What does the yield curve tell us about GDP growth?
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 …
forecasts GDP but these regressions are unconstrained and do not model regressor …
[图书][B] Quantitative financial economics: stocks, bonds and foreign exchange
K Cuthbertson, D Nitzsche - 2005 - books.google.com
Quantitative Financial Economics Quantitative Financial Economics provides a
comprehensive introduction to models of economic behaviour in financial markets, focusing …
comprehensive introduction to models of economic behaviour in financial markets, focusing …
Structural changes in the cointegrated vector autoregressive model
PR Hansen - Journal of econometrics, 2003 - Elsevier
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 …
Econom. Dyn. Control 12 (1988) 231–254) to allow for structural changes. We take the time …
Asset pricing with observable stochastic discount factors
P Smith, M Wickens - Journal of Economic Surveys, 2002 - Wiley Online Library
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 …
specifying the discount factor suitably it encompasses most of the theories currently in use …
[HTML][HTML] A hipótese das expectativas na estrutura a termo de juros no Brasil: uma aplicação de modelos de valor presente
AMC Lima, JV Issler - Revista brasileira de economia, 2003 - SciELO Brasil
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 …
presente na estrutura a termo de juros, também conhecido na literatura como Hipótese das …
[PDF][PDF] Testing the expectations hypothesis in the Brazilian term structure of interest rates
BM Tabak, SC Andrade - Brazilian Review of Finance, 2003 - researchgate.net
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 …
Brazilian term-structure of interest rates, using maturities ranging from 1 month to 12 months …
The impact of asset-liability maturity mismatch on stock returns: Evidence from China during 1998–2021
M Qiu, Y Bai, T Chen - Pacific-Basin Finance Journal, 2024 - Elsevier
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 …
Chinese listed firms during 1998–2021. Our results suggest that, on average, asset-liability …
Monetary policy and behavioural finance
K Cuthbertson, D Nitzsche… - Journal of Economic …, 2007 - Wiley Online Library
There have been major advances in both theory and econometric techniques in mainstream
macro‐models and parallel advances in knowledge of the monetary transmission …
macro‐models and parallel advances in knowledge of the monetary transmission …
Tests of the expectations hypothesis: resolving the Campbell-Shiller paradox
DL Thornton - Journal of Money, Credit and Banking, 2006 - JSTOR
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 …
Campbell-Shiller paradox (CSP). In an influential paper, Campbell and Shiller (1991) found …
Predictions of short-term rates and the expectations hypothesis
M Guidolin, DL Thornton - International Journal of Forecasting, 2018 - Elsevier
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 …
expectations hypothesis (EH) per se and an assumption about the expectations generating …