[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
create a website
Term Structure Transmission of Monetary Policy. (2007). Tinsley, Peter ; Kozicki, Sharon.
In: Staff Working Papers.
RePEc:bca:bocawp:07-30.

Full description at Econpapers || Download paper

Cited: 2

Citations received by this document

Cites: 30

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Macroeconomic and interest rate volatility under alternative monetary operating procedures. (2010). Rudolf, Barbara ; Gerlach-Kristen, Petra.
    In: Working Papers.
    RePEc:snb:snbwpa:2010-12.

    Full description at Econpapers || Download paper

  2. Macroeconomic and interest rate volatility under alternative monetary operating procedures. (2010). Rudolf, Barbara ; Gerlach-Kristen, Petra.
    In: BIS Working Papers.
    RePEc:bis:biswps:319.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Ang, A. and M. Piazzesi, 2003. A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables. Journal of Monetary Economics, 50, 4, 745-87.

  2. Ang, A., S. Dong, and M. Piazzesi, 2005. No-Arbitrage Taylor Rules. University of Chicago working paper, August.

  3. Beyer, A. and R. Farmer, 2004. On the Indeterminacy of New-Keynesian Economics. European Central Bank working paper 323, February.

  4. Buraschi, A. and A. Jiltsov, 2005. Inflation Risk Premia and the Expectations Hypothesis. Journal of Financial Economics, 75, 429-90.

  5. Campbell, J., A. Lo, and C. MacKinlay, 1977. The Econometrics of Financial Markets. Princeton, NJ: Princeton University Press.
    Paper not yet in RePEc: Add citation now
  6. Christiano, L, M. Eichenbaum, and C. Evans, 2005. Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy. Journal of Political Economy, 13(10), February, 1-45.

  7. Clarida, R., J. Gali, and M. Gertler, 2000. Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory. Quarterly Journal of Economics, February, 147-80.

  8. Dewachter, H. and M. Lyrio, 2006a. Macro Factors and the Term Structure of Interest Rates. Journal of Money, Credit and Banking.

  9. Dewachter, H. and M. Lyrio, 2006b. Learning, macroeconomic dynamics and the term structure: A Bayesian Analysis. Manuscript.

  10. Dewachter, H., M. Lyrio, and K. Maes, 2006. A Joint Model for the Term Structure of Interest Rates and the Macroeconomy. Journal of Applied Econometrics.

  11. Duffee, G., 2002. Term Premia and Interest Rate Forecasts in Affine Models. Journal of Finance, 57, 405-43.

  12. Duffee, G., 2006. Term Structure Estimation Without Using Latent Factors. Journal of Financial Economics, 79(3), 507-36.

  13. Duffie, D., 1996. Dynamic Asset Pricing Theory, Princeton: Princeton University Press.
    Paper not yet in RePEc: Add citation now
  14. Fuhrer, J., 1996. Monetary Policy Shifts and Long-Term Interest Rates. Quarterly Journal of Economics, November, 1183-1209.

  15. Hördahl, P., 0. Tristani, and D. Vestin, 2005. A joint econometric model of macroeconomic and term-structure dynamics. Journal of Econometrics, 131(1-2), 405-44.

  16. Kim, D. and A. Orphanides, 2005. Term Structure Estimation with Survey Data on Interest Rate Forecasts. Federal Reserve Board FEDS working paper, 2005-48, October.

  17. Kohn, D., 2005. Monetary Perspectives on Risk Premiums in Financial Markets. Speech, July 21. http ://www.federalreserve .govlboarddocs/speeches/2005/ Kozicki, S. and P. Tinsley, 200 la. Term Structure Views of Monetary Policy under Alternative Models of Agent Expectations. Journal of Economic Dynamics & Control, January, 14984. Kozicki, S. and P. Tinsley, 200 lb. Shifting Endpoints in the Term Structure of Interest Rates. Journal of Monetary Economics, 47, June, 6 13-52.

  18. Kozicki, S. and P. Tinsley, 2002. Dynamic Specifications in Optimizing Trend-Deviation Macro Models. Journal of Economic Dynamics & Control, 26, August, 1585-1611.

  19. Kozicki, S. and P. Tinsley, 2005a. What do you expect? Imperfect policy credibility and tests of the expectations hypothesis. Journal of Monetary Economics, 52, 42 1-47.

  20. Kozicki, S. and P. Tinsley, 2005c. Term Structure Transmission of Monetary Policy (Why Bond Traders are Paid More than Central Bankers), Federal Reserve Bank of Kansas City Working Paper RWP 05-06, December.
    Paper not yet in RePEc: Add citation now
  21. Kozicki, S. and P. Tinsley, 2007. Perhaps the FOMC Did What It Said It Did: An Alternative Interpretation of the Great Inflation. Bank of Canada Working Paper 2007-??, March.

  22. Lubik, T. and F. Schorfeide, 2004. Testing for Indeterminacy: An Application to U.S. Monetary Policy. American Economic Review, 94(1), March, 190-217.

  23. Orphanides, 0., 2003. The Quest for Prosperity Without Inflation. Journal of Monetary Economics, 50, 633-63.

  24. Rotemberg, J. and M. Woodford, 1999. Interest Rates Rules in an Estimated Sticky Price Model. in J. Taylor (ed.) Monetary Policy Rules, Chicago: University of Chicago Press, 57-119.

  25. Rudebusch, G. and T. Wu, forthcoming. Accounting for a Shift in Term Structure Behavior with No-Arbitrage and Macro-Finance Models. Journal of Money, Credit, and Banking,. Rudebusch, G. and T. Wu, 2004. A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economy. Federal Reserve Bank of San Francisco working paper.

  26. Rudebusch, G., B.P. Sack, and E.T. Swanson, 2006. Macroeconomic Implications of Changes in the Term Premium. Manuscript.

  27. Shiller, R., 1990. The Term Structure of Interest Rates. in B. Friedman and F. Hahn (eds.) Handbook of Monetary Economics, vol I, Amsterdam: North-Holland, 627-72.

  28. Shiller, R., Campbell, J., Schoenholtz, K., 1983. Forward rates and future policy: Interpreting the term structure of interest rates. Brookings Papers on Economic Activity, 1, 173-223.

  29. Tinsley, P., H. Fan, G. Fries, B. Ganett, and P. von zur Muehlen, 1982. Policy Robustness: Specification and Simulation of a Monthly Money Market Model. Journal of Money, Credit and Banking, November, 829-56.

  30. Woodford, M., 2003. Interest and Prices. Princeton, N.J.: Princeton University Press.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Cracking the Conundrum. (2007). Wright, Jonathan ; Backus, David.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13419.

    Full description at Econpapers || Download paper

  2. Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models. (2007). Zin, Stanley ; Palomino, Francisco ; Hollifield, Burton ; Gallmeyer, Michael.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13245.

    Full description at Econpapers || Download paper

  3. Macro volatility in a model of the UK Gilt edged bond market. (2007). Spencer, Peter.
    In: Money Macro and Finance (MMF) Research Group Conference 2006.
    RePEc:mmf:mmfc06:73.

    Full description at Econpapers || Download paper

  4. Forecasts of U.S. short-term interest rates: a flexible forecast combination approach. (2007). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-059.

    Full description at Econpapers || Download paper

  5. Determinants of long-term interest rates in the Scandinavian countries. (2006). Hol, Suzan.
    In: Discussion Papers.
    RePEc:ssb:dispap:469.

    Full description at Econpapers || Download paper

  6. 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.

    Full description at Econpapers || Download paper

  7. 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.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

  9. 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.

    Full description at Econpapers || Download paper

  10. High Dimensional Yield Curves: Models and Forecasting. (2006). Meeks, Roland ; Bowsher, Clive.
    In: Economics Papers.
    RePEc:nuf:econwp:0612.

    Full description at Econpapers || Download paper

  11. Fiscal Policy and the Term Structure: Evidence from the Case of Italy in the EMS and the EMU Periods. (2006). Giglio, Stefano ; Favero, Carlo.
    In: Working Papers.
    RePEc:igi:igierp:312.

    Full description at Econpapers || Download paper

  12. 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.

    Full description at Econpapers || Download paper

  13. Fiscal Policy and the Term Structure: Evidence from the Case of Italy in the EMS and the EMU Periods. (2006). Giglio, Stefano ; Favero, Carlo.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5793.

    Full description at Econpapers || Download paper

  14. 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.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

  16. 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.

    Full description at Econpapers || Download paper

  17. New-Keynesian Macroeconomics and the Term Structure. (2005). Moreno, Antonio ; Cho, Seonghoon ; Bekaert, Geert.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp0405.

    Full description at Econpapers || Download paper

  18. Term structure estimation without using latent factors. (2005). Duffee, Greg.
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:103.

    Full description at Econpapers || Download paper

  19. Modeling Bond Yields in Finance and Macroeconomics. (2005). Rudebusch, Glenn ; Piazzesi, Monika ; Diebold, Francis.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:05-008.

    Full description at Econpapers || Download paper

  20. New-Keynesian Macroeconomics and the Term Structure. (2005). Moreno, Antonio ; Cho, Seonghoon ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11340.

    Full description at Econpapers || Download paper

  21. Taylor Rules, McCallum Rules and the Term Structure of Interest Rates. (2005). Zin, Stanley ; Hollifield, Burton ; Gallmeyer, Michael.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11276.

    Full description at Econpapers || Download paper

  22. Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium. (2005). Wachter, Jessica ; Lettau, Martin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11144.

    Full description at Econpapers || Download paper

  23. Modeling Bond Yields in Finance and Macroeconomics. (2005). Rudebusch, Glenn ; Piazzesi, Monika ; Diebold, Francis.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11089.

    Full description at Econpapers || Download paper

  24. Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets. (2005). Wu, Shu.
    In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
    RePEc:kan:wpaper:200519.

    Full description at Econpapers || Download paper

  25. Term structure transmission of monetary policy. (2005). Tinsley, Peter ; Kozicki, Sharon.
    In: Research Working Paper.
    RePEc:fip:fedkrw:rwp05-06.

    Full description at Econpapers || Download paper

  26. No-arbitrage Taylor rules. (2005). Piazzesi, Monika ; Dong, Sen ; Ang, Andrew.
    In: Proceedings.
    RePEc:fip:fedfpr:y:2005:x:14.

    Full description at Econpapers || Download paper

  27. Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach. (2005). Moench, Emanuel ; Monch, Emanuel.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2005544.

    Full description at Econpapers || Download paper

  28. Why is Long-Horizon Equity Less Risky? A Duration-based Explanation of the Value Premium. (2005). Wachter, Jessica ; Lettau, Martin.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:4921.

    Full description at Econpapers || Download paper

  29. Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates. (2004). Kaminska, Iryna ; Favero, Carlo ; Carriero, Andrea.
    In: Computing in Economics and Finance 2004.
    RePEc:sce:scecf4:76.

    Full description at Econpapers || Download paper

  30. Filtering Long-Run Inflation Expectations with a Structural Macro Model of the Yield Curve. (2004). Lyrio, Marco ; Dewachter, Hans.
    In: Computing in Economics and Finance 2004.
    RePEc:sce:scecf4:188.

    Full description at Econpapers || Download paper

  31. Macroeconomic Sources of Risk in the Term Structure. (2004). Wickens, Michael ; Balfoussia, Hiona.
    In: CEIS Research Paper.
    RePEc:rtv:ceisrp:61.

    Full description at Econpapers || Download paper

  32. Macro factors and the term structure of interest rates. (2004). Dewachter, Hans.
    In: Money Macro and Finance (MMF) Research Group Conference 2003.
    RePEc:mmf:mmfc03:25.

    Full description at Econpapers || Download paper

  33. Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates. (2004). Kaminska, Iryna ; Favero, Carlo ; Carriero, Andrea.
    In: Working Papers.
    RePEc:igi:igierp:253.

    Full description at Econpapers || Download paper

  34. Reading the minds of investors: an empirical term structure model for policy analysis. (2004). Clouse, Jim.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2004-64.

    Full description at Econpapers || Download paper

  35. Monetary policy alternatives at the zero bound: an empirical assessment. (2004). Reinhart, Vincent ; Bernanke, Ben ; Sack, Brian P..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2004-48.

    Full description at Econpapers || Download paper

  36. Regime shifts in a dynamic term structure model of U.S. Treasury bond yields. (2004). Singleton, Kenneth ; Yang, Wei ; Dai, Qiang.
    In: Proceedings.
    RePEc:fip:fedfpr:y:2004:i:mar:x:11.

    Full description at Econpapers || Download paper

  37. A joint econometric model of macroeconomic and term structure dynamics. (2004). Tristani, Oreste ; Hördahl, Peter ; Hoerdahl, Peter.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:379.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

  39. Forecasting Australian GDP Growth Using Coefficients Constrained by A Term Structure Model. (2004). Vahid, Farshid ; Luo, Lin .
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:232.

    Full description at Econpapers || Download paper

  40. A joint econometric model of macroeconomic and term structure dynamics. (2004). Tristani, Oreste ; Hördahl, Peter ; Hordahl, Peter ; Vestin, David .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2004405.

    Full description at Econpapers || Download paper

  41. Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates. (2004). Kaminska, Iryna ; Favero, Carlo ; Carriero, Andrea.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:4301.

    Full description at Econpapers || Download paper

  42. Macroeconomic Sources of Risk in the Term Structure. (2004). Wickens, Michael ; Balfoussia, Hiona.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_1329.

    Full description at Econpapers || Download paper

  43. Time-Consistent No-Arbitrage Models of the Term Structure. (2003). Yaron, Amir ; Brandt, Michael W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9458.

    Full description at Econpapers || Download paper

  44. Monetary policy and the yield curve. (2003). Bomfim, Antulio N..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2003-15.

    Full description at Econpapers || Download paper

  45. What does the yield curve tell us about GDP growth?. (2003). Wei, Min ; Piazzesi, Monika ; Ang, Andrew.
    In: Proceedings.
    RePEc:fip:fedfpr:y:2003:i:mar:x:4.

    Full description at Econpapers || Download paper

  46. What makes the yield curve move?. (2003). Wu, Tao.
    In: FRBSF Economic Letter.
    RePEc:fip:fedfel:y:2003:i:jun6:n:2003-15.

    Full description at Econpapers || Download paper

  47. Macroeconomic modelling of monetary policy. (2003). Klaeffling, Matt.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2003257.

    Full description at Econpapers || Download paper

  48. Forecasting the Term Structure of Government Bond Yields. (2002). Diebold, Francis ; Li, Canlin.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:02-34.

    Full description at Econpapers || Download paper

  49. Stock Return Predictability: Is it There?. (2001). Bekaert, Geert ; Ang, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8207.

    Full description at Econpapers || Download paper

  50. Economic determinants of the nominal treasury yield curve. (2001). Marshall, David ; Evans, Charles.
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-01-16.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-26 11:01:22 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.