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Do Stationary Risk Premia Explain It All? Evidence from the Term Struct. (1990). Evans, Martin ; Lewis, Karen K..
In: NBER Working Papers.
RePEc:nbr:nberwo:3451.

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  1. The response of long-term interest rates to news about monetary policy actions: Empirical evidence for the US and Germany. (1998). Wolters, Juergen ; Nautz, Dieter.
    In: SFB 373 Discussion Papers.
    RePEc:zbw:sfb373:199878.

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  2. Peso Problems and Heterogeneous Trading: Evidence From Excess Returns in Foreign Exchange and Euromarkets. (1992). Evans, Martin ; Lewis, Karen K..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4003.

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References

References cited by this document

  1. Campbell, John Y. , (1987), Stock returns and the term structure, Journal of Financial Economics 7, 265-296.

  2. Campbell, John Y. and Robert J. Shiller (1984), A Simple Assount of the Behavor of Long-Term Interest Rates, American Economic Review Papers and Proceedings 74: 44-4.

  3. Campbell, John Y. and Robert J. Shiller (1987), Cointegration and Test of Present Value Models, Journal of Political Economy, 95: 1062-1088.

  4. Campbell, John Y. and Robert J. Shiller (1989), Yield Spreads and Interest Rate Movements: A Birds Eye View, N,B,E.R Working Paper No. 3153.

  5. Fama, Eugene F. (l984a), The Information in the Term Structure, Journal of Financial Economics, 13: 509-28. Fama, Eugene F. (l984b), Term Premiums in Bond Returns, Journal of Financial Economics, 13: 529-46. Fama, Eugene F. and Robert R. Bliss (1987), The Information in Long Maturity Forward Rates, American Economic Review, 77: 680-692.

  6. Friedman, Benjamin H., (1979) Interest Rate Expectations Versus Forward Rates: Evidence from an Expectations Survey, Journal of Finance, 34: 965-73.

  7. Friedman, Benjamin M. , (1980), Survey Evidence on the Rationality of Interest Rate Expectations, Journal of Monetary Economics, 6: 453-65.

  8. Hansen B. and P. Phillips, (1989), Statistical Inference in Instrumental Variables Regression with 1(1) Processes, Review of Economic Studies, 57 No. 189: 99-126.

  9. Lewis, Karen K., (1989), Changing Beliefs and Systematic Forecast Errors, M~erican Economic Review, 79: 621-636.

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  11. Mankiw, N. Gregory, and Lawrence H. Summers, (1984), Do Long-Term Interest Rates Overreact to Short-Term Interest Rates? Brookings Pagers on Economic Activity, 1: 223-242.

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  13. Mishkin, Frederic, (1989), Is the Fisher Effect for Real? Mimeo, Columbia University.
    Paper not yet in RePEc: Add citation now

  14. Pagan, Adrian R. and M.R. Wickens, A Survey of Some Recent Econometric Methods, The Economic Journal., 99: 962-1025. Phillips, Peter and Pierre Perron, (1987) Testing for a unit root in a time series regression, ~iometrika, 74: 335-46.

  15. Rogoff, Kenneth S., (1980) Essays on Expectations and Exchange Rate Volatility, Unpublished Ph.D, Dissertation, Massachusetts Institute of Technology.
    Paper not yet in RePEc: Add citation now

  16. Shiller, Robert J. , John Y. Campbell, and Kermit L. Schoenholtz, (1983), Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates, Brookings Papers on Economic Activity, pp. 173-217.

  17. Shiller, Robert J., (1979), The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure, Journal of Political Economy, 87: 1190-19.

  18. Shiller, Robert J., (1987), The Term Structure of Interest Rates, N.B.E.R. Working Paper No. 2341.

  19. Stock, James and Mark Watson, (1989) A simple MLE of Cointegrating vectors in higher order integrated systems, NBER Technical Working Paper No. 83.

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