and Forms of Governance in European Union Countries296 cited
    • 2008Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach252 cited
    • 2008Canonical Term‐Structure Models with Observable Factors and the Dynamics of Bond Risk Premia204 cited
    • 2008Futures Contract Rates as Monetary Policy Forecasts186 cited
    • 2012Identification and estimation of Gaussian affine term structure models181 cited
    • 2017Robust Bond Risk Premia175 cited
    • 2007The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models149 cited
    • 2008Examining the bond premium puzzle with a DSGE model147 cited
    • 2010Discrete-Time AffineℚTerm Structure Models with Generalized Market Prices of Risk145 cited
    • 2006Macroeconomic Implications of Changes in the Term Premium143 cited
    • 2010Expectations, Bond Yields, and Monetary Policy142 cited
    • 2007Accounting for a Shift in Term Structure Behavior with No‐Arbitrage and Macro‐Finance Models141 cited
    • 2010No-arbitrage macroeconomic determinants of the yield curve140 cited
    • 2008Examining the Bond Premium Puzzle with a DSGE Model138 cited
    • 2011Bond risk premia, macroeconomic fundamentals and the exchange rate134 cited
    • 2006The Bond Yield "Conundrum" from a Macro-Finance Perspective128 cited