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Interest rate expectations and the shape of the yield curve. (1996). Green, Eric M. ; Dziwura, Joseph R..
In: Research Paper.
RePEc:fip:fednrp:9631.

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Cited: 2

Citations received by this document

Cites: 13

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Cocites: 50

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Coauthors: 0

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Citations received by this document

  1. Working Paper 37. (1999). Geyer, Alois ; Mader, Richard.
    In: Working Papers.
    RePEc:onb:oenbwp:y::i:37:b:1.

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  2. Estimation of the term structure of interest rates - A parametric approach. (1999). Geyer, Alois ; Mader, Richard.
    In: Working Papers.
    RePEc:onb:oenbwp:37.

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References

References cited by this document

  1. Fama, Eugene F. (1984). The Information in the Term Structure. Journal of Financial Economics 13, 509-528.

  2. Fama, Eugene F. and Robert R. Bliss (1987). The Information in Long Maturity Forward Rates. American Economic Review 77, 680-692.

  3. Fama, Eugene F., and Kenneth R. French (1989). Business conditions and Expected Returns on Stocks and Bonds. Journal of Financial Economics, 25, pp. 23-49.

  4. Fisher, Mark, Douglas Nychka, and Dave Zervos (1995). Fitting the Term Structure of Interest Rates with Smoothing Splines. Working Paper, Federal Reserve Board.

  5. Gilles, Christian (1994). Forward Rates and Expected Future Short Rates. Working Paper, Federal Reserve Board.
    Paper not yet in RePEc: Add citation now
  6. Limanen, Antti (1995). A Framework for Analyzing Yield Curve Trades. Salomon Brothers.
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  7. Litterman, Robert, Jose Scheinkman, and Laurence Weiss (1991). volatility and the Yield Curve. The Journal of Fixed Income, June, 49-53.
    Paper not yet in RePEc: Add citation now

  8. Mankiw, N. Gregory and Jeffrey A. Miron (1986). The Changing Behavior of the Term Structure of Interest Rates. Quarterly Journal of Economics, 101, 211-228.

  9. Mishkin, Fredric 5. (1988). The Information in the Term Structure: Some Further Results. Journal of Applied Econometrics, 3, 307-314.

  10. Remolona, Eli, Joseph R. Dziwura, and Irene Pedraza (1995). The Short End of the Forward Curve and Asymmetric Cats Tail Convergence. Federal Reserve Bank of New York Research Paper 9523.

  11. Roberds, William, David Runkle, and Charles Whiteman (1992). Another Hole in the O2~ne Layer: Changes in FOMC Operating Procedure and the Term Structure. Unpublished Paper, Federal Reserve Bank of 33 Atlanta, Federal Reserve Bank of Minneapolis, and University of Iowa.

  12. Shea, Gary F. (1992). Benchmarking the Expectations Hypothesis of the Interest Rate Term Structure: An Analysis of Cointegrating Vectors. Journal of Business and Economic Statistics, 19, 347-366.

  13. Stambaugh, Robert R. (1988). The Information in Forward Rates. Journal of Financial Economics, 21, pp. 41-69.
    Paper not yet in RePEc: Add citation now

Cocites

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  2. A Kalman filter approach to characterizing the Canadian term structure of interest rates. (2005). Morley, James ; Gravelle, Toni.
    In: Applied Financial Economics.
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  3. The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly. (2005). Boudoukh, Jacob ; Whitelaw, Robert ; Richardson, Matthew.
    In: NBER Working Papers.
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  4. The Term Structure of the Risk-Return Tradeoff. (2005). Viceira, Luis ; Campbell, John.
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  5. Can An ”Estimation Factor” Help Explain Cross-Sectional Returns?. (2005). Lundtofte, Frederik.
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  6. Monetary policy and the term structure of interest rates. (2005). McCallum, Bennett.
    In: Economic Quarterly.
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  8. Time Variation in Term Premia: International Evidence. (2005). Wolff, Christian ; Verschoor, Willem ; Jongen, Ron .
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  9. The Term Structure of the Risk-Return Tradeoff. (2005). Viceira, Luis ; Campbell, John.
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  10. Tests of the expectations hypothesis: resolving the Campbell-Shiller paradox. (2004). Thornton, Daniel.
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  11. Tests of the expectations hypothesis: resolving the anomalies when the short-term rate is the federal funds rate. (2004). Thornton, Daniel.
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  12. Forward-Looking Information in VAR Models and the Price Puzzle. (2004). Brissimis, Sophocles ; Magginas, Nicholas S..
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  13. La estructura temporal de tasas de interés en México: ¿Puede predecir la actividad económica futura?. (2003). Castellanos, Sara ; Camero, Eduardo .
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  18. Design and Estimation of Quadratic Term Structure Models. (2002). Wu, Liuren ; Leippold, Markus.
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  19. The information in the term structure of German interest rates. (2002). Torricelli, Costanza ; Boero, Gianna.
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  21. Lecturas Alternativas de la Estructura a Plazo: Una Breve Revisión de literatura. (2002). Arosemena, Angelica.
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  24. A Risk Management Approach to Optimal Asset Allocation. (2001). Wickens, Michael ; Flavin, Thomas.
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  37. The Central Tendency: A Second Factor in Bond Yields. (1997). Das, Sanjiv ; Balduzzi, Pierluigi ; Foresi, Silverio .
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  38. Adjusted Forward Rates as Predictors of Future Spot Rates. (1996). Sanders, Anthony ; Karolyi, G. ; Buser, Stephen A..
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  39. Interest rate expectations and the shape of the yield curve. (1996). Green, Eric M. ; Dziwura, Joseph R..
    In: Research Paper.
    RePEc:fip:fednrp:9631.

    Full description at Econpapers || Download paper

  40. Moving endpoints and the internal consistency of agents ex ante forecasts. (1996). Tinsley, Peter ; Kozicki, Sharon.
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  41. The rational expectations hypothesis of the term structure, monetary policy, and time-varying term premia. (1995). Otrok, Christopher ; Dotsey, Michael.
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  42. The short end of the forward convergence curve and asymmetric cats tail convergence. (1995). Remolona, Eli ; Dziwura, Joseph ; Pedraza, Irene.
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  43. Interest rate policy and the inflation scare problem: 1979-1992. (1993). Goodfriend, Marvin.
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  44. A Multi-Country Comparison of Term Structure Forecasts at Long Horizons. (1991). Mishkin, Frederic ; Jorion, Philippe.
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  45. Yield Curve. (1990). Mishkin, Frederic.
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  46. Yield Spreads and Interest Rate Movements: A Birds Eye View. (1989). Shiller, Robert ; Campbell, John.
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  47. The Information in the Term Structure: Some Further Results. (1988). Mishkin, Frederic.
    In: NBER Working Papers.
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  48. The Changing Behavior of the Term Structure of Interest Rates. (1985). Miron, Jeffrey ; Mankiw, N. Gregory.
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  49. A Defense of Traditional Hypotheses About the Term Structure of InterestRates. (1984). Campbell, John.
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