The Spanish term structure of interest rates revisited: Cointegration with multiple structural breaks, 1974–2010
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 …
multiple structural changes would provide a better empirical description of the Spanish term …
Does central bank transparency impact financial markets? A cross‐country econometric analysis
M Tomljanovich - Southern Economic Journal, 2007 - Wiley Online Library
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 …
enhance the efficiency of markets. We examine this claim by studying for a set of seven …
The influence of real interest rates and risk premium effects on the ability of the nominal term structure to forecast inflation
E Argyropoulos, E Tzavalis - The Quarterly Review of Economics and …, 2021 - Elsevier
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 …
short-term real interest rate and per capita real consumption, this paper examines the …
Can country-specific interest rate factors explain the forward premium anomaly?
E Argyropoulos, N Elias, D Smyrnakis… - Journal of Economics and …, 2021 - Springer
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 …
negatively related to interest rate differentials between home and foreign countries, which is …
Risk and policy shocks on the US term structure
E Weber, J Wolters - Scottish Journal of Political Economy, 2013 - Wiley Online Library
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 …
incompatible with the expectations hypothesis: low contemporaneous cross‐correlation and …
Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects
E Argyropoulos, E Tzavalis - Studies in Nonlinear Dynamics & …, 2015 - degruyter.com
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 …
spread between long and short-term interest rates about future changes of the former …
Short rate forecasting based on the inference from the CIR model for multiple yield curve dynamics
LY Hin, N Dokuchaev - Annals of Financial Economics, 2016 - World Scientific
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 …
expectation of the future short rate from the cross-sectional zero coupon bond prices. In line …
Extracting inflation expectations from the term structure: the Fisher equation in a multivariate SDF framework
H Balfoussia, M Wickens - International Journal of Finance & …, 2006 - Wiley Online Library
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 …
the Fisher equation in the context of the stochastic discount factor (SDF) asset pricing theory …
The rational expectations hypothesis of the term structure at the Polish interbank market
M Blangiewicz, P Miłobędzki - Przegląd Statystyczny, 2009 - ceeol.com
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 …
excess holding period yield to test for the validity of the rational expectations hypothesis …
[PDF][PDF] Inflation prediction from the term structure: the Fisher equation in a multivariate SDF framework
C Balfoussia, M Wickens - Money Macro and Finance Research …, 2005 - researchgate.net
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 …
rehabilitate the Fisher equation, by setting it in the context of the stochastic discount factor …