In this paper we consider the possibility that a linear cointegrated regression model with
multiple structural changes would provide a better empirical description of the Spanish term …

Blinder et al.(2001) argues that more open public disclosure of central bank policies may
enhance the efficiency of markets. We examine this claim by studying for a set of seven …

Based on an empirically attractive Gaussian dynamic term structure model and data on the
short-term real interest rate and per capita real consumption, this paper examines the …

The forward premium anomaly refers to the fact that changes in spot exchange rates are
negatively related to interest rate differentials between home and foreign countries, which is …

We document two stylized facts of US short‐term and long‐term interest rate data seemingly
incompatible with the expectations hypothesis: low contemporaneous cross‐correlation and …

This paper suggests a new empirical methodology of testing the predictions of the term
spread between long and short-term interest rates about future changes of the former …

In this paper, we propose a strategy to extract the information on the market participants'
expectation of the future short rate from the cross-sectional zero coupon bond prices. In line …

We propose a new way of extracting inflation information from the term structure, by setting
the Fisher equation in the context of the stochastic discount factor (SDF) asset pricing theory …

We use a three-variable VAR including the yield spread, the change in the short rate and the
excess holding period yield to test for the validity of the rational expectations hypothesis …

This paper proposes a new way of extracting inflation information from the term structure. We
rehabilitate the Fisher equation, by setting it in the context of the stochastic discount factor …