The yield curve in a small open economy
Tài liệu tham khảo
An, 2006, Bayesian analysis of DSGE models, Econometric Reviews, 260, 113
Ang, 2003, A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables, Journal of Monetary Economics, 50, 745, 10.1016/S0304-3932(03)00032-1
Backus, 2007
Backus, 2001, Affine term structure models and the forward premium anomaly, Journal of Finance, 56, 279, 10.1111/0022-1082.00325
Bekaert, 2006
Bekaert, 2007, Uncovered interest rate parity and the term structure, Journal of International Money and Finance, 26, 1038, 10.1016/j.jimonfin.2007.05.004
Bergin, 2006, How well can the new open economy macroeconomics explain the real exchange rate and current account, Journal of International Money and Finance, 25, 675, 10.1016/j.jimonfin.2006.04.001
Bernanke, 2004, Monetary policy alternatives at the zero bound: an empirical assessment, Brookings Papers on Economic Activity, 2004, 1, 10.1353/eca.2005.0002
Bhattacharjee, 2010, Productivity, preferences and UIP deviations in an open economy business cycle model, Open Economies Review, 21, 365, 10.1007/s11079-010-9174-0
Bollard, 2007, Easy money: global liquidity and its impact on New Zealand. Speech by Reserve Bank Governor Alan Bollard, Wellington,Thursday 15 March 2007, MIT Press
Campbell, 1998
Chinn, 2004
Corsetti, 2008, High exchange-rate volatility and low pass-through, Journal of Monetary Economics, 55, 1113, 10.1016/j.jmoneco.2008.05.013
Dai, 2000, Specification analysis of affine term structure models, Journal of Finance, 55, 1943, 10.1111/0022-1082.00278
Devereux, 2002, Exchange rate pass-through, exchange rate volatility, and exchange rate disconnect, Journal of Monetary Economics, 49, 913, 10.1016/S0304-3932(02)00130-7
Duffie, 1996, A yield-factor model of interest rates, Mathematical Finance, 6, 379, 10.1111/j.1467-9965.1996.tb00123.x
Evans, 1998, Monetary policy and the term structure of nominal interest rates: evidence and theory, Carnegie-Rochester Conference Series on Public Policy, 49, 53, 10.1016/S0167-2231(99)00004-4
Galí, 2005, Monetary policy and exchange rate volatility in a small open economy, The Review of Economic Studies, 72, 707, 10.1111/j.1467-937X.2005.00349.x
Greenspan, 2005, Testimony of Chairman Alan Greenspan
Hordahl, 2006, A joint econometric model of macroeconomic and term-structure dynamics, Journal of Econometrics, 131, 405, 10.1016/j.jeconom.2005.01.012
Ireland, 2004, Technology shocks in the New Keynesian model, The Review of Economics and Statistics, 860, 923, 10.1162/0034653043125158
Ireland, 2007, Changes in the Federal Reserve's inflation target: causes and consequences, Journal of Money Credit and Banking, 38, 1851, 10.1111/j.1538-4616.2007.00091.x
Jääskelä, 2010, The butterfly effect of small open economies, Journal of Economic Dynamics and Control, 34, 1295, 10.1016/j.jedc.2010.02.007
Jeanne, 2002, Noise trading and exchange rate regimes, Quarterly Journal of Economics, 117, 537, 10.1162/003355302753650328
Kam, 2009, Uncovering the hit list for small inflation targeters: a Bayesian structural analysis, Journal of Money, Credit, and Banking, 41, 583, 10.1111/j.1538-4616.2009.00224.x
Knez, 1994, Exploration into factors explaining money market returns, Journal of Finance, 49, 1861, 10.2307/2329274
Kollman, 2005, Macroeconomic effects of nominal exchange rate regimes: new insights into the role of price dynamics, Journal of International Money and Finance, 24, 275, 10.1016/j.jimonfin.2004.12.007
Kollmann, 2002, Monetary policy rules in the open economy: effects on welfare and business cycles, Journal of Monetary Economics, 49, 989, 10.1016/S0304-3932(02)00132-0
Lubik, 2004, Testing for indeterminacy: an application to U.S. monetary policy, The American Economic Review, 94, 10.1257/000282804322970760
Lubik, 2005, A Bayesian look at new open economy macroeconomics
Lubik, 2007, Do central banks respond to exchange rate movements? a structural investigation, Journal of Monetary Economics, 54, 1069, 10.1016/j.jmoneco.2006.01.009
Mancini-Griffoli
Mark, 1995, Exchange rates and fundamentals: evidence on long-horizon predictability, The American Economic Review, 850, 201
Meese, 1983, Empirical exchange rate models of the seventies: do they fit out of sample, Journal of International Economics, 14, 3, 10.1016/0022-1996(83)90017-X
Nimark, 2009, A structural model of Australia as a small open economy, The Australian Economic Review, 42, 21, 10.1111/j.1467-8462.2009.00523.x
NorgesBank, 2005
Obstfeld, 2000, The six major puzzles in international macroeconomics: is there a common cause?
Rabanal, 2010, Euro-dollar real exchange rate dynamics in an estimated two-country model: an assessment, Journal of Economic Dynamics and Control, 34, 780, 10.1016/j.jedc.2009.11.003
Rabanal, 2011, Cointegrated TFP processes and international business cycles, Journal of Monetary Economics, 58, 156, 10.1016/j.jmoneco.2011.03.005
RBA, 2007
Rotemberg, 1997, Interest rate rules in an estimated sticky price model, Volume 31, 57
Rudebusch, 2004
Schmitt-Grohe, 2003, Closing small open economy models, Journal of International Economics, 61, 163, 10.1016/S0022-1996(02)00056-9
Shiller, 1979, The volatility of long-term interest rates and expectations models of the term structure, Journal of Political Economy, 87, 1190, 10.1086/260832
Tarditi, 1996
Woodford, 2003