Shifting endpoints in the term structure of interest rates

Journal of Monetary Economics - Tập 47 - Trang 613-652 - 2001
Sharon Kozicki1, P.A. Tinsley2
1Federal Reserve Bank of Kansas City, 925 Grand Boulevard, Kansas City, MO 64198, USA
2Faculty of Economics and Politics, University of Cambridge, Cambridge CB3 9DD, UK

Tài liệu tham khảo

Aït-Sahalia, 1996, Testing continuous-time models of the spot interest rate, The Review of Financial Studies, 9, 385, 10.1093/rfs/9.2.385 Andersen, 1997, Estimating continuous-time stochastic volatility models of the short term interest rate, Journal of Econometrics, 77, 343, 10.1016/S0304-4076(96)01819-2 Andrews, 1993, Tests for parameter instability and structural change with unknown change point, Econometrica, 61, 821, 10.2307/2951764 Backus, 1993, Long-memory inflation uncertainty: evidence from the term structure of interest rates, Journal of Money, Credit, and Banking, 25, 681, 10.2307/2077735 Backus, D.K., Zin, S.E., 1994. Reverse engineering the yield curve. NBER Woring Paper 4676. Bai, 1997, Estimating multiple breaks one at a time, Econometric Theory, 13, 315, 10.1017/S0266466600005831 Balduzzi, 1998, The central tendency: a second factor in bond yields, Review of Economics and Statistics, 80, 62, 10.1162/003465398557339 Breedon, 1979, An intertemporal asset pricing model with stochastic consumption and investment opportunities, Journal of Financial Economics, 7, 265, 10.1016/0304-405X(79)90016-3 Brennan, 1979, A continuous time approach to the pricing of bonds, Journal of Banking and Finance, 3, 133, 10.1016/0378-4266(79)90011-6 Brennan, 1980, Conditional predictions of bond prices and returns, The Journal of Finance, 35, 405, 10.2307/2327399 Brennan, 1982, An equilibrium model of bond pricing and a test of market efficiency, Journal of Financial and Quantitative Analysis, 17, 301, 10.2307/2330832 Brown, 1994, The term structure of real interest rates and the Cox, Ingersoll, and Ross model, Journal of Financial Economics, 35, 3, 10.1016/0304-405X(94)90016-7 Brunner, A.D., 1991. Testing for structural breaks in U.S. post-war inflation, Unpublished manuscript, Division of Monetary Affairs, Board of Governors of the Federal Reserve System, Washington. Cagan, P., 1956. The monetary dynamics of hyperinflation. In: Friedman, M. (Ed.), Studies in the Quantity Theory of Money, University of Chicago Press, Chicago. Campbell, 1986, A defense of traditional hypotheses about the term structure of interest rates, Journal of Finance, 41, 183, 10.2307/2328351 Campbell, 1997 Campbell, 1987, Cointegration and tests of present value models, Journal of Political Economy, 95, 1062, 10.1086/261502 Chan, 1992, An empirical comparison of alternative models of the short-term interest rate, The Journal of Finance, 47, 1209, 10.2307/2328983 Chen, R., Scott, L., 1995. Multi-factor Cox–Ingersoll–Ross models of the term structure: estimates and tests from a Kalman filter model. Mimeo. Choi, 1991, New evidence concerning the expectations theory for the short end of the maturity spectrum, The Journal of Financial Research, 14, 83, 10.1111/j.1475-6803.1991.tb00646.x Cox, 1985, An intertemporal general equilibrium model of asset prices, Econometrica, 53, 363, 10.2307/1911241 Cox, 1985, A theory of the term structure of interest rates, Econometrica, 53, 385, 10.2307/1911242 Crowder, 1996, The long run relationship between nominal interest rates and inflation: the Fisher equation revisited, Journal of Money, Credit, and Banking, 28, 102, 10.2307/2077969 Duan, J., Simonato, J., 1995. Estimating and testing exponential-affine term structure models by Kalman filter. Mimeo. Engle, 1993, Testing for common features, Journal of Business and Economic Statistics, 11, 369, 10.2307/1391623 Engsted, 1994, Cointegration and the U.S. term structure, Journal of Banking and Finance, 18, 167, 10.1016/0378-4266(94)00084-0 Evans, 1995, Do expected shifts in inflation affect estimates of the long-run Fisher relation?, Journal of Finance, 50, 225, 10.2307/2329244 Evans, 1993, Inflation regimes and the sources of inflation uncertainty, Journal of Money, Credit, and Banking, 25, 475, 10.2307/2077719 Fama, 1984, The information in the term strucuture, Journal of Financial Economics, 13, 509, 10.1016/0304-405X(84)90013-8 Fama, 1987, The information in long-maturity forward rates, The American Economic Review, 77, 680 Friedman, 1957 Garcia, 1996, An analysis of the real interest rate under regime shifts, Review of Economics and Statistics, 78, 111, 10.2307/2109851 Gong, F.F., Remolona, E.M., 1997. A three-factor econometric model of the U.S. term structure. Federal Reserve Bank of New York Staff Reports, Number 19. Hall, 1992, A cointegration analysis of Treasury bill yields, The Review of Economics and Statistics, 74, 116, 10.2307/2109549 Hamilton, 1989, A new approach to the economic analysis of nonstationary time series and the business cycle, Econometrica, 57, 357, 10.2307/1912559 Hardouvelis, 1988, The predictive power of the term structure during recent monetary regimes, Journal of Finance, 43, 339, 10.2307/2328464 Hawkins, 1977, Testing a sequence of observations for a shift in location, Journal of the American Statistical Asssociation, 72, 180, 10.2307/2286934 Hinkley, 1970, Inference about the change-point in a sequence of random variables, Biometrika, 57, 1, 10.1093/biomet/57.1.1 Huizinga, J., Mishkin, F., 1986. Monetary policy regime shifts and the unusual behavior of real interest rates. In: Brunner, K., Meltzer, A. (Eds.), Carnegie–Rochester Conference Series on Public Policy, Vol. 24, pp. 231–274. Jamshidian, 1989, An exact bond option formula, Journal of Finance, 44, 205, 10.2307/2328284 Judd, 1998, Taylor's rule and the Fed: 1970–1997, Economic Review, Federal Reserve Bank of San Francisco, 3–16 Kozicki, 2001, Term structure views of monetary policy under alternative models of agent expectations, Journal of Economic Dynamics & Control, 25, 149, 10.1016/S0165-1889(99)00072-X Laxton, D., Ricketts, N., Rose, D., 1994. Uncertainty, learning and policy credibility,in Economic Behaviour and Policy Choice Under Price Stability. Proceedings of a Conference Held at the Bank of Canada, October 1993, Bank of Canada. Longstaff, 1992, Interest rate volatility and the term structure: a two-factor general equilibrium model, The Journal of Finance, 47, 1259, 10.2307/2328939 Lucas, 1978, Asset prices in an exchange economy, Econometrica, 46, 1429, 10.2307/1913837 Mankiw, 1986, The changing behavior of the term structure of interest rates, Quarterly Journal of Economics, 101, 211, 10.2307/1891113 McCulloch, 1975, The tax-adjusted yield curve, The Journal of Finance, 30, 811, 10.2307/2326860 McCulloch, J.H., Kwon, H., 1993. U.S. term structure data, 1947–1991. Ohio State University Working Paper 93–96. Mishkin, 1992, Is the Fisher effect for real? A reexamination of the relationship between inflation and interest rates, Journal of Monetary Economics, 30, 195, 10.1016/0304-3932(92)90060-F Mougoue, 1992, The term structure of interest rates as a cointegrated system: empirical evidence from the Eurocurrency market, The Journal of Financial Research, 15, 285, 10.1111/j.1475-6803.1992.tb00806.x Nelson, 1972, Estimation of term premiums from average yield differentials in the term structure of interest rates, Econometrica, 40, 277, 10.2307/1909406 Nelson, 1987, Parsimonious modeling of yield curves, Journal of Business, 60, 473, 10.1086/296409 Peng, W., 1995. The Fisher hypothesis and inflation persistence—evidence from five major industrial countries. IMF Working Paper WP/95/118. Perron, 1989, The great crash, the oil price shock, and the unit root hypothesis, Econometrica, 57, 1361, 10.2307/1913712 Quandt, 1960, Tests of the hypothesis that a linear regression system obeys two separate regimes, Journal of the American Statistical Association, 55, 324, 10.2307/2281745 Ricketts, N., Rose, D., 1995. Inflation, learning and monetary policy regimes in the G-7 economies. Bank of Canada Working Paper 95–96. Rubinstein, 1976, The valuation of uncertain income streams and the pricing of options, The Bell Journal of Economics, 7, 407, 10.2307/3003264 Rudebusch, 1995, Federal Reserve interest rate targeting, rational expectations, and the term structure, Journal of Monetary Economics, 35, 245, 10.1016/0304-3932(95)01190-Y Sargent, 1979, A note on maximum likelihood estimation of the rational expectations model of the term structure, Journal of Monetary Economics, 5, 133, 10.1016/0304-3932(79)90029-1 Schaefer, 1984, A two-factor model of the term structure: an approximate analytical solution, Journal of Financial and Quantitative Analysis, 19, 413, 10.2307/2330783 Shea, 1992, Benchmarking the expectations hypothesis of the interest-rate term structure: an analysis of cointegration vectors, Journal of Business and Economic Statistics, 10, 347, 10.2307/1391547 Shiller, 1979, The volatility of long-term interest rates and expectations models of the term structure, Journal of Political Economy, 67, 190 Shiller, R., 1990. The term structure of interest rates. In: Friedman, B., Hahn, F. (Eds.), Handbook of Monetary Economics, Vol. I, pp. 627–722. Shiller, R., Campbell, J.Y., Schoenholtz, K., 1983. Forward rates and future policy: interpreting the term structure of interest rates. Brookings Papers, 173–223. Vasicek, 1977, An equilibrium characterization of the term structure, Journal of Financial Economics, 5, 177, 10.1016/0304-405X(77)90016-2 Zellner, 1974, Time series analysis and simultaneous equation econometric models, Journal of Econometrics, 2, 17, 10.1016/0304-4076(74)90028-1