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Bank for International Settlements (2010)
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Correct Errors
Monitor Changes
by Peter Hördahl , Oreste Tristani
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Citations
482
2000): “Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory,” Quarterly
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480
A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables
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431
Habit Formation in Consumption and Its Implications for MonetaryPolicy Models”,
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334
Monetary policy rules in practice some international evidence
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296
Global Optimization of Statistical Functions with Simulated Annealing” manuscript
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208
Estimating and Interpreting Forward Interest Rates
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183
Assessing nominal income rules for monetary policy with model and data uncertainty,
- Rudebusch - 2002
179
Solution and Estimation of RE Macromodels with Optimal Policy,” European Economic Review 43
- Söderlind - 1999
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
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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
17
A yield-factor model of interest rates.Mathematical Finance 6
- Du¢, D, et al. - 1996
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
4
The demand for index bonds,Journal
- Fischer - 1975
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