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Reverse engineering the yield curve

Backus, David - 1994

Persistent link: https://www.econbiz.de/10000886121

Long-memory inflation uncertainty : evidence from the term structure of interest rates

Backus, David; Zin, Stanley E. - 1993

Persistent link: https://www.econbiz.de/10000857487

Arbitrage opportunities in arbitrage-free models of bond pricing

Backus, David; Foresi, Silverio; Zin, Stanley E. - 1996

Persistent link: https://www.econbiz.de/10000593360

Risk premiums in the term structure : evidence from artificial economies

Backus, David K.; Gregory, Allan W.; Zin, Stanley E. - 1986 - Rev.

Persistent link: https://www.econbiz.de/10003478954

Arbitrage-free bond pricing with dynamic macroeconomic models

Gallmeyer, Michael F.; Hollifield, Burton; Palomino, … - 2007

We examine the relationship between monetary-policy-induced changes in short interest rates and yields on long-maturity default-free bonds. The volatility of the long end of the term structure and its relationship with monetary policy are puzzling from the perspective of simple structural...