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Short-Rate Expectations and Unexpected Returns in Treasury Bonds
16 references·16 citing·48 second hopsampled
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References

  • 2005What Explains the Stock Market's Reaction to Federal Reserve Policy?2,382 cited
  • 2001Monetary policy surprises and interest rates: Evidence from the Fed funds futures market2,054 cited
  • 2007Why Has U.S. Inflation Become Harder to Forecast?1,719 cited
  • 2004A New Measure of Monetary Shocks: Derivation and Implications1,621 cited
  • 2005Bond Risk Premia1,546 cited
  • 1992Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement1,521 cited
  • 2007The U.S. Treasury yield curve: 1961 to the present1,337 cited
  • 1991Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots1,314 cited
  • 1999Forecasting inflation1,273 cited
  • 2013Handbook of Economic Forecasting1,216 cited
  • 2014Expectations of Returns and Expected Returns1,187 cited
  • 2001Vector Autoregressions1,168 cited
  • 2015Information Rigidity and the Expectations Formation Process: A Simple Framework and New Facts1,145 cited
  • 2003Measuring the Natural Rate of Interest1,062 cited
  • 2000Federal Reserve Information and the Behavior of Interest Rates1,049 cited
  • 2009

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Macro Factors in Bond Risk Premia
1,043 cited

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  • 2018Expected Inflation and Other Determinants of Treasury Yields101 cited
  • 2017Forecasting through the Rearview Mirror: Data Revisions and Bond Return Predictability87 cited
  • 2023Inflation and Asset Returns78 cited
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  • 2020Monetary Policy Expectation Errors64 cited
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  • 2022Machine-Learning-Based Return Predictors and the Spanning Controversy in Macro-Finance54 cited
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