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Expectations, bond yields, and monetary policy

Chun, Albert Lee - In: The review of financial studies 24 (2011) 1, pp. 208-247

Persistent link: https://www.econbiz.de/10008909440

Essays on the dynamic interaction of expectations, monetary policy and the term structure of interest rates

Chun, Albert Lee - 2007

Persistent link: https://www.econbiz.de/10009693124

A new approach to measuring market expectations and term premia

Ye, Xiaoxia - In: The journal of fixed income 24 (2015) 4, pp. 22-46

Persistent link: https://www.econbiz.de/10011293464

Expectations, bond yields and monetary policy

Chun, Albert Lee (contributor) - 2008 - Rev.

Persistent link: https://www.econbiz.de/10003755654

Term structure, market expectations of the short rate, and expected inflation

Luo, Jian; Ye, Xiaoxia - In: New methods in fixed income modeling : fixed income modeling, (pp. 3-34). 2018

Persistent link: https://www.econbiz.de/10012011569

A New Approach to Measuring Market Expectations and Term Premia

Ye, Xiaoxia - 2017

This paper develops a novel approach to measure the market expectations and term premia in the term structure of interest rates. Key components of this approach are generic impact measures of state variables in a Gaussian dynamic term structure model. These measures are inherent in a particular...

Persistent link: https://www.econbiz.de/10012975031