Ang, A. and M. Piazzesi, 2003, A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables, Journal of Monetary Economics 50, 745-787.
Ang, A., M. Piazzesi and M. Wei, 2003, What does the yield curve tell us about GDP growth?, working paper, Andersen school, UCLA.
Backus, D., S. Foresi and C. Telmer, 1998, Discrete-time models of bond pricing, working paper, NBER 6736.
Balduzzi, P., G. Bertola and S. Foresi, 1997, A model of target changes and the term structure of interest rates, Journal of Monetary Economics 39, 223-249.
Bekaert, G., R. J. Hodrick and D. A. Marshall, 2001, Peso problem explanations for term structure anomalies, Journal of Monetary Economics 48, 241-270.
Bernanke, B. S., M. Gertler and M. Watson, 1997, Systematic monetary policy and the effects of oil price shocks, Brookings Papers on Economic Activity 1:1997, 91-142.
Bernard, H. and S. Gerlach, 1998, Does the term structure predict recessions? The international evidence, International Journal of Finance and Economics 3, 195-215.
Bonser-Neal, C., and T. R. Morley, 1997, Does the yield spread predict real economic activity? A multicountry analysis, Economic Review 82, 3rd quarter, 37-53.
- Campbell, J. Y., A. W. Lo, and A. C. MacKinlay, 1997, The econometrics of financial markets (Princeton University Press).
Paper not yet in RePEc: Add citation now
Campbell, J. Y., and R. J. Shiller, 1991, yield spread and interest rate movements: a birds eye view, Review of Economic Studies 58, 495-514.
Christiano, L. J., M. Eichenbaum and C. L. Evans, 1999, Monetary policy shocks: what have we learned and to what end?, in: J. B. Taylor and M. Woodford, eds., Handbook of macroeconomics, Vol. 1.
Clarida, R., J. Gali and M. Gertler, 2000, Monetary policy rules and macroeconomic stability: evidence and some theory, The Quarterly Journal of Economics 115, 147-180.
- Cliff, M. T., 2000, GMM and MINZ program libraries for MATLAB, Krannet Graduate School of Management, Purdue University.
Paper not yet in RePEc: Add citation now
- Cochrane, J. H., 2001, Asset pricing (Princeton University Press).
Paper not yet in RePEc: Add citation now
Cochrane, J. H., and M. Piazzesi, 2002, Bond risk premia, working paper, Andersen school, UCLA.
Dai, Q., and K. J. Singleton, 2002, Expectation puzzles, time-varying risk premia, and affine models of the term structure, Journal of Financial Economics 63, 3, 415-441.
Dewachter, H., and M. Lyrio, 2002, Macro factors and the term structure of interest rates, working paper, Center for economic studies, Catholic University of Leuven.
Dotsey, M. and C. Otrok, 1995, The rational expectations hypothesis of the term structure, monetary policy, and time-varying term premia, Economic Quarterly, Federal Reserve Bank of Richmond 81, 1, 65-81.
Dotsey, M., 1998, The predictive content of the interest rate term spread for future economic growth, Economic Quarterly, Federal Reserve Bank of Richmond 84, 3, 31-51.
Dueker, M., 1997, Strengthening the case for the yield curve as a predictor of U.S. recessions, Review, Federal Reserve Bank of St. Louis 79, March/April, 41-51.
- Duffee, G. R., 2002, term premia and interest rate forecasts, Journal of Finance 57, 1, 405-443.
Paper not yet in RePEc: Add citation now
- Duffie, J. D. and R. Kan, 1996, A yield-factor model of interest rates, Mathematical Finance 6, 379-406.
Paper not yet in RePEc: Add citation now
Engle, R. F., and D. M. Lilien, and Russell P. Robins, Estimating time varying risk premia in the term structure: the Arch-M model, Econometrica 55, 2, 391-407. Engle, R. F., and V. K. Ng, 1993, Time-varying volatility and the dynamic behavior of the term structure, Journal of Money, Credit, and Banking 25, 3, 336-349.
Estrella, A., and F. S. Mishkin, 1997, The predictive power of the term structure of interest rates in Europe and the United States: implications for the European Central Bank, European Economics Review 41, July, 1375-1401.
Estrella, A., and G. Hardouvelis, 1991, The term structure as a predictor of real economic activity, Journal of Finance 46, 2, 555-576.
Evans, C. L., and D. A. Marshall, 1998, Monetary policy and the term structure of nominal interest rates, evidence and theory, Carnegie-Rochester Conference Series on Public Policy 49, 53-111.
Fama, E. F., 1975, Short term interest rates as predictors of inflation, American Economic Review 65, 269-282.
Fama, E. F., 1990, Term-structure forecasts of interest rates, inflation, and real returns, Journal of Monetary Economics 25, 1, 59-76.
Fama, E. F., and R. R. Bliss, 1987, The information in long-maturity forward rates, American Economic Review 77, 4, 680-692.
Gordon, D. B. and E. M. Leeper, 1994, The dynamic impacts of monetary policy: an exercise in tentative identification, Journal of Political Economy 102, 6, 1228-1247.
- Hamilton, J. D. and D. H. Kim, 2002, A re-examination of the predictability of the yield spread for real economic activity, Journal of Money, Credit, and Banking 34, 2, 340-360.
Paper not yet in RePEc: Add citation now
- Hamilton, J. D., 1994, Time series analysis (Princeton University Press).
Paper not yet in RePEc: Add citation now
Hansen, L. P., 1982, Large sample properties of generalized method of moments estimators, Econometrica 50, 1029-1054.
Hansen, L. P., and K. Singleton, 1982, Generalized instrumental variables estimation of nonlinear rational expectations models, Econometrica 50, 1269-1286.
Hansen, L. P., and R. Jagannathan, 1991, Assessing specification errors in stochastic discount factor models, Journal of Finance 52, 557-590.
Hardouvelis, G., 1994, The term structure spread and future changes in long and short rates in the G7 countries. Is there a puzzle?, Journal of Monetary Economics 33, 255-283.
Harrison, J. M., and D. M. Kreps, 1979, Martingales and arbitrage in multiperiod securities markets, Journal of Economic Theory 20, 381-408.
Harvey, C., 1988, The real term structure and consumption growth, Journal of Financial Economics 22, 305-334.
Haubrich, J. G., and A. M. Dombrosky, 1996, Predicting real growth using the yield curve, Economic Review, Federal Reserve Bank of Cleveland 32, 1st quarter, 26-35.
Hordahl, P., O. Tristani, and D. Vestin, 2002, A joint econometric model of macroeconomic and term structure dynamics, working paper, European Central Bank.
Jorion, P., and F. S. Mishkin, 1991, A multicountry comparison of term-structure forecasts at long horizons, Journal of Financial Economics 29, 1, 59-80.
- Kozicki, S., 1997, Predicting real growth and inflation of monetary policy, Economic Review, Federal Reserve Bank of Kansas City 82, 4th quarter, 39-57.
Paper not yet in RePEc: Add citation now
Longstaff, F. A., and E. S. Schwartz, 1992, Interest rate volatility and the term structure: a two-factor general equilibrium model, Journal of Finance 47, Sep., 1259-1282.
Mankiw, N. G. and J. A. Miron, 1986 The changing behavior of the term structure of interest rates, Quarterly Journal of Economics 101, 211-228.
Mishkin, F. S., 1988, The information in the term structure: some further results, Journal of Applied Econometrics 3, 307-314.
Mishkin, F. S., 1990a, What does the term structure tell us about future inflation?, Journal of Monetary Economics 25, January, 77-95.
Mishkin, F. S., 1990b, The information in the longer maturity term structure about future inflation, Quarterly Journal of Economics 105, 3, 815-828.
Mishkin, F. S., 1991, A multi-country study of the information in the shorter maturity term structure about future inflation, Journal of International Money and Finance 19, March, 2-22.
Newey, W. K., and K. D. West, 1987, A simple positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica 55, May, 703-778.
- Pagan, A. R. and J. C. Robertson, 1995, Resolving the liquidity effect, Federal Reserve Bank of St. Louis Review 77, 3, 33-54.
Paper not yet in RePEc: Add citation now
Piazzesi, M., 2001, An econometric model of the yield curve with macroeconomic jump effects, working paper, Andersen school, UCLA.
Plosser, C. I., and K. G. Rouwenhost, 1994, International term structure and real economic growth, Journal of Monetary Economics 33, February, 135-155.
Roberds, W., and C. H. Whiteman, 1999, Endogenous term premia and anomalies in the term structure of interest rates: explaining the predictability smile, Journal of Monetary Economics 44, 555-580.
Rudebusch, G. D., 1995, Federal Reserve interest rate targeting, rational expectations, and the term structure, Journal of Monetary Economics 35, 2, 245-274.
Sims, C. A., 1980, Macroeconomics and reality, Econometrica 48, 1, 1-48.
- Stock, J. H., and M. W. Watson, 1989, New index of coincident and leading indicators, in O. Blanchard and S. Fischer, eds., NBER Macroeconomic Annual, Vol. 4 (MIT Press).
Paper not yet in RePEc: Add citation now
Taylor, J., 1993, Discretion versus policy rules in practice, Carnegie-Rochester Conference on Public Policy 39, 195-214.
Vasicek, O., 1977, An equilibrium characterization of the term structure, Journal of Financial Economics 5, 177-188.
- Walsh, C. E., 1998, Monetary theory and policy (The MIT Press).
Paper not yet in RePEc: Add citation now
- Wu, T., 2002, Macro factors and the affine term structure of interest rates, working paper, Federal Reserve Bank of San Francisco.
Paper not yet in RePEc: Add citation now