A lot, including a few things you may not expect. Previous studies find that the term spread
forecasts GDP but these regressions are unconstrained and do not model regressor …

Quantitative Financial Economics Quantitative Financial Economics provides a
comprehensive introduction to models of economic behaviour in financial markets, focusing …

This paper generalizes the cointegrated vector autoregressive model of Johansen (J.
Econom. Dyn. Control 12 (1988) 231–254) to allow for structural changes. We take the time …

The stochastic discount factor model provides a general framework for pricing assets. By
specifying the discount factor suitably it encompasses most of the theories currently in use …

Utilizando dados financeiros brasileiros da BM&F, testa-se a validade do modelo de valor
presente na estrutura a termo de juros, também conhecido na literatura como Hipótese das …

Abstract We test the Expectations Hypothesis (EH) plus Rational Expectations (RE) in the
Brazilian term-structure of interest rates, using maturities ranging from 1 month to 12 months …

We examine the effect of asset-liability maturity mismatch on stock returns using a sample of
Chinese listed firms during 1998–2021. Our results suggest that, on average, asset-liability …

There have been major advances in both theory and econometric techniques in mainstream
macro‐models and parallel advances in knowledge of the monetary transmission …

One of the more puzzling results in the expectations hypothesis (EH) testing literature is the
Campbell-Shiller paradox (CSP). In an influential paper, Campbell and Shiller (1991) found …

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 …