create a website

Decomposing the yield curve with linear regressions and survey information. (2023). Halberstadt, Arne.
In: The Quarterly Review of Economics and Finance.
RePEc:eee:quaeco:v:91:y:2023:i:c:p:25-39.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 33

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Adrian, T. ; Crump, R.K. ; Moench, E. Pricing the term structure with linear regressions. 2013 Journal of Financial Economics. 110 110-138

  2. Anderson, T.W. Estimating linear restrictions on regression coefficients for multivariate normal distributions. 1951 The Annals of Mathematical Statistics. 22 327-351
    Paper not yet in RePEc: Add citation now
  3. Ang, A. ; Piazzesi, M. A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables. 2003 Journal of Monetary Economics. 50 745-787

  4. Back, K. ; Brown, D.P. Implied probabilities in GMM estimators. 1993 Econometrica. 61 971-975

  5. Bauer, M.D. ; Rudebusch, G.D. Resolving the spanning puzzle in macro-finance term structure models. 2017 Review of Finance. 21 511-553

  6. Bauer, M.D. ; Rudebusch, G.D. ; Wu, J.C. Correcting estimation bias in dynamic term structure models. 2012 Journal of Business & Economic Statistics. 30 454-467

  7. Bauer, M.D. ; Rudebusch, G.D. ; Wu, J.C. Term premia and inflation uncertainty: empirical evidence from an international panel dataset: comment. 2014 American Economic Review. 104 323-337

  8. Crump, R. K., Eusepi, S., Moench, E., 2016.The term structure of expectations and bond yields. Staff Reports 775. Federal Reserve Bank of New York.

  9. Dias, D.A. ; Marques, C.R. Using mean reversion as a measure of persistence. 2010 Economic Modelling. 27 262-273

  10. Duffee, G. R., 2010.Sharpe ratios in term structure models. Economics Working Paper Archive 575. The Johns Hopkins University, Department of Economics.

  11. Duffee, G.R. Bond pricing and the macroeconomy. 2013 Handbook of the Economics of Finance. 2 907-967

  12. Geiger, F., Schupp, F., 2018.With a little help from my friends: Survey-based derivation of euro area short rate expectations at the effective lower bound. Discussion Papers 27/2018. Deutsche Bundesbank.

  13. Golinski, A. ; Spencer, P. The advantages of using excess returns to model the term structure. 2017 Journal of Financial Economics. 125 163-181

  14. Gurkaynak, R.S. ; Sack, B. ; Wright, J.H. The U.S. treasury yield curve: 1961 to the present. 2007 Journal of Monetary Economics. 54 2291-2304

  15. Gurkaynak, R.S. ; Wright, J.H. Macroeconomics and the term structure. 2012 Journal of Economic Literature. 50 331-367

  16. Hamilton, J.D. Time Series Analysis. 1994 Princeton University Press:
    Paper not yet in RePEc: Add citation now
  17. Hansen, L.P. Large sample properties of generalized method of moments estimators. 1982 Econometrica. 50 1029-1054

  18. Jardet, C. ; Monfort, A. ; Pegoraro, F. No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth. 2013 Journal of Banking & Finance. 37 389-402

  19. Jorda, O. ; Schularick, M. ; Taylor, A.M. Macrofinancial history and the new business cycle facts. 2017 NBER Macroeconomics Annual. 31 213-263

  20. Joslin, S. ; Priebsch, M. ; Singleton, K.J. Risk premiums in dynamic term structure models with unspanned macro risks. 2014 Journal of Finance. 69 1197-1233

  21. Kim, D. H., Wright, J. H., 2005.An arbitrage-free three-factor term structure model and the recent behavior of long-term yields and distant-horizon forward rates. Finance and Economics Discussion Series 2005–33. Board of Governors of the Federal Reserve System (U.S.).

  22. Kim, D.H. ; Orphanides, A. Term structure estimation with survey data on interest rate forecasts. 2012 Journal of Financial and Quantitative Analysis. 47 241-272

  23. Krippner, L. Zero Lower Bound Term Structure Modeling: A Practitioneras Guide. 2015 Palgrave-Macmillan: New York
    Paper not yet in RePEc: Add citation now
  24. Lemke, W., Vladu, A., 2016.Below the zero lower bound - a shadow-rate term structure model for the euro area. Bundesbank Discussion Paper 32.

  25. Litterman, R.B. ; Scheinkman, J. Common factors affecting bond returns. 1991 Journal of Fixed Income. 1 54-61
    Paper not yet in RePEc: Add citation now
  26. Luetkepohl, H. New Introduction To Multiple Time Series Analysis. 2005 Springer-Verlag: Berlin, Heidelberg
    Paper not yet in RePEc: Add citation now
  27. Malik, S. ; Meldrum, A. Evaluating the robustness of UK term structure decompositions using linear regression methods. 2016 Journal of Banking & Finance. 67 85-102

  28. Piazzesi, M. Affine term structure models. 2010 En : Ait-Sahalia, Y. ; Hansen, L. Handbook of Financial Econometrics. :
    Paper not yet in RePEc: Add citation now
  29. Rudebusch, G.D. Macro-finance models of interest rates and the economy. 2010 The Manchester School. 78 25-52

  30. Svensson, L. E. O., 1994.Estimating and interpreting forward interest rates: Sweden 1992–1994. NBER Working Papers 4871. National Bureau of Economic Research, Inc.

  31. Wachter, J.A. A consumption-based model of the term structure of interest rates. 2006 Journal of Financial Economics. 79 365-399

  32. Wright, J.H. Term premia and inflation uncertainty: empirical evidence from an international panel dataset: reply. 2014 American Economic Review. 104 338-341

  33. Wright, J.H. Term premia and inflation uncertainty: empirical evidence from an international panel dataset. 2011 American Economic Review. 101 1514-1534

Cocites

Documents in RePEc which have cited the same bibliography

  1. Quantitative Easing During the COVID-19 Pandemic: A Cross-Country Study. (2023). Stefaski, Maciej.
    In: KAE Working Papers.
    RePEc:sgh:kaewps:2023088.

    Full description at Econpapers || Download paper

  2. Special Repo Rates and the Cross-Section of Bond Prices: The Role of the Special Collateral Risk Premium*. (2022). Damico, Stefania ; Pancost, Aaron N.
    In: Review of Finance.
    RePEc:oup:revfin:v:26:y:2022:i:1:p:117-162..

    Full description at Econpapers || Download paper

  3. A Macroeconomic Approach to the Term Premium. (2018). Williams, Peter D ; Kopp, Emanuel.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2018/140.

    Full description at Econpapers || Download paper

  4. The Term Premium as a Leading Macroeconomic Indicator. (2016). Plakandaras, Vasilios ; Papadimitriou, Theophilos ; GUPTA, RANGAN ; Gogas, Periklis.
    In: Working Papers.
    RePEc:pre:wpaper:201613.

    Full description at Econpapers || Download paper

  5. U.S. Monetary Policy Normalization and Global Interest Rates. (2016). Demir, İshak ; Carrière-Swallow, Yan ; Caceres, Carlos ; Carriere-Swallow, Yan ; Gruss, Bertrand.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2016/195.

    Full description at Econpapers || Download paper

  6. The term structure of expectations and bond yields. (2016). Moench, Emanuel ; Eusepi, Stefano ; Crump, Richard.
    In: Staff Reports.
    RePEc:fip:fednsr:775.

    Full description at Econpapers || Download paper

  7. The international transmission of risk: Causal relations among developed and emerging countries’ term premia. (2016). Moreno Gutiérrez, José ; Melo-Velandia, Luis ; Gomez-Gonzalez, Jose ; Espinosa Torres, Juan ; Espinosa-Torres, Juan Andres ; Moreno-Gutierrez, Jose Fernando .
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:37:y:2016:i:c:p:646-654.

    Full description at Econpapers || Download paper

  8. Global corporate bond issuance: What role for US quantitative easing?. (2016). Lo Duca, Marco ; Nicoletti, Giulio ; Martinez, Ariadna Vidal .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:60:y:2016:i:c:p:114-150.

    Full description at Econpapers || Download paper

  9. Evaluating the robustness of UK term structure decompositions using linear regression methods. (2016). Meldrum, Andrew ; Malik, Sheheryar.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:67:y:2016:i:c:p:85-102.

    Full description at Econpapers || Download paper

  10. The economic value of predicting bond risk premia. (2016). Wagner, Christian ; Schneider, Paul ; Sarno, Lucio.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:37:y:2016:i:c:p:247-267.

    Full description at Econpapers || Download paper

  11. Explaining Asset Prices with Low Risk Aversion and Low Intertemporal Substitution. (2016). Andreasen, Martin M ; Jorgensen, Kasper.
    In: CREATES Research Papers.
    RePEc:aah:create:2016-16.

    Full description at Econpapers || Download paper

  12. Inflation targeting and term premia estimates for Latin America. (2015). Rule, Garreth ; Rummel, Ole ; Blake, Andrew.
    In: Latin American Economic Review.
    RePEc:spr:laecrv:v:24:y:2015:i:1:p:1-21:10.1007/s40503-015-0017-7.

    Full description at Econpapers || Download paper

  13. Forward Guidance in the Yield Curve: Short Rates versus Bond Supply. (2015). Vayanos, Dimitri ; Hanson, Samuel ; Greenwood, Robin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:21750.

    Full description at Econpapers || Download paper

  14. Term-Structure Modelling at the Zero Lower Bound: Implications for Estimating the Term Premium. (2015). Chung, Tsz-Kin ; Li, Ka-Fai ; Hui, Cho-Hoi.
    In: Working Papers.
    RePEc:hkm:wpaper:212015.

    Full description at Econpapers || Download paper

  15. The First Arrow Hitting the Currency Target: A Long-run Risk Perspective. (2015). Kano, Takashi ; Wada, Kenji.
    In: Discussion paper series.
    RePEc:hit:hiasdp:hias-e-13.

    Full description at Econpapers || Download paper

  16. Betting against beta (and gamma) using government bonds. (2015). Durham, J. Benson.
    In: Staff Reports.
    RePEc:fip:fednsr:708.

    Full description at Econpapers || Download paper

  17. Regression-based estimation of dynamic asset pricing models. (2015). Moench, Emanuel ; Crump, Richard ; Adrian, Tobias.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:118:y:2015:i:2:p:211-244.

    Full description at Econpapers || Download paper

  18. Identifying fiscal inflation. (2015). Queijo von Heideken, Virginia ; De Graeve, Ferre.
    In: European Economic Review.
    RePEc:eee:eecrev:v:80:y:2015:i:c:p:83-93.

    Full description at Econpapers || Download paper

  19. Forward Guidance in the Yield Curve: Short Rates versus Bond Supply. (2015). Vayanos, Dimitri ; Hanson, Samuel ; Greenwood, Robin.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11005.

    Full description at Econpapers || Download paper

  20. Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del gobierno colombiano. (2015). Moreno Gutiérrez, José ; Melo-Velandia, Luis ; Espinosa Torres, Juan ; Espinosa-Torres, Juan Andres ; Moreno-Gutierrez, Jose Fernando .
    In: Borradores de Economia.
    RePEc:col:000094:013700.

    Full description at Econpapers || Download paper

  21. The International Transmission of Risk: Causal Relations Among Developed and Emerging Countries Term Premia. (2015). Moreno Gutiérrez, José ; Melo-Velandia, Luis ; Gomez-Gonzalez, Jose ; Espinosa Torres, Juan ; Espinosa-Torres, Juan Andres ; Moreno-Gutierrez, Jose Fernando .
    In: Borradores de Economia.
    RePEc:col:000094:012609.

    Full description at Econpapers || Download paper

  22. Channels of US Monetary Policy Spillovers into International Bond Markets. (2015). Romero, Damian ; Claro, Sebastian ; Ceballos, Luis ; Albagli, Elias.
    In: Working Papers Central Bank of Chile.
    RePEc:chb:bcchwp:771.

    Full description at Econpapers || Download paper

  23. Tasas de Interés de Largo Plazo en Economías Desarrolladas: Tendencias Recientes e Implicancias de Política Monetaria en Chile.. (2015). Vergara, Rodrigo ; Albagli, Elias.
    In: Economic Policy Papers Central Bank of Chile.
    RePEc:chb:bcchep:52.

    Full description at Econpapers || Download paper

  24. Estimating inflation risk premia from nominal and real yield curves using a shadow-rate model. (2015). Nakajima, Jouchi ; Imakubo, Kei.
    In: Bank of Japan Working Paper Series.
    RePEc:boj:bojwps:wp15e01.

    Full description at Econpapers || Download paper

  25. A global factor in variance risk premia and local bond pricing. (2015). Roberts-Sklar, Matt ; Kaminska, Iryna.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0576.

    Full description at Econpapers || Download paper

  26. Long-run priors for term structure models. (2015). Roberts-Sklar, Matt ; Meldrum, Andrew.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0575.

    Full description at Econpapers || Download paper

  27. Dynamic term structure models: the best way to enforce the zero lower bound in the United States. (2015). Meldrum, Andrew ; Andreasen, Martin M.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0550.

    Full description at Econpapers || Download paper

  28. Market beliefs about the UK monetary policy life-off horizon: a no-arbitrage shadow rate term structure model approach. (2015). Meldrum, Andrew ; Andreasen, Martin M.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0541.

    Full description at Econpapers || Download paper

  29. Long-term rates and the term premium: evidence from Chile. (2015). Claro, Sebastian ; Moreno, Carola.
    In: BIS Papers chapters.
    RePEc:bis:bisbpc:83-06.

    Full description at Econpapers || Download paper

  30. Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del gobierno colombiano. (2015). Moreno Gutiérrez, José ; Melo-Velandia, Luis ; Espinosa Torres, Juan ; Espinosa-Torres, Juan Andres ; Moreno-Gutierrez, Jose Fernando .
    In: Borradores de Economia.
    RePEc:bdr:borrec:903.

    Full description at Econpapers || Download paper

  31. The International Transmission of Risk: Causal Relations Among Developed and Emerging Countries’ Term Premia. (2015). Moreno Gutiérrez, José ; Melo-Velandia, Luis ; Gomez-Gonzalez, Jose ; Espinosa Torres, Juan ; Espinosa-Torres, Juan Andres ; Moreno-Gutierrez, Jose Fernando .
    In: Borradores de Economia.
    RePEc:bdr:borrec:869.

    Full description at Econpapers || Download paper

  32. Tractable Term Structure Models. (2015). Fontaine, Jean-Sebastien ; Feunou, Bruno ; Lundblad, Christian ; Le, An H.
    In: Staff Working Papers.
    RePEc:bca:bocawp:15-46.

    Full description at Econpapers || Download paper

  33. Financial conditions, macroeconomic factors and (un)expected bond excess returns. (2014). Menkhoff, Lukas ; Fricke, Christoph.
    In: Discussion Papers.
    RePEc:zbw:bubdps:352014.

    Full description at Econpapers || Download paper

  34. Nominal Term Structure and Term Premia. Evidence from Chile. (2014). Romero, Damian ; Naudon, Alberto ; Ceballos, Luis.
    In: MPRA Paper.
    RePEc:pra:mprapa:60911.

    Full description at Econpapers || Download paper

  35. Term structure estimation in the presence of autocorrelation. (2014). Juneja, Januj.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:28:y:2014:i:c:p:119-129.

    Full description at Econpapers || Download paper

  36. Estimación de la prima por vencimiento de los TES en pesos del gobierno colombiano. (2014). Moreno Gutiérrez, José ; Melo-Velandia, Luis ; Espinosa Torres, Juan ; Melovelandia, Luis Fernando ; Juan Andres Espinosa Torres, ; Jose Fernando Moreno Gutierrez, .
    In: Borradores de Economia.
    RePEc:col:000094:012333.

    Full description at Econpapers || Download paper

  37. An Empirical Analysis of the Relationship between US and Colombian Long-Term Sovereign Bond Yields?. (2014). Vargas-Herrera, Hernando ; Moreno Gutiérrez, José ; Guarín López, Alexander ; Guarin, Alexander.
    In: Borradores de Economia.
    RePEc:col:000094:011311.

    Full description at Econpapers || Download paper

  38. Evaluating the robustness of UK term structure decompositions using linear regression methods. (2014). Meldrum, Andrew ; Malik, Sheheryar.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0518.

    Full description at Econpapers || Download paper

  39. An empirical analysis of the relationship between US and Colombian long-term sovereign bond yields. (2014). Moreno, Jose Fernando ; Vargas, Hernando ; Guarin, Alexander.
    In: BIS Papers chapters.
    RePEc:bis:bisbpc:78-09.

    Full description at Econpapers || Download paper

  40. Specification Analysis of International Treasury Yield Curve Factors. (2014). Tiozzo Pezzoli, Luca ; Pegoraro, Fulvio ; Siegel, A. F..
    In: Working papers.
    RePEc:bfr:banfra:490.

    Full description at Econpapers || Download paper

  41. Estimación de la prima por vencimiento de los TES en pesos del gobierno colombiano. (2014). Moreno Gutiérrez, José ; Melo-Velandia, Luis ; Espinosa Torres, Juan ; Melovelandia, Luis Fernando ; Juan Andres Espinosa Torres, ; Jose Fernando Moreno Gutierrez, .
    In: Borradores de Economia.
    RePEc:bdr:borrec:854.

    Full description at Econpapers || Download paper

  42. An Empirical Analysis of the Relationship between US and Colombian Long-Term Sovereign Bond Yields. (2014). Vargas-Herrera, Hernando ; Moreno Gutiérrez, José ; Guarín López, Alexander ; Guarin, Alexander.
    In: Borradores de Economia.
    RePEc:bdr:borrec:822.

    Full description at Econpapers || Download paper

  43. Dynamic term structure models: The best way to enforce the zero lower bound. (2014). Meldrum, Andrew ; Andreasen, Martin M..
    In: CREATES Research Papers.
    RePEc:aah:create:2014-47.

    Full description at Econpapers || Download paper

  44. The US Economy, the Treasury Bond Market and the Specification of Macro-Finance Models. (2013). Spencer, Peter.
    In: Discussion Papers.
    RePEc:yor:yorken:13/22.

    Full description at Econpapers || Download paper

  45. More on U.S. Treasury term premiums: spot and expected measures. (2013). Durham, J. Benson.
    In: Staff Reports.
    RePEc:fip:fednsr:658.

    Full description at Econpapers || Download paper

  46. Financial stability monitoring. (2013). Adrian, Tobias ; Liang, Nellie J. ; Covitz, Daniel .
    In: Staff Reports.
    RePEc:fip:fednsr:601.

    Full description at Econpapers || Download paper

  47. Financial stability monitoring. (2013). Adrian, Tobias ; Liang, Nellie ; Covitz, Daniel .
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2013-21.

    Full description at Econpapers || Download paper

  48. A New Linear Estimator for Gaussian Dynamic Term Structure Models. (2013). Diez de los Rios, Antonio.
    In: Staff Working Papers.
    RePEc:bca:bocawp:13-10.

    Full description at Econpapers || Download paper

  49. Forecasting through the rear-view mirror: data revisions and bond return predictability. (2012). Moench, Emanuel ; Ghysels, Eric.
    In: Staff Reports.
    RePEc:fip:fednsr:581.

    Full description at Econpapers || Download paper

  50. Decomposing real and nominal yield curves. (2012). Moench, Emanuel ; Crump, Richard ; Adrian, Tobias ; Abrahams, Michael.
    In: Staff Reports.
    RePEc:fip:fednsr:570.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-21 07:49:18 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.