Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates

Journal of Economic Dynamics and Control

Volumn 12, Issue 2-3, 1988, Pages 385-423

  Hamilton, James D ^a  

^a UNIVERSITY OF VIRGINIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0000909365     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/0165-1889(88)90047-4     Document Type: Article

References (36)

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3. A simple account of the behavior of long-term interest rates
4. Serial correlation in discrete variable models
5. A re-examination of traditional hypotheses about the term structure of interest rates
6. Testing for the absence of expected real profits from forward market speculation
7. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
8. Estimating time varying risk premia in the term structure The ARCH-M model
9. The information in the term structure
10. The information in long-maturity forward rates
11. Excess volatility in the financial markets A reassessment of the empirical evidence
12. Time series evidence on the expectations hypothesis of the term structure
13. A Markov model for switching regressions
14. Federal funds: Instrument of Federal Reserve policy, Federal Reserve Bank of Richmond Economic Review
15. Uncovering financial market expectations of inflation
16. Formulating and estimating dynamic linear rational expectations models
17. Monetary policy regime shifts and the unusual behavior of real interest rates
18. The ‘peso problem’ in testing the efficiency of forward exchange markets
19. The adjustment of expectations to a change in regime: A study of the founding of the Federal Reserve
20. Do long-term interest rates overreact to short-term interest rates?
21. Stochastic processes for interest rates and equilibrium bond prices
22. Optimal prediction of cyclical downturns
23. Are economic time series asymmetric over the business cycle?
24. Monetary policy regimes and the reduced form for interest rates
25. Investment diversification and bond maturity
26. A note on maximum likelihood estimation of the rational expectations model of the term structure
27. The volatility of long-term interest rates and expectations models of the term structure
28. Alternative tests of rational expectations models: The case of the term structure
29. Forward rates and future policy Interpreting the term structure of interest rates
30. The Federal Reserve's new operating procedures: A post mortem
31. Testing for real effects of monetary policy regime shifts