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Can Macroeconomic Variables Account for the Term Structure of Sovereign Spreads? Studying the Brazilian Case. (2015). Ajax R. B. Moreira, ; Matsumura, Marco .
In: Discussion Papers.
RePEc:ipe:ipetds:0152.

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  1. ANG, A., DONG, S., PIAZZESI, M. No-arbitrage Taylor rules. University of Chicago, 2005 (Working Paper).

  2. ANG, A., PIAZZESI, M. A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables. Journal of Monetary Economics, v. 50, p. 745787, 2003.

  3. CHEN, R. R., SCOTT, L. Maximum likelihood estimation for a multi-factor equilibrium model of the term structure of interest rates. Journal of Fixed Income, v. 3, p. 14-31, 1993.
    Paper not yet in RePEc: Add citation now

  4. DAI, Q., SINGLETON, K. Specification analysis of term structure of interest rates. Journal of Finance, v. 55, p. 1.943-1.978, 2000.

  5. DIEBOLD, F. X., PIAZZESI, M., RUDEBUSCH, G. D. Modeling bond yields in finance and macroeconomics. American Economic Review P&P, 2005.

  6. DUFFIE, D., KAN, R. A yield-factor model of interest rates. Mathematical Finance, v. 6, p. 379-406, 1996.

  7. DUFFIE, D., PEDERSEN, L., SINGLETON, K. Modeling sovereign yield spreads: a case study of Russian debt. Journal of Finance, v. 58, p. 119-159, 2002.
    Paper not yet in RePEc: Add citation now

  8. DUFFIE, D., SINGLETON, K. Modeling term structures of defaultable bonds. Review of Financial Studies, v. 12, p. 687-720, 1999.

  9. HARRISON, J. M., KREPS, D. M. Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory, v. 2, p. 381-408, 1979.

Cocites

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    In: IMF Working Papers.
    RePEc:imf:imfwpa:2016/103.

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  2. Equity Returns and the Business Cycle: The Role of Supply and Demand Shocks. (2013). Smith, Peter ; Velzquez, Alfonso Mendoza .
    In: CAMA Working Papers.
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  3. An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks. (2012). Diez de los Rios, Antonio ; Bauer, Gregory.
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  4. The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences. (2010). van Binsbergen, Jules ; Rubio-Ramirez, Juan F ; koijen, ralph ; Fernandez-Villaverde, Jesus.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7781.

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  5. An Extended Macro-Finance Model with Financial Factors. (2009). Iania, Leonardo ; Dewachter, Hans.
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  6. An Extended Macro-Finance Model with Financial Factors. (2009). Iania, Leonardo ; Dewachter, Hans.
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  7. Monetary Policy Shifts and the Term Structure. (2009). Loo-Kung, Rudy ; Boivin, Jean ; Ang, Andrew ; Dong, Sen .
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  8. Time-varying yield curve dynamics and monetary policy. (2009). Surico, Paolo ; mumtaz, haroon.
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  9. Challenges in macro-finance modeling. (2009). Kim, Don H..
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  10. The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics. (2009). Lemke, Wolfgang ; Werner, Thomas.
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  11. Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates. (2009). Luger, Richard ; Garcia, René.
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  12. Bond risk premia, macroeconomic fundamentals and the exchange rate. (2008). Taboga, Marco ; Pericoli, Marcello.
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  13. On the need for a new approach to analyzing monetary policy. (2008). Kehoe, Patrick ; Atkeson, Andrew.
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  14. Challenges in macro-finance modeling. (2008). Kim, Don.
    In: Finance and Economics Discussion Series.
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  15. A no-arbitrage structural vector autoregressive model of the UK yield curve. (2008). Kaminska, Iryna.
    In: Bank of England working papers.
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  16. Combining Canadian Interest-Rate Forecasts. (2008). Romanyuk, Yuliya ; Bolder, David.
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  17. Macroeconomic Determinants of the Term Structure of Corporate Spreads. (2008). Yang, Jun.
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  18. Explaining Macroeconomic and Term Structure Dynamics Jointly in a Non-linear DSGE Model. (2008). Andreasen, Martin.
    In: CREATES Research Papers.
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  19. A specification analysis of discrete-time no-arbitrage term structure models with observable and unobservable factors. (2007). Taboga, Marco ; Pericoli, Marcello ; Marcello, Pericoli.
    In: MPRA Paper.
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  20. Further evidence on the impact of economic news on interest rates. (2007). Ielpo, Florian ; GUEGAN, Dominique.
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  21. Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information. (2007). van Dijk, Dick ; Ravazzolo, Francesco ; De Pooter, Michiel.
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  22. The Explanatory Power of Monetary Policy Rules. (2007). Taylor, John.
    In: NBER Working Papers.
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  23. The Long and the Short End of the Term Structure of Policy Rules. (2007). Taylor, John ; Smith, Josephine.
    In: NBER Working Papers.
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  24. Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models. (2007). Zin, Stanley ; Palomino, Francisco ; Hollifield, Burton ; Gallmeyer, Michael.
    In: NBER Working Papers.
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  25. The Term Structure of Real Rates and Expected Inflation. (2007). Wei, Min ; Bekaert, Geert ; Ang, Andrew.
    In: NBER Working Papers.
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  26. Integrating credit and interest rate risk: A theoretical framework and an application to banks balance sheets. (2007). Stringa, Marco ; Sorensen, Steffen ; Drehmann, Mathias.
    In: Money Macro and Finance (MMF) Research Group Conference 2006.
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  27. Term Structure Forecasting: No-arbitrage Restrictions vs. Large Information Set. (2007). Sala, Luca ; Niu, Linlin ; Favero, Carlo.
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  28. Inflation risk and optimal monetary policy. (2007). Pakko, Michael ; Keen, Benjamin ; Gavin, William.
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  29. Arbitrage-free bond pricing with dynamic macroeconomic models. (2007). Zin, Stanley ; Palomino, Francisco ; Hollifield, Burton ; Gallmeyer, Michael.
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  30. What does the yield curve tell us about the Federal Reserves implicit inflation target?. (2007). Doh, Taeyoung.
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  40. The Macroeconomy and the Yield Curve: A Review of the Literature with Some New Evidence. (2006). Rotondi, Zeno.
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  41. Modeling bond yields in finance and macroeconomics. (2005). Rudebusch, Glenn ; Diebold, Francis ; Piazzesi, Monica .
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  43. Modeling Bond Yields in Finance and Macroeconomics. (2005). Rudebusch, Glenn ; Piazzesi, Monika ; Diebold, Francis.
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  44. Taylor Rules, McCallum Rules and the Term Structure of Interest Rates. (2005). Zin, Stanley ; Hollifield, Burton ; Gallmeyer, Michael.
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  45. Modeling Bond Yields in Finance and Macroeconomics. (2005). Rudebusch, Glenn ; Piazzesi, Monika ; Diebold, Francis.
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  46. Term structure transmission of monetary policy. (2005). Tinsley, Peter ; Kozicki, Sharon.
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  47. Modeling bond yields in finance and macroeconomics. (2005). Rudebusch, Glenn ; Piazzesi, Monika ; Diebold, Francis.
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  48. Taylor rules, McCallum rules and the term structure of interest rates. (2005). Zin, Stanley ; Hollifield, Burton ; Gallmeyer, Michael.
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  49. The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach. (2005). Luger, Richard ; Garcia, René.
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  50. Modeling Bond Yields in Finance and Macroeconomics. (2005). Rudebusch, Glenn ; Piazzesi, Monika ; Diebold, Francis.
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