Demographics and the Behavior of Interest Rates

Abel, Andrew B., 2001, “Will Bequests Attenuate the Predicted Meltdown in Stock Prices When Baby Boomers Retire?” Review of Economics and Statistics, Vol. 83, pp. 589–595.

Aksoy, Yunus, Henrique S. Basso, Tobias Grasl, and Ron P. Smith, 2015, "Demographic Structure and Macroeconomic Trend,” Working Paper (Birkbeck, Department of Economics, Mathematics & Statistics).

Ang, Andrew and Geert Bekaert, 2002, “Regime switches in interest rates,” Journal of Business and Economic Statistics, Vol. 20, No. 2, pp. 163–182.

Ang, Andrew and Monika Piazzesi, 2003, “A No-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables,” Journal of Monetary Economics, Vol. 50, No. 4, pp. 745–787.

Ang, Andrew, Geert Bekaert, and Min Wei, 2008, “The term structure of real rates and expected inflation,” Journal of Finance, Vol. 53, No. 2, pp. 797-849.

Ang, Andrew, Sen Dong, and Monika Piazzesi, 2007, “No-arbitrage Taylor rules,” NBER Working Paper No. 13448 (Cambridge, Massachusetts, National Bureau of Economic Research).

Ang, Andrew and Angela Maddaloni, 2005, “Do demographic changes affect risk premiums? Evidence from international data,” Journal of Business, Vol. 78, No. 1, pp. 341–380.

Bakshi, Gurdip S. and Zhiwu Chen, 1994, “Baby boom, population aging, and capital markets,” Journal of Business, Vol. 67, No. 2, pp. 165–202.

Balduzzi, Pierluigi, Sanjiv Ranjan Das, and Silverio Foresi, 1998, “The central tendency: A second factor in bond yields,” Review of Economics and Statistics, Vol. 80, No. 1, pp. 62–72.

Bai, Jushan and Pierre Perron, 2003, “Computation and analysis of multiple structural change models,” Journal of Applied Econometrics, Vol. 18, No. 1, pp. 1–22.

Bali, Turan, Massoud Heidari, and Liuren Wu, 2009, “Predictability of interest rates and interest-rate portfolios,” Journal of Business & Economic Statistics, Vol. 27, No. 4, pp. 517–527.

Barillas, Francisco, 2011, “Can we exploit predictability in bond markets?” Working Paper (Emory University).

Barro, Robert and Gary Becker,1989, “ Fertility choice in a model of economic growth,” Econometrica Vol. 57, No. 2., pp. 481–501.

Bekaert, Geert, Seonghoon Cho, and Antonio Moreno, 2003, “New-Keynesian macroeconomics and the term structure,” Journal of Money, Credit and Banking, Vol. 42, No. 1, pp. 33–62.

Bekaert, Geert and Eric Engstrom, 2010, “Inflation and the stock market: understanding the ’Fed model’,” Journal of Monetary Economics, Vol. 57, pp. 278–294.

Bergantino, Steven M., 1998, “Life cycle investment behavior, demographics, and asset prices,” PhD Dissertation (Massachusetts Institute of Technology).

Bernanke, Ben, 2006, “The coming demographic transition: Will we treat future generations fairly?” The full text of the speech is available at Federal Reserve’s website: http://www.federalreserve.gov/newsevents/speech/bernanke20061004a.htm .

Bernanke, Ben and Jean Boivin, 2003, “Monetary policy in a data-rich environment,” Journal of Monetary Economics, Vol. 50, pp. 525–546.

Bloom, David E., David Canning and Bryan Graham (2003). “Longevity and Life-cycle Savings.” Scandinavian Journal of Economics, Vol. 105, No. 3, pp. 319–338.

Brooks, Robin, 1998, “Asset markets and savings effects of demographic transitions,” Doctoral Dissertation (Yale University, Department of Economics).

Campbell, John Y. and Tuomo Vuolteenaho, 2004, “Inflation illusion and stock prices,” American Economic Review, Vol. 94, No. 2, pp. 19–23.

Carriero, Andrea and Raffaella Giacomini, 2011, “How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?” Journal of Econometrics, Vol. 164, pp. 21–34.

Chen, Ren-Raw and Louis Scott, 1993, “Maximum likelihood estimation for a multi-factor equilibrium model of the term structure of interest rates,” Journal of Fixed Income, Vol. 3, No. 3, pp. 14–31.

Christensen, Jens H.E., Francis X. Diebold, and Glenn D. Rudebusch, 2011, “The affine arbitrage-free class of Nelson-Siegel term structure models,” Journal of Econometrics, Vol. 164, No. 1, pp. 4–20.

Cieslak, Anna, and Pavol Povala, 2015, “Expected Returns in Treasury Bonds,” Review of Financial Studies.

Clarida, Richard, Jordi Galì, and Mark Gertler, 2000, “Monetary policy rules and macroeconomic stability: Evidence and some theory,” Quarterly Journal of Economics, Vol. 115, No. 1, pp. 147–180.

Clark, Todd E. and Kenneth D. West, 2006, “Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis,” Journal of Econometrics, Vol. 135, pp. 155–186.

———, 2007, “Approximately normal tests for equal predictive accuracy in nested models,” Journal of Econometrics, Vol. 138, pp. 291–311.

Cochrane, John. H. and Monika Piazzesi, 2005, “Bond risk premia,” American Economic Review, Vol. 95, pp. 138–160.

D’Agostino, Antonello, Surico, Paolo, 2012, “A century of inflation forecasts,” Review of Economics and Statistics, Vol. 94, No. 4, pp. 1097–1106.

Dai, Qiang, Kenneth J. Singleton, 2002, “Expectation puzzles, time-varying risk premia, and affine models of the term structure,” Journal of Financial Economics, Vol. 63, pp. 415–441.

Davis, E Philip, Christine Li, 2003, “Demographics and financial asset prices in the major industrial economies,” Working Paper (West London, Brunel University).

DellaVigna, Stefano and Joshua M. Pollet, 2007, “Demographics and industry returns,” American Economic Review, Vol. 97, No. 5, pp. 1167–1702.

Dewachter, Hans and Marco Lyrio, 2006, “Macro factors and the term structure of interest rates,” Journal of Money, Credit and Banking, Vol. 38, pp. 119–140.

Diebold, Francis X. and Glenn D. Rudebusch, 2013, “Yield curve modeling and forecasting: The Dynamic Nelson-Siegel approach,” (Princeton University Press).

Diebold, Francis X., Glenn D. Rudebusch, and S. Boragan Aruoba, 2006, “The macroeconomy and the yield curve: A dynamic latent factor approach,” Journal of Econometrics, Vol. 131, pp. 309–338.

Diebold, Francis X. and Canlin Li, 2006, “Forecasting the term structure of government bond yields,” Journal of Econometrics, Vol. 130, No. 2, pp. 337–364

Driscoll, John C, and Aart C. Kraay, 1998, “Consistent covariance matrix estimation with spatially dependent panel data,” Review of Economics and Statistics, Vol. 80, pp. 549–560.

Duffee, Gregory R., 2002, “Term premia and interest rate forecasts in affine models,” Journal of Finance, Vol. 57, No. 1, pp. 405–443.

———, 2011, “Forecasting with the term structure: The role of no-arbitrage restrictions,” Working Paper (the Johns Hopkins University, Department of Economics).

———, 2012, “Forecasting interest rates,” Handbook of Economic Forecasting, Vol. 2, pp. 385–426.

Duffie, Darrell, Rui Kan, and others, 1996, “A yield-factor model of interest rates,” Mathematical Finance, Vol. 6, pp. 379–406.

Eggertsson, Gauti B., and Neil R. Mehrotra, 2014, “A model of secular stagnation,” NBER Working Paper No. 20574 (Cambridge, Massachusetts, National Bureau of Economic Research).

Eichengreen, Barry, 2015, “Secular Stagnation: The Long View,” NBER Working Paper No. w20836 (Cambridge, Massachusetts, National Bureau of Economic Research).

Evans, Martin D. D., 2003, “Real risk, inflation risk, and the term structure,” Economic Journal, Vol. 113, No. 487, pp. 345–389.

Evans, George W. and Seppo Honkapohja, 2003, “Adaptive learning and monetary policy design,” Journal of Money, Credit and Banking, Vol. 35, pp. 1045–1072.

Fama, Eugene F., 2006, “The behavior of interest rates,” Review of Financial Studies, Vol. 19, No. 2, pp. 359–379.

Favero, Carlo A., Arie E. Gozluklu, and Andrea Tamoni, 2011, “Demographic trends, the dividend-price ratio and the predictability of long-run stock market returns,” Journal of Financial and Quantitative Analysis, Vol. 46, No. 5, pp. 1493–1520.

Favero, Carlo. A., Linlin Niu, and Luca Sala, 2012, “Term structure forecasting: No-arbitrage restrictions versus large information set,” Journal of Forecasting, Vol. 31, No. 2, pp. 124–156.

Feldstein, Martin S., 2011, “What is Next for the Dollar?” NBER Working Paper No. w17260 (Cambridge, Massachusetts, National Bureau of Economic Research).

Gallmeyer, Michael F., Burton Hollifield, and Stanley E. Zin, 2005, “Taylor rules, McCallum rules, and the term structure of interest rates,” Journal of Monetary Economics, Vol. 52, No. 5, pp. 921–950.

Gargano, Antonio, Davide Pettenuzzo, and Allan G. Timmermann, 2014, “Bond Return Predictability: Economic Value and Links to the Macroeconomy,” Working Paper (University of Melbourne).

Geanakoplos, John, Michael Magill, and Martine Quinzii, 2004, “Demography and the long run Behavior of the stock market,” Brookings Papers on Economic Activities, Vol. 1, pp. 241–325.

Giacomini, Raffaella and Giuseppe Ragusa, 2014, “Theory-coherent forecasting,” Journal of Econometrics, Vol. 182, No. 1, pp. 145–155.

Giacomini, Raffaella, and Halbert White, 2006, “Tests of conditional predictive ability,” Econometrica, Vol. 74, pp. 1545–1578.

Giannone, Domenico, Michele Lenza, and Giorgio E. Primiceri, 2014, “Priors for the long run,” manuscript.

Goodhart, Charles, and Philipp Erfurth, 2014, “Demography and economics: Look past the past,” Global Macro Analyst (New York, Morgan Stanley).

Goyal, Amit, 2004, “Demographics, stock market flows, and stock returns,” Journal of Financial and Quantitative Analysis, Vol. 39, No. 1, pp. 115–142.

Goyal, Amit and Ivo Welch, 2008, “A comprehensive look at the empirical performance of equity premium prediction,” Review of Financial Studies, Vol. 21, No. 4, pp. 1455–1508.

Gozluklu, Arie E., and Annaig Morin, 2015, “Stocks vs. bond yields, and demographic fluctuations,” Working Paper (University of Warwick).

Gray, Stephen F., 1996, “Modeling the conditional distribution of interest rates as a regime-switching process,” Journal of Financial Economics, Vol. 42, pp. 26–62.

Guidolin, Massimo, and Daniel L. Thornton, 2011, “Predictions of short-term rates and the expectations hypothesis, Working Paper (Manchester Business School).

Gurkaynak, Refet S., Brian P. Sack, and Jonathan H. Wright, 2006, “The U.S. Treasury Yield Curve: 1961 to The Present,” FEDS Working Paper, No. 2006-28.

———, 2007, “The U.S. Treasury Yield Curve: 1961 to The Present,” Journal of Monetary Economics, Vol. 54, No. 8, pp. 2291–2304.

Hamilton, James D., Ethan S. Harris, Jan Hatzius, and Kenneth D. West, 2015, “The equilibrium real funds rate: Past, present and the future,” Working Paper (University of California at San Diego).

Hansen, Alvin, 1938, speech published as Hansen, A. H., 1939, “Economic progress and declining population growth,” American Economic Review, Vol. 29, pp. 1–15.

Hansen, Lars Peter and Robert J. Hodrick, 1980, “Forward exchange rates as optimal predictors of future spot rates: An econometric analysis,” The Journal of Political Economy, Vol. 88, pp. 829–853.

Hordahl, Peter, Oreste Tristani, and David Vestin, 2006, “A joint econometric model of macroeconomic and term structure dynamics,” Journal of Econometrics, Vol. 131, pp. 405–444.

Huang, Jing-zhi and Zhan Shi, 2012, “Determinants of bond risk premia,” Working Paper (Penn State University).

Jardet, Caroline, Alain Monfort, and Fulvio Pegoraro, 2013, “No-arbitrage near-cointegrated VAR (p) term structure models, term premia and GDP growth,” Journal of Banking and Finance, Vol. 37, No. 2, pp. 389–402.

Juselius, Mikael and Elod Takats, 2015, “Can demography affect inflation and monetary policy?” Working Paper (Bank for International Settlements).

Keynes, John Maynard, 1936. The General Theory of Employment, Interest and Money (London: Macmillan).

Lander, Joel, Athanasios Orphanides, Martha Douvogiannis, 1997, “Earnings forecasts and the predictability of stock returns: Evidence from trading the S&P,” Journal of Portfolio Management, Vol. 23, pp. 24−35.

Laubach, Thomas, John C. Williams, 2003, “Measuring the natural rate of interest,” The Review of Economics and Statistics, Vol. 85, No. 4, pp. 1063–1070.

Lindh, Thomas and Bo Malmberg, 2000, “Can age structure forecast inflation trends,” Journal of Economics and Business, Vol 52, pp. 31–49.

Ludvigson, Sydney and Serena Ng, 2009, “Macro factors in bond risk premia,” Review of Financial Studies, Vol. 22, No. 12, pp. 5027–5067.

Malmendier, Ulrike and Stefan Nagel, 2016, “Learning from inflation experiences,” Quarterly Journal of Economics, Vol. 131, No. 1, pp. 53–87.

McMillan, Henry and Jerome B. Baesel, 1988, “The role of demographic factors in interest rate forecasting,” Managerial and Decision Economics, Vol. 9, No. 3, pp. 187–195.

Modigliani, Franco and Richard Brumberg, 1954, “Utility Analysis and the Consumption Function: An Interpretation of Cross-Section Data,” In K. Kurihara ed. Post Keynesian Economics (Rutgers University Press).

Moench, Emanuel, 2008, “Forecasting the Yield Curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach,” Journal of Econometrics, Vol. 146, pp. 26–43.

Orphanides, Athanasios and John C. Williams, 2007, “Robust monetary policy with imperfect knowledge,” Journal of Monetary Economics, Vol. 54, pp. 1406–1435.

Osterrieder, Daniela, Peter C. Schotman, 2012, “The volatility of long-term bond returns persistent interest shocks and time-varying risk premiums,” Netspar Working Paper.

Pericoli, Marcello and Marco Taboga, 2008, “Canonical term-structure models with observable factors and the dynamics of bond risk premia,” Journal of Money, Credit and Banking, Vol. 40, No. 7, pp. 1471–1488.

Pescatori, Andrea and Jarkko Turunen, 2015, “Lower for longer: Natural rates in the United States” IMF Working Paper.

Poterba, James M., 2001, “Demographic structure and asset returns,” Review of Economics and Statistics, Vol. 83, No. 4, pp. 565–584.

Rampini, Adriano A., S. Viswanathan, 2014, “Household risk management,” Working Paper (Duke University).

Rapach, David E. and Mark E. Wohar, 2005, “Regime changes in international real interest rates: Are they a monetary phenomenon?,” Journal of Money, Credit and Banking, Vol. 37, No. 5, pp. 887–906.

Rudebusch, Glenn D. and Tao Wu, 2008, “A macro-finance model of the term structure, monetary policy, and the economy,” Economic Journal, Vol. 118, pp. 906–926.

Rudebusch, Glenn D., 2002, “Term structure evidence on interest-rate smoothing and monetary policy inertia,” Journal of Monetary Economics, Vol. 49, pp. 1161–1187.

Sarno, Lucio, Paul Schneider, and Christian Wagner, 2014, “The economic value of predicting bond risk premia: Can anything beat the expectations hypothesis?,” Working Paper (Cass Business School).

Soderlind, Paul, Ulf Soderstrom, and Anders Vredin, 2005, “Dynamic Taylor rules and the predictability of interest rates,” Macroeconomics Dynamics, Vol. 9, pp. 412–428.

Summers, Larry, 2014, “US economic prospects: Secular stagnation, hysteresis and the zero lower bound,” Business Economics, Vol. 49, pp. 65–74.

Svensson, Lars EO, 1997, “Inflation forecast targeting: Implementing and monitoring inflation targets,” European Economic Review, Vol. 41, pp. 1111–1146.

Taylor, John B., 1993, “Discretion versus policy rules in practice,” Canergie-Rochester Conference Series on Public Policy, Vol. 39, pp. 195–214.

Thornton, Daniel L. and Giorgio Valente, 2012, “Out-of-sample predictions of bond excess returns and forward Rates: An asset allocation perspective,” Review of Financial Studies, Vol. 25, No. 10, pp. 3141−3168.

Wang, Ping, Chong K. Yip, and Carol A. Scotese, 1994, “ Fertility choice and economic growth: Theory and evidence,” The Review of Economics and Statistics, Vol. 76, No. 2, pp. 255−266.

Wicksell, Knut, 1936, Interest and Prices. Translation of 1898, edition by R.F. Kahn (London, Macmillan).

Woodford, Michael, 2001, “The Taylor rule and optimal monetary policy,” American Economic Review, Vol. 91, pp. 232-237.

———, 2003, Interest and Prices: Foundations of a Theory of Monetary Policy (Princeton University Press).