Bank for International Settlements

Bank for International Settlements (2010)

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by Peter Hördahl , Oreste Tristani

Citations

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480	A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables - Ang, Piazzesi - 2003
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183	Assessing nominal income rules for monetary policy with model and data uncertainty, - Rudebusch - 2002
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164	Ination dynamics: A structural econometric analysis, - Galí, Gertler - 1999
156	Expectation puzzles, time-varying risk premia, and a¢ ne models of the term structure.Journal of Financial Economics 63 - Dai, Singleton - 2002
131	An arbitrage-free three-factor term structure model and the recent behavior of long-term yields and distant-horizon forward rates,” Finance and Economics Discussion Paper - Kim, Wright - 2005
82	Mechanics of Forming and Estimating Dynamic Linear Economies,” working paper - Anderson, Hansen, et al. - 1995
81	Tips from TIPS: The informational content of Treasury Inflation-Protected Security prices." Federal Reserve Board, Working Paper, - D'Amico, Kim, et al. - 2009
81	Macro factors and the term structure of interest rates - Dewachter, Lyrio
68	Inflation, real interest rates and the bond market: A study of UK nominal and indexed-linked government bond prices - Barr, Campbell - 1997
67	Term Premia and Interest Rate Forecasts in A¢ ne Models - Du¤ee
40	Speci…cation analysis of a¢ ne term structure models - Dai, Singleton - 2000
35	2004): “Estimating the Euler Equation for Output - Fuhrer, Rudebusch
24	O Tristani and D Vestin (2006): “A joint econometric model of macroeconomic and term-structure dynamics - Hördahl
21	The Term Structure of Real Rates and Expected Ination'. NBER Working Papers 12930, National Bureau of Economic Research - Ang, Bekaert, et al. - 2007
20	What Was the Market’s View of UK Monetary Policy? Estimating Inflation Risk and Expected Inflation with Indexed Bonds,” Federal Reserve Bank of New York, Staff Report 57 - Remolona, Wickens, et al. - 1998
20	Discretion vs. policy rules in practice - Taylor - 1993
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14	Bihan (2001) “Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US Data,” Banque de France Notes d’Études et de Recherche 86 - Jondeau, Le
13	Ination risk premia and the expectations hypothesis - Buraschi, Jiltsov - 2005
9	2007): The U.S. Treasury yield curve: 1961 to the present,Journal of Monetary - Gürkaynak, Sack, et al.
9	2001), Nominal and ination indexed yields: separating expected ination and ination risk premia,mimeo - Risa
8	Real rates, expected ination, and ination risk premia - Evans - 1998
8	A macro-nance model of the term structure, monetary policy and the economy - RUDEBUSCH, WU - 2008
6	Empirical TIPS,Financial Analyst - Roll - 2004
6	Real risk, ination risk, and the term structure,Economic - Evans - 2003
6	Tristani and D. Vestin (2007), The yield curve and macroeconomic dynamics,mimeo, European Central Bank - Hördahl, O
5	Rudebusch (2010) "Ination Expectations and Risk Premiums in an Arbitrage-Free Model of Nominal and Real Bond Yields - Christensen, Lopez, et al.
5	Tristani and D. Vestin (2008), "The yield curve and macroeconomic dynamics - Hördahl, O
5	Real interest rates and ination: An ex-ante empirical analysis,Journal of Finance - Kandel, Ofer, et al. - 1996
5	2000), The ination premium implicit in the US real and nominal term structures of interest rates,Ohio State University Working Paper - McCulloch, Kochin
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3	An estimate of the in‡ation risk premium using a three-factor a¢ ne term structure model,”FEDS working paper # 2006-42, Federal Reserve Board - Durham - 2006
2	2008), “The term structure of in‡ation expectations,” CEPR Working Paper No - Chernov, Mueller
2	In‡ation risks and in‡ation risk premia,”mimeo, ECB - García, Werner - 2008
1	2010), “The tips yield curve and in‡ation compensation,”American Economic Journal - Gürkaynak, Sack, et al.
1	Tristani (2010), “In‡ation risk premia in the term structure of interest rates,”Journal of the European Economic Association, forthcoming - Hördahl, O