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Term structure views of monetary policy under alternative models of agent expectations

Kozicki, Sharon; Tinsley, Peter A. - In: Journal of economic dynamics & control 25 (2001) 1/2, pp. 149-184

Persistent link: https://www.econbiz.de/10001518180

Monetary policy transmission during QE times : role of expectations and term premia channels

Kaminska, Iryna; Mumtaz, Haroon - 2022

Persistent link: https://www.econbiz.de/10013272070

Validity of the expectations hypothesis of the term structure of interest rates : the case of Saudi Arabia

Harrathi, Nizar; Alhoshan, Hamed M. - In: Review of Middle East economics and finance 16 (2020) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10012299802

Time series analysis of the US term structure of interest rates using a Bayesian Markov switching cointegration model

Sugita, Katsuhiro - In: International journal of economics and finance 9 (2017) 3, pp. 49-56

Persistent link: https://www.econbiz.de/10011642177

The New Keynesian model and bond yields

Andreasen, Martin Møller - 2021

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

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

Jondeau, Eric - 2011

This paper deals with the implications of the expectations hypothesis of the term structure on the dynamics of interest rates, which are supposed to have a restricted VAR representation. Constraints on the parameters of the restricted VAR lead us to prefer an indirect estimation based on the...

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