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The Term Structure of Inflation Expectations. (2008). Mueller, Philippe ; Chernov, Mikhail.
In: 2008 Meeting Papers.
RePEc:red:sed008:346.

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  1. (Un)expected monetary policy shocks and term premia. (2019). Meyer-Gohde, Alexander ; Kliem, Martin.
    In: IMFS Working Paper Series.
    RePEc:zbw:imfswp:137.

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  2. Can Risk Models Extract Inflation Expectations from Financial Market Data? Evidence from the Inflation Protected Securities of Six Countries. (2018). Tortorice, Daniel ; Kita, Arben .
    In: Working Papers.
    RePEc:hcx:wpaper:1801.

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  3. (Un)expected Monetary Policy Shocks and Term Premia. (2017). Meyer-Gohde, Alexander ; Kliem, Martin.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2017-015.

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  4. The TIPS Liquidity Premium. (2017). Christensen, Jens ; Riddell, Simon ; Andreasen, Martin M.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2017-11.

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  5. Interest Rates Under Falling Stars. (2017). Rudebusch, Glenn ; Bauer, Michael.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_6571.

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  6. Term Structures of Asset Prices and Returns. (2016). Chernov, Mikhail ; Boyarchenko, Nina ; Backus, David.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:22162.

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  7. The Term Structure and Inflation Uncertainty. (2016). Orphanides, Athanasios ; D'Amico, Stefania ; Breach, Tomas .
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-2016-22.

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  8. Real and Nominal Equilibrium Yield Curves: Wage Rigidities and Permanent Shocks. (2016). Palomino, Francisco J ; Rica, E ; Hsu, Alex.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2016-32.

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  9. Term structures of asset prices and returns. (2016). Chernov, Mikhail ; Boyarchenko, Nina ; Backus, David.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11227.

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  10. Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates. (2015). de Vries, Casper ; Wang, Xuedong .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20150066.

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  11. The Macroeconomic Determinants of the Term Structure of Inflation Expectations in Brazil. (2015). Fernandes, Marcelo ; Thiele, Eduardo .
    In: Brazilian Review of Econometrics.
    RePEc:sbe:breart:v:35:y:2015:i:1:a:17002.

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  12. UK Term Structure Decompositions at the Zero Lower Bound. (2015). Mouabbi, Sarah ; Carriero, Andrea ; Vangelista, Elisabetta.
    In: Working Papers.
    RePEc:qmw:qmwecw:wp755.

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  13. UK Term Structure Decompositions at the Zero Lower Bound. (2015). Mouabbi, Sarah ; Carriero, Andrea ; Vangelista, Elisabetta.
    In: Working Papers.
    RePEc:qmw:qmwecw:755.

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  14. Decomposing real and nominal yield curves. (2015). Moench, Emanuel ; Crump, Richard ; Adrian, Tobias ; Abrahams, Michael .
    In: Staff Reports.
    RePEc:fip:fednsr:570.

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  15. Multivariate return decomposition: theory and implications. (2015). Gospodinov, Nikolay ; Anatolyev, Stanislav.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2015-07.

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  16. Speculation and the Bond Market: An Empirical No-arbitrage Framework. (2015). Barillas, Francisco ; Nimark, Kristoffer P.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10892.

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  17. Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates. (2015). de Vries, Casper ; Wang, Xuedong .
    In: CESifo Working Paper Series.
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  18. Disagreement about inflation and the yield curve. (2015). Heyerdahl-Larsen, Christian ; Gallmeyer, Michael ; Ehling, Paul ; Illeditsch, Philipp.
    In: Working Papers.
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  19. Inferring inflation expectations from fixed-event forecasts. (2014). Winkelried, Diego.
    In: Working Papers.
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  20. Inflation Risk Premia in the Euro Area and the United States. (2014). Tristani, Oreste ; Hördahl, Peter ; Hordahl, Peter.
    In: International Journal of Central Banking.
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  21. Expectations, risk premia and information spanning in dynamic term structure model estimation. (2014). Guimaraes, Rodrigo ; Guimares, Rodrigo .
    In: Bank of England working papers.
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  22. The US Economy, the Treasury Bond Market and the Specification of Macro-Finance Models. (2013). Spencer, Peter.
    In: Discussion Papers.
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  23. Speculation, risk premia and expectations in the yield curve. (2013). Nimark, Kristoffer ; Barillas, Francisco.
    In: Economics Working Papers.
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  24. Identifying Taylor Rules in Macro-finance Models. (2013). Zin, Stanley ; Chernov, Mikhail ; Backus, David.
    In: Working Papers.
    RePEc:ste:nystbu:13-12.

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  25. Deflation Risk. (2013). Lustig, Hanno ; Longstaff, Francis ; Fleckenstein, Matthias.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:19238.

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  26. Anchoring the yield curve using survey expectations. (2013). Ragusa, Giuseppe ; Altavilla, Carlo ; Carlo Altavilla , ; Giacomini, Raffaella.
    In: CeMMAP working papers.
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  27. Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs. (2013). Singleton, Kenneth ; Joslin, Scott .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:109:y:2013:i:3:p:604-622.

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  28. Speculation, Risk Premia and Expectations in the Yield Curve. (2013). Nimark, Kristoffer ; Barillas, Francisco.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9755.

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  29. Identifying Taylor rules in macro-finance models. (2013). Zin, Stanley ; Chernov, Mikhail ; Backus, David.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9611.

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  30. Speculation, Risk Premia and Expectations in the Yield Curve. (2013). Nimark, Kristoffer ; Barillas, Francisco.
    In: Working Papers.
    RePEc:bge:wpaper:659.

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  31. Macroeconomic and monetary policy surprises and the term structure of interest rates. (2013). Pericoli, Marcello.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_927_13.

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  32. A New Linear Estimator for Gaussian Dynamic Term Structure Models. (2013). Diez de los Rios, Antonio.
    In: Staff Working Papers.
    RePEc:bca:bocawp:13-10.

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  33. Core and `Crust: Consumer Prices and the Term Structure of Interest Rates. (2012). Benzoni, Luca ; Ajello, Andrea ; Chyruk, Olena .
    In: 2012 Meeting Papers.
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  34. Forecasting interest rates. (2012). Duffee, Greg.
    In: Economics Working Paper Archive.
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  35. Core and Crust: Consumer Prices and the Term Structure of Interest Rates. (2012). Benzoni, Luca ; Ajello, Andrea ; Chyruk, Olena .
    In: Working Paper Series.
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  36. Pricing deflation risk with U.S. Treasury yields. (2012). Rudebusch, Glenn ; Lopez, Jose ; Christensen, Jens ; Jens H. E. Christensen, .
    In: Working Paper Series.
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  37. What accounts for the fall in UK ten-year government bond yields?. (2012). Guimaraes, Rodrigo ; Guimares, Rodrigo .
    In: Bank of England Quarterly Bulletin.
    RePEc:boe:qbullt:0082.

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  38. Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields. (2012). Fontaine, Jean-Sebastien ; Feunou, Bruno.
    In: Staff Working Papers.
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  39. Sources of Entropy in Representative Agent Models. (2011). Zin, Stanley ; Chernov, Mikhail ; Backus, David.
    In: NBER Working Papers.
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  40. Inflation Expectations and Risk Premiums in an Arbitrage‐Free Model of Nominal and Real Bond Yields. (2010). Rudebusch, Glenn ; Lopez, Jose.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:42:y:2010:i:s1:p:143-178.

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  41. No-arbitrage macroeconomic determinants of the yield curve. (2010). Chernov, Mikhail ; Bikbov, Ruslan .
    In: Post-Print.
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  42. Macro-finance models of interest rates and the economy. (2010). Rudebusch, Glenn ; GlennD. Rudebusch, .
    In: Working Paper Series.
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  43. No-arbitrage macroeconomic determinants of the yield curve. (2010). Chernov, Mikhail ; Bikbov, Ruslan .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:159:y:2010:i:1:p:166-182.

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  44. Inflation risks and inflation risk premia. (2010). Garcia, Juan Angel ; Werner, Thomas.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20101162.

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  45. International Interest-Rate Risk Premia in Affine Term Structure Models. (2009). Geiger, Felix.
    In: Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim.
    RePEc:hoh:hohdip:316.

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  46. No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth.. (2009). Pegoraro, Fulvio ; Monfort, Alain ; Jardet, Caroline.
    In: Working papers.
    RePEc:bfr:banfra:234.

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  47. An empirical assessment of the relationships among inflation and short- and long-term expectations. (2008). Davig, Troy ; Clark, Todd.
    In: Research Working Paper.
    RePEc:fip:fedkrw:rwp08-05.

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  21. Predictive Systems: Living with Imperfect Predictors. (2007). Stambaugh, Robert ; Pastor, Lubos.
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  23. Term Structure Forecasting: No-arbitrage Restrictions vs. Large Information Set. (2007). Sala, Luca ; Niu, Linlin ; Favero, Carlo.
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    RePEc:fip:fedlrv:y:2007:i:jul:p:271-282:n:v.89no.4.

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  27. Macroeconomic implications of changes in the term premium. (2007). Swanson, Eric ; Rudebusch, Glenn ; Sack, Brian P..
    In: Review.
    RePEc:fip:fedlrv:y:2007:i:jul:p:241-270:n:v.89no.4.

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  28. What does the yield curve tell us about the Federal Reserves implicit inflation target?. (2007). Doh, Taeyoung.
    In: Research Working Paper.
    RePEc:fip:fedkrw:rwp07-10.

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  29. On forecasting the term structure of credit spreads. (2007). Thomson, James ; C. N. V. Krishnan, ; Ritchken, Peter H..
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:0705.

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  30. The role of no-arbitrage on forecasting: lessons from a parametric term structure model. (2007). Vicente, José Valentim ; Almeida, Caio.
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:657.

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  31. Inflation risk premia in the term structure of interest rates. (2007). Tristani, Oreste ; Hördahl, Peter ; Hordahl, Peter.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2007734.

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  32. Simulation-based Estimation of Contingent-claims Prices. (2007). Yu, Jun ; Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1596.

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  33. Term Structure Forecasting: No-Arbitrage Restrictions vs Large Information Set. (2007). Sala, Luca ; Niu, Linlin ; Favero, Carlo.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6206.

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  34. An affine macro-factor model of the UK yield curve. (2007). Peacock, Chris ; Lildholdt, Peter ; Panigirtzoglou, Nikolaos .
    In: Bank of England working papers.
    RePEc:boe:boeewp:322.

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  35. Term Structure Transmission of Monetary Policy. (2007). Tinsley, Peter ; Kozicki, Sharon.
    In: Staff Working Papers.
    RePEc:bca:bocawp:07-30.

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  36. A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate. (2007). Yang, Jun ; Chabi-Yo, Fousseni.
    In: Staff Working Papers.
    RePEc:bca:bocawp:07-21.

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  37. IMPACT OF MACRO SHOCKS ON SOVEREIGN DEFAULT PROBABILITIES. (2007). Matsumura, Marco S..
    In: Anais do XXXV Encontro Nacional de Economia [Proceedings of the 35th Brazilian Economics Meeting].
    RePEc:anp:en2007:060.

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  38. The relative importance of Term Spread, Policy Inertia and Persistent Monetary Policy Shocks in Monetary Policy Rules. (2006). Vázquez, Jesús ; Maria-Dolores, Ramón.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:6.

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  39. The term structure of inflation risk premia and macroeconomic dynamics. (2006). Vestin, David ; Tristani, Oreste ; Hrdahl, Peter.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:203.

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  40. Macroeconomic Models and the Yield Curve. (2006). Holly, Sean ; Chadha, Jagjit.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:105.

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  41. A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration. (2006). Diebold, Francis ; Li, Canlin ; Ji, Lei .
    In: PIER Working Paper Archive.
    RePEc:pen:papers:06-017.

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  42. A joint model for the term structure of interest rates and the macroeconomy. (2006). Maes, Konstantijn ; Lyrio, Marco ; Dewachter, Hans.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:21:y:2006:i:4:p:439-462.

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  43. Extracting inflation expectations from the term structure: the Fisher equation in a multivariate SDF framework. (2006). Wickens, Michael ; Balfoussia, Hiona.
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:11:y:2006:i:3:p:261-277.

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  44. How professional forecasters view shocks to GDP. (2006). Krane, Spencer.
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-06-19.

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  45. Macroeconomic implications of changes in the term premium. (2006). Swanson, Eric ; Rudebusch, Glenn ; Sack, Brian P..
    In: Working Paper Series.
    RePEc:fip:fedfwp:2006-46.

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  46. The bond yield conundrum from a macro-finance perspective. (2006). Wu, Tao ; Swanson, Eric ; Rudebusch, Glenn.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2006-16.

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  47. Validating forecasts of the joint probability density of bond yields: Can affine models beat random walk?. (2006). LI, HAITAO ; Hong, Yongmiao ; Egorov, Alexei.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:135:y:2006:i:1-2:p:255-284.

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  48. A factor risk model with reference returns for the US dollar and Japanese yen bond markets. (2006). Nyholm, Ken ; Coche, Joachim ; Bernadell, Carlos.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006641.

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  49. New-Keynesian Macroeconomics and the Term Structure. (2006). Moreno, Antonio ; Cho, Seonghoon ; Bekaert, Geert.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5956.

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  50. Macroeconomic Models and the Yield Curve: An assessment of the Fit. (2006). Holly, Sean ; Chadha, Jagjit.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0640.

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  51. Modelling Term-Structure Dynamics for Risk Management: A Practitioners Perspective. (2006). Bolder, David.
    In: Staff Working Papers.
    RePEc:bca:bocawp:06-48.

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  52. Can Affine Term Structure Models Help Us Predict Exchange Rates?. (2006). Diez de los Rios, Antonio.
    In: Staff Working Papers.
    RePEc:bca:bocawp:06-27.

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  53. Modelling International Bond Markets with Affine Term Structure Models. (2005). Schneider, Paul ; Mosburger, Georg.
    In: Finance.
    RePEc:wpa:wuwpfi:0509003.

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  54. The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields. (2005). Valente, Giorgio ; Thornton, Daniel ; Sarno, Lucio.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5259.

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  55. Towards a Joint Characterization of Monetary Policy and the Dynamics of the Term Structure of Interest Rates. (2004). Fendel, Ralf.
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:2290.

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  56. Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility. (2004). Jones, Christopher S. ; Goldstein, Robert S. ; Collin-Dufresne, Pierre.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10756.

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  57. What Does the Yield Curve Tell us about GDP Growth?. (2004). Wei, Min ; Piazzesi, Monika ; Ang, Andrew ; Piazessi, Monika.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10672.

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  58. Market Price of Risk Specifications for Affine Models: Theory and Evidence. (2004). Filipovic, Damir ; Cheridito, Patrick.
    In: Econometric Society 2004 North American Winter Meetings.
    RePEc:ecm:nawm04:536.

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  59. Why Can the Yield Curve Predict Output Growth, Inflation, and Interest Rates? An Analysis with Affine Term Structure Model. (2004). Ichiue, Hibiki.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:581.

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  60. Modeling Yield-Factor Volatility. (2004). Smith, Daniel ; Parignon, Christophe.
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:307.

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  61. Nonparametric Methods in Continuous-Time Finance: A Selective Review. (2003). Hong, Yongmiao ; CAI, ZONGWU.
    In: SFB 373 Discussion Papers.
    RePEc:zbw:sfb373:200315.

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  62. Iterative and Recursive Estimation in Structural Non-Adaptive Models. (2003). Renault, Eric ; Patilea, Valentin ; Pastorello, Sergio.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-08.

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  63. Closed-Form Likelihood Expansions for Multivariate Diffusions. (2002). Ait-Sahalia, Yacine.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8956.

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