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News Shocks and the Slope of the Term Structure of Interest Rates
16 references·16 citing·33 second hopsampled
News Shocks and the Slope of the Term Structure of Interest Rates (2013)News Shocks and the Slope of the Term Str…The U.S. Treasury yield curve: 1961 to the present (2007)The U.S. Treasury yield curve…Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)Shocks and Frictions in US Bu…Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Nominal Rigidities and the Dy…Bond Risk Premia (2005)Bond Risk PremiaForecasting the Term Structure of Government Bond Yields (2003)Forecasting the Term Structur…A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)A no-arbitrage vector autoreg…Getting Income Shares Right (2002)Getting Income Shares RightRisks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…The Science of Monetary Policy: A New Keynesian Perspective (1999)The Science of Monetary Polic…Returns to Scale in U.S. Production: Estimates and Implications (1997)Returns to Scale in U.S. Prod…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Discretion versus policy rules in practice (1993)Discretion versus policy rule…Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Yield Spreads and Interest Ra…The Term Structure as a Predictor of Real Economic Activity (1991)The Term Structure as a Predi…The Information in Long-Maturity Forward Rates (1987)The Information in Long-Matur…Cointegration and Tests of Present Value Models (1987)Cointegration and Tests of Pr…What moves treasury yields? (2022)What moves treasury yields?Market Volatility, Monetary Policy and the Term Premium (2022)Market Volatility, Monetary P…Is uncertainty the same everywhere? Advanced versus emerging economies (2021)Is uncertainty the same every…Revisions in Utilization-Adjusted TFP and Robust Identification of News Shocks (2020)Revisions in Utilization-Adju…News and Uncertainty Shocks (2020)News and Uncertainty ShocksLarge-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I ( 1 ) cointegrated factors (2020)Large-dimensional Dynamic Fac…News or Noise? The Missing Link (2018)News or Noise? The Missing Li…Balanced Bootstrap Joint Confidence Bands for Structural Impulse Response Functions (2018)Balanced Bootstrap Joint Conf…Identifying Uncertainty Shocks Using the Price of Gold (2017)Identifying Uncertainty Shock…What׳s news in News? A cautionary note on using a variance decomposition to assess the quantitative importance of news shocks (2016)What׳s news in News? A cautio…The Macroeconomic Impact of Financial and Uncertainty Shocks (2016)The Macroeconomic Impact of F…News-driven business cycles in small open economies (2016)News-driven business cycles i…The long-run Phillips curve: A structural VAR investigation (2015)The long-run Phillips curve: …The effects of surprise and anticipated technology changes on international relative prices and trade (2015)The effects of surprise and a…Fiscal news and macroeconomic volatility (2013)Fiscal news and macroeconomic…The yield curve and the macro-economy across time and frequencies (2012)The yield curve and the macro…A Theory of Production (1928)Rethinking the Effect of Immigration on Wages (2011)The Next Generation of the Penn World Table (2015)The Rise of Market Power and the Macroeconomic Implications* (2020)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)The equity premium: A puzzle (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Presidential Address: Discount Rates (2011)Value and Momentum Everywhere (2013)… and the Cross-Section of Expected Returns (2015)Rules, discretion and reputation in a model of monetary policy (1983)Estimation and Inference of Impulse Responses by Local Projections (2005)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Term Premia and Interest Rate Forecasts in Affine Models (2002)The Role of Monetary Policy (1995)Staggered Prices in a Utility-Maximizing Framework (1996)The Impact of Uncertainty Shocks (2009)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Sovereign default and debt renegotiation (2009)A New Perspective on Gaussian Dynamic Term Structure Models (2010)Forecasting Inflation (2013)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Stock Prices, Earnings, and Expected Dividends (1988)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)A model of unconventional monetary policy (2010)Financial Intermediation and Credit Policy in Business Cycle Analysis (2010)When Is the Government Spending Multiplier Large? (2011)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1993Discretion versus policy rules in practice9,059 cited
  • 2005Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy5,868 cited
  • 1999The Science of Monetary Policy: A New Keynesian Perspective4,927 cited
  • 2007Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach4,628 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 2002Getting Income Shares Right1,974 cited
  • 2003Forecasting the Term Structure of Government Bond Yields1,838 cited
  • 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View1,780 cited
  • 1991The Term Structure as a Predictor of Real Economic Activity1,739 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,687 cited
  • 1987The Information in Long-Maturity Forward Rates1,552 cited
  • 2005Bond Risk Premia1,546 cited
  • 1997Returns to Scale in U.S. Production: Estimates and Implications1,366 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2007
The U.S. Treasury yield curve: 1961 to the present
1,337 cited

Cited by

  • 2017Identifying Uncertainty Shocks Using the Price of Gold161 cited
  • 2012The yield curve and the macro-economy across time and frequencies127 cited
  • 2021Is uncertainty the same everywhere? Advanced versus emerging economies110 cited
  • 2018News or Noise? The Missing Link104 cited
  • 2022Market Volatility, Monetary Policy and the Term Premium91 cited
  • 2020Revisions in Utilization-Adjusted TFP and Robust Identification of News Shocks74 cited
  • 2020News and Uncertainty Shocks54 cited
  • 2013Fiscal news and macroeconomic volatility53 cited
  • 2016The Macroeconomic Impact of Financial and Uncertainty Shocks52 cited
  • 2020Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I ( 1 ) cointegrated factors46 cited
  • 2016News-driven business cycles in small open economies37 cited
  • 2015The long-run Phillips curve: A structural VAR investigation36 cited
  • 2022What moves treasury yields?31 cited
  • 2016What׳s news in News? A cautionary note on using a variance decomposition to assess the quantitative importance of news shocks28 cited
  • 2015The effects of surprise and anticipated technology changes on international relative prices and trade25 cited
  • 2018Balanced Bootstrap Joint Confidence Bands for Structural Impulse Response Functions22 cited