Understanding the dynamic evolution of the yield curve is critical to many financial tasks,
including pricing financial assets and their derivatives, managing financial risk, allocating …

This paper examines how changes in oil supply expectations affect the social responsibility
scores of Chinese listed companies and attempts to identify the source of this expectations …

This paper tests the expectations hypothesis (EH) using US monthly data for bond yields
spanning the 1952–2003 sample period and ranging in maturity from one month to 10 years …

We study fiscal behaviour and the sovereign yield curve in the US and Germany. We obtain
the latent factors, level, slope and curvature, with the Kalman filter, and use them in a VAR …

The conduct of monetary policy, the term structure of interest rates and the structure of the
economy in the UK have changed over the post-WWII period. We model the interaction …

Purpose Driven by the anticipated global stagflation, this straightforward yet novel study
examines the cost of inflation as a macroeconomic factor by investigating its influence on …

Monetary policy, the yield curve and the private sector behaviour of the US economy are
modelled as a time‐varying structural vector autoregression. The monetary policy shocks of …

The Interest Rate Conditioning Assumption Page 1 The Interest Rate Conditioning Assumption
∗ Charles Goodhart Financial Markets Group, London School of Economics A central bank’s …

Owing to lags in the transmission mechanism of monetary policy, central banks put much
weight on forecasts of the future paths of output and inflation. So there has been …

This paper emphasizes that traditional tests of the EH are based on two assumptions: the
expectations hypothesis (EH) per se and an assumption about the expectations generating …