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The New Keynesian model and bond yields

Andreasen, Martin Møller - 2021

Persistent link: https://www.econbiz.de/10012433979

Repo rates as reference interest rates : testing the expectations hypothesis of the term structure of interest rates

Nenadovic, Sanja - In: Economic analysis : EA 55 (2022) 2, pp. 8-19

Persistent link: https://www.econbiz.de/10013531041

Testing for UIP-type relationships : nonlinearities, monetary announcements and interest rate expectations

Anderl, Christina; Caporale, Guglielmo Maria - In: Open economies review 33 (2022) 4, pp. 705-749

Persistent link: https://www.econbiz.de/10013455611

VAR Model and the Test of the Expectations Hypothesis of the Term Structure (In French)

Jondeau, Eric - 2011

us to prefer an indirect estimation based on the error-correction model. This approach is applied to euro-rates over the … period 1975-96. The main results are the following: the expectations theory is well accepted for French and UK rates but …

Persistent link: https://www.econbiz.de/10014187493

Monetary policy surprises and their transmission through term premia and expected interest rates

Kaminska, Iryna; Mumtaz, Haroon; Šustek, Roman - 2020

for macroeconomic outcomes? Using an affine term structure model, we shed new light on these questions. Estimation is … subject to restrictions addressing an estimation bias in expected interest rates obtained by previous studies. Highfrequency … the transmission mechanism and broadly consistent with macroeconomic theory. …

Persistent link: https://www.econbiz.de/10012316011

(Un)expected monetary policy shocks and term premia

Kliem, Martin; Meyer-Gohde, Alexander - 2019 - This draft: December 9, 2019

The term structure of interest rates is crucial for the transmission of monetary policy to financial markets and the macroeconomy. Disentangling the impact of monetary policy on the components of interest rates, expected short rates and term premia, is essential to under- standing this channel....

Persistent link: https://www.econbiz.de/10012133185

Monetary policy surprises and their transmission through term premia and expected interest rates

Kaminska, Iryna; Mumtaz, Haroon; Šustek, Roman - 2020

Persistent link: https://www.econbiz.de/10012501387

The Expectations Hypothesis of the Term Structure : Tests on US, German, French, and UK Euro-Rates

Jondeau, Eric - 2011

-correction specifications. These tests are shown to be much more favorable for the theory and the initial puzzle disappears …

Persistent link: https://www.econbiz.de/10013131856

Cointegration and regime-switching risk premia in the U:S: term structure of interest rates

Tillmann, Peter (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001984469

Is there hope for the expectations hypothesis?

Crump, Richard K.; Eusepi, Stefano; Mönch, Emanuel - 2024

Most macroeconomic models impose a tight link between expected future short rates and the term structure of interest rates via the expectations hypothesis (EH). While the EH has been systematically rejected in the data, existing work evaluating the EH generally assumes either full-information...

Persistent link: https://www.econbiz.de/10014519064