Economic determinants of the nominal treasury yield curve
Tóm tắt
Từ khóa
Tài liệu tham khảo
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
Basu, 2001, Productivity growth in the 1990s: technology, utilization, or adjustment?, Carnegie-Rochester Conference Series on Public Policy, 55, 117, 10.1016/S0167-2231(01)00054-9
Baxter, M., King, R., 1990. Productive externalities and cyclical volatility. Working Paper 245, Rochester Center for Economic Research.
Blanchard, 2000, An empirical characterization of the dynamic effects of changes in Government spending and taxes on output, Quarterly Journal of Economics, 117, 1329, 10.1162/003355302320935043
Boldrin, 2001, Habit persistence, asset returns, and the business cycle, American Economic Review, 91, 149, 10.1257/aer.91.1.149
Burnside, 1996, Factor-hoarding and the propagation of business-cycle shocks, American Economic Review, 86, 1154
Burnside, 1993, Labor hoarding and the business cycle, Journal of Political Economy, 101, 245, 10.1086/261875
Christiano, 1996, The effects of monetary policy shocks: evidence from the flow of funds, Review of Economics and Statistics, 78, 16, 10.2307/2109845
Dai, 2000, Specification analysis of affine term structure models, Journal of Finance, 55, 1943, 10.1111/0022-1082.00278
Evans, 1992, Productivity shocks and real business cycles, Journal of Monetary Economics, 29, 191, 10.1016/0304-3932(92)90012-Q
Evans, 1998, Monetary policy and the term structure of nominal interest rates: evidence and theory, Carnegie-Rochester Conference on Public Policy, 49, 53, 10.1016/S0167-2231(99)00004-4
Evans, C., Marshall, D., 2006. Economic determinants of the nominal treasury yield curve. Federal Reserve Bank of Chicago Working Paper No. 2001-16, revised November 2006.
Galí, J., Gertler, M., Lopez-Salido, D., 2001. Markups, gaps, and the welfare costs of business fluctuations. NBER Working Paper No. 8850.
Hall, 1997, Macroeconomic fluctuations and the allocation of time, Journal of Labor Economics, 15, S223, 10.1086/209862
Hamilton, 1994
Knez, 1994, Explorations into factors explaining money market returns, Journal of Finance, 49, 1861, 10.2307/2329274
Mulligan, C.B., 2002. A century of labor-leisure distortions. National Bureau of Economic Research Working Paper 8774.
Orphanides, 2001, Monetary policy rules based on real-time data, American Economic Review, 91, 964, 10.1257/aer.91.4.964
Prescott, 1986, Theory ahead of business cycle measurement, Carnegie-Rochester Conference Series on Public Policy, 25, 11, 10.1016/0167-2231(86)90035-7
Rudebusch, 2002, Term structure evidence on interest rate smoothing and monetary policy inertia, Journal of Monetary Economics, 49, 1161, 10.1016/S0304-3932(02)00149-6
Taylor, 1993, Discretion versus policy rules in practice, Carnegie-Rochester Conference on Public Policy, 39, 195, 10.1016/0167-2231(93)90009-L
Waggoner, 2003, Likelihood preserving normalization in multiple equation models, Journal of Econometrics, 114, 329, 10.1016/S0304-4076(03)00087-3
Woodford, 2003