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No-Arbitrage Taylor Rules. (2007). Piazzesi, Monika ; Ang, Andrew ; Dong, Sen .
In: NBER Working Papers.
RePEc:nbr:nberwo:13448.

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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.

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  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.

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  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.

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  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.

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

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  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.

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  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.

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  8. 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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  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.

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

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  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.

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  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.

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  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.

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  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.

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  15. 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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  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.

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

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

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  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.

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

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  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.

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  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.

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

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  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.

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

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

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  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.

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  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.

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  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.

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  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.

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

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  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.

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  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.

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  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.

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  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.

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  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.

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  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.

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

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  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.

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  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.

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  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.

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

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

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

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  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.

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

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

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  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.

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

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

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