Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields
Tóm tắt
Từ khóa
Tài liệu tham khảo
Ang A. Bekaert G. The Term Structure of Real Rates and Expected Inflation. 2005. Working Paper, Columbia University.
Bekaert G. Grenadier S. Stock and Bond Pricing in an Affine Equilibrium. 2001. Discussion Paper, Stanford University.
Bliss, 1997, Testing Term Structure Estimation Methods, Advances in Futures and Options Research, 9, 197
Boudoukh J. Richardson M. Smith T. Whitelaw R. F. Regime Shifts and Bond Returns. 1999. Working Paper, New York University.
Fama, 1987, The Information in Long-Maturity Forward Rates, American Economic Review, 77, 680
Fisher M. Nychka D. Zervos D. Fitting the Term Structure of Interest Rates with Smoothing Splines. 1995. Working Paper 95-1, Finance and Economics Discussion Series, Federal Reserve Board.
Fleming M. J. Remolona E. The Term Structure of Announcement Effects. 1999. FRB New York Staff Report No. 76.
Friedman B. The Role of Interest Rates in Federal Reserve Policy Making. 2000. NBER Working Paper 8047.
Friedman, 1996, A Price Target for U.S. Monetary Policy? Lessons from the Experience with Monetary Growth Targets, Brookings Papers on Economic Activity, 1, 77, 10.2307/2534647
Gourieroux C. Monfort A. Polimenis V. Affine Term Structure Models. 2002. Working paper, University of Toronto, Canada.
Litterman, 1991, Volatility and the Yield Curve, Journal of Fixed Income, 1, 49, 10.3905/jfi.1991.692346
Naik V. Lee M. H. Yield Curve Dynamics with Discrete Shifts in Economic Regimes: Theory and Estimation. 1997. Working Paper, Faculty of Commerce, University of British Columbia.
Veronesi P. Yared F. Short and Long Horizon Term and Inflation Risk Premia in the U.S. Term Structure: Evidence from an Integrated Model for Nominal and Real Bond Prices under Regime Shifts. 2000. Working Paper, University of Chicago.
Waggoner D. Spline Methods for Extracting Interest Rate Curves from Coupon Bond Prices. 1997. Working Paper, Federal Reserve Bank Atlanta.
Wu S. Zeng Y. A General Equilibrium Model of the Term Structure of Interest Rates under Regime-switching Risk. 2003. Working Paper, University of Kansas.
