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Testing the Expectations Hypothesis: Some New Evidence for Japan
14 references·2 citing·46 second hop
Testing the Expectations Hypothesis: Some New Evidence for Japan (2005)Testing the Expectations Hypothesis: Some…A Cointegration Analysis of Treasury Bill Yields (2008)A Cointegration Analysis of T…Term Structure Evidence on Interest Rate Smoothing and Monetary Policy Inertia (2004)Term Structure Evidence on In…A note on the expectations hypothesis at the founding of the Fed (2004)A note on the expectations hy…Tests of the Expectations Hypothesis: Resolving the Campbell-Shiller Paradox (2003)Tests of the Expectations Hyp…Monetary policy transparency: transparent about what? 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New Evidence Based on a Taylor Rule Model for the ECB (2009)Bond Market Exposures to Macroeconomic and Monetary Policy Risks (2014)Generalized autoregressive conditional heteroskedasticity (1986)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables (1999)Bootstrapping autoregressions with conditional heteroskedasticity of unknown form (2004)Bond Supply and Excess Bond Returns (2014)Some Consequences of Temporal Aggregation in Empirical Analysis (1999)Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth (2005)Quantile cointegrating regression (2008)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)Testing for unit roots in heterogeneous panels (2003)
this work references cited by second hop

References

  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 2003Forecasting the Term Structure of Government Bond Yields1,838 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 2008A Cointegration Analysis of Treasury Bill Yields320 cited
  • 2001Expectations Hypotheses Tests289 cited
  • 2001Peso problem explanations for term structure anomalies232 cited
  • 2002Market Anticipations of Monetary Policy Actions205 cited
  • 2004Term Structure Evidence on Interest Rate Smoothing and Monetary Policy Inertia89 cited
  • 1993A Model of Target Changes and the Term Structure of Interest Rates76 cited
  • 2002Policy Duration Effect under the Zero Interest Rate Policy in 1999-2000: Evidence from Japan's Money Market Data73 cited
  • 2003Monetary policy transparency: transparent about what?39 cited
  • 2003Tests of the Expectations Hypothesis: Resolving the Campbell-Shiller Paradox33 cited
  • 1989Yield Spreads and Interest Rate Movements: A Bird's Eye View29 cited
  • 2004A note on the expectations hypothesis at the founding of the Fed27 cited

Cited by

  • 2010The term structure of interest rates, the expectations hypothesis and international financial integration: Evidence from Asian economies

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19 cited
  • 2004The Term Structure of Interest Rates and Monetary Policy during a Zero Interest Rate Period14 cited