Structural breaks, parameter uncertainty, and term structure puzzles

Journal of Financial Economics - Tập 102 - Trang 222-232 - 2011
George Bulkley1, Paolo Giordani2
1University of Bristol, United Kingdom
2Swedish Central Bank, Swedan

Tài liệu tham khảo

Ang, 2002, Regime switches in interest rates, Journal of Business and Economic Statistics, 20, 163, 10.1198/073500102317351930 Backus, 1994, Risk premiums in the term structure: evidence from artificial economies, Journal of Monetary Economics, 24, 371, 10.1016/0304-3932(89)90027-5 Bansal, 2002, Term structure of interest rates with regime shifts, Journal of Finance, 57, 1997, 10.1111/0022-1082.00487 Bekaert, 2001, Expectations hypothesis tests, Journal of Finance, 56, 1357, 10.1111/0022-1082.00371 Bekaert, 1997, On biases in tests of the expectations hypothesis of the term structure of interest rates, Journal of Financial Economics, 44, 309, 10.1016/S0304-405X(97)00007-X Bekaert, 2001, Peso problem explanations for term structure anomalies, Journal of Monetary Economics, 48, 241, 10.1016/S0304-3932(01)00075-7 Bossaerts, 1999, Implementing statistical criteria to select return forecasting models: What do we learn?, Review of Financial Studies, 12, 405, 10.1093/rfs/12.2.405 Brav, 2002, Competing theories of financial anomalies, Review of Financial Studies, 15, 575, 10.1093/rfs/15.2.575 Bulkley, G., Harris, R., Nawosah, V., 2010. US term structure data, 1947–2010. Manuscript. University of Exeter, UK. Campbell, 1995, Some lessons from the yield curve, Journal of Economic Perspectives, 9, 125, 10.1257/jep.9.3.129 Campbell, 1991, Yield spreads and interest rate movements: a bird's-eye view, Review of Economic Studies, 58, 495, 10.2307/2298008 Dai, 2000, Specification analysis of affine term structure models, Journal of Finance, 50, 1943, 10.1111/0022-1082.00278 Duffee, 2002, Term premia and interest rate forecasts in affine models, Journal of Finance, 57, 405, 10.1111/1540-6261.00426 Froot, 1989, New hope for the expectations hypothesis of the term structure of interest rates, Journal of Finance, 44, 283, 10.2307/2328591 Garcia, 1996, An analysis of the real interest rate under regime shifts, Review of Economics and Statistics, 78, 111, 10.2307/2109851 Gelman, 2004 Giordani, 2008, Efficient Bayesian inference for multiple change-point and mixture innovation models, Journal of Business and Economic Statistics, 26, 66, 10.1198/073500107000000241 Giordani, 2010, Forecasting macroeconomic time series with locally adaptive signal extraction, International Journal of Forecasting, 26, 312, 10.1016/j.ijforecast.2009.12.011 Gray, 1996, Modelling the conditional distribution of interest rates as a regime switching process, Journal of Financial Economics, 42, 27, 10.1016/0304-405X(96)00875-6 Hamilton, 1989, A new approach to the economic analysis of non-stationary time series and the business cycle, Econometrica, 57, 357, 10.2307/1912559 Hardouvelis, 1994, The term structure spread and future changes in long and short rates in the G7 countries: Is there a puzzle?, Journal of Monetary Economics, 33, 255, 10.1016/0304-3932(94)90003-5 Kozicki, 2001, Shifting endpoints in the term structure of interest rates, Journal of Monetary Economics, 47, 613, 10.1016/S0304-3932(01)00054-X Kozicki, 2001, Term structure views of monetary policy under alternative models of agents expectations, Journal of Economic Dynamics and Control, 25, 149, 10.1016/S0165-1889(99)00072-X Lanne, 1999, Near unit roots and the predictive power of yield spreads for changes in long-term interest rates, Review of Economics and Statistics, 81, 393, 10.1162/003465399558328 Lewellen, 2002, Learning, asset pricing tests, and market efficiency, Journal of Finance, 57, 1113, 10.1111/1540-6261.00456 Marcellino, 2008, A linear benchmark for models of GNP growth and inflation, Journal of Forecasting, 27, 305, 10.1002/for.1059 McCulloch, H., Kwon, H., 1993. US term structure data, 1947-1991. Working Paper 93-6. Ohio State University, Columbus, OH. Pesaran, 2006, Forecasting time series subject to multiple structural shifts, Review of Economic Studies, 73, 1057, 10.1111/j.1467-937X.2006.00408.x Pitt, 1999, Filtering via simulation: auxiliary particle filters, Journal of the American Statistical Association, 94, 590, 10.2307/2670179 Stambough, 1988, The information in forward rates: implications for models of the term structure, Journal of Financial Economics, 21, 41, 10.1016/0304-405X(88)90031-1