메뉴 건너뛰기




Volumn 81, Issue 3, 1999, Pages 393-398

Near unit roots and the predictive power of yield spreads for changes in long-term interest rates

(1)  Lanne, Markku a  

a NONE

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0033412794     PISSN: 00346535     EISSN: None     Source Type: Journal    
DOI: 10.1162/003465399558328     Document Type: Article
Times cited : (14)

References (18)
  • 2
    • 0031161627 scopus 로고    scopus 로고
    • On biases in tests of the expectations hypothesis of the term structure of interest rates
    • Bekaert, G., R. J. Hodrick, and D. A. Marshall, "On Biases in Tests of the Expectations Hypothesis of the Term Structure of Interest Rates," Journal of Financial Economics 44 (1997), 309-348.
    • (1997) Journal of Financial Economics , vol.44 , pp. 309-348
    • Bekaert, G.1    Hodrick, R.J.2    Marshall, D.A.3
  • 3
    • 84936220056 scopus 로고
    • Cointegration and tests of present value models
    • Campbell, J. Y., and R. J. Shiller, "Cointegration and Tests of Present Value Models," Journal of Political Economy 95 (1987), 1062-1088.
    • (1987) Journal of Political Economy , vol.95 , pp. 1062-1088
    • Campbell, J.Y.1    Shiller, R.J.2
  • 4
    • 84959821636 scopus 로고
    • Yield spreads and interest rate movements: A bird's eye view
    • _ "Yield Spreads and Interest Rate Movements: A Bird's Eye View," Review of Economic Studies 58 (1991), 495-514.
    • (1991) Review of Economic Studies , vol.58 , pp. 495-514
  • 5
    • 84974098166 scopus 로고
    • Inference in models with nearly integrated regressors
    • Cavanagh, C. L., G. Elliott, and J. H. Stock, "Inference in Models with Nearly Integrated Regressors," Econometric Theory 11 (1995), 1131-1147.
    • (1995) Econometric Theory , vol.11 , pp. 1131-1147
    • Cavanagh, C.L.1    Elliott, G.2    Stock, J.H.3
  • 7
    • 84974336749 scopus 로고
    • Inference in time series regression when the order of integration of a regressor is unknown
    • Elliott, G., and J. H. Stock, "Inference in Time Series Regression when the Order of Integration of a Regressor is Unknown," Econometric Theory 10 (1994), 672-700.
    • (1994) Econometric Theory , vol.10 , pp. 672-700
    • Elliott, G.1    Stock, J.H.2
  • 8
    • 38149144734 scopus 로고
    • Do stationary risk premia explain it all? Evidence from the term structure
    • Evans, M. D. D., and K. K. Lewis, "Do Stationary Risk Premia Explain It All? Evidence from the Term Structure," Journal of Monetary Economics 33 (1994), 285-318.
    • (1994) Journal of Monetary Economics , vol.33 , pp. 285-318
    • Evans, M.D.D.1    Lewis, K.K.2
  • 9
    • 0039120731 scopus 로고    scopus 로고
    • Monetary policy shifts and long-term interest rates
    • Fuhrer, J. C., "Monetary Policy Shifts and Long-Term Interest Rates," Quarterly Journal of Economics 111 (1996), 1183-1209.
    • (1996) Quarterly Journal of Economics , vol.111 , pp. 1183-1209
    • Fuhrer, J.C.1
  • 11
    • 43949152349 scopus 로고
    • The term structure spread and future changes in long and short rates in the G7 countries. Is there a puzzle?
    • Hardouvelis, G. A., "The Term Structure Spread and Future Changes in Long and Short Rates in the G7 Countries. Is There a Puzzle?" Journal of Monetary Economics 33 (1994), 255-283.
    • (1994) Journal of Monetary Economics , vol.33 , pp. 255-283
    • Hardouvelis, G.A.1
  • 12
    • 0001517985 scopus 로고
    • US government term structure data
    • B. Friedman and F. Hahn (eds.), Amsterdam: North-Holland
    • McCulloch, J. H., "US Government Term Structure Data," in B. Friedman and F. Hahn (eds.), Handbook of Monetary Economics (Amsterdam: North-Holland, 1990), 627-715.
    • (1990) Handbook of Monetary Economics , pp. 627-715
    • McCulloch, J.H.1
  • 15
    • 77956890713 scopus 로고
    • Toward a unified theory for autoregression
    • Phillips, P. C. B., "Toward a Unified Theory for Autoregression," Biometrika 74 (1987), 535-547.
    • (1987) Biometrika , vol.74 , pp. 535-547
    • Phillips, P.C.B.1
  • 16
    • 77957031689 scopus 로고
    • The term structure of interest rates
    • B. Friedman and F. Hahn (eds.), Amsterdam: North-Holland
    • Shiller, R. J., "The Term Structure of Interest Rates," in B. Friedman and F. Hahn (eds.), Handbook of Monetary Economics (Amsterdam: North-Holland, 1990), 627-672.
    • (1990) Handbook of Monetary Economics , pp. 627-672
    • Shiller, R.J.1
  • 17
    • 0038383895 scopus 로고    scopus 로고
    • Cointegration, long-run comovements, and long-horizon forecasting
    • D. M. Kreps and K. F. Wallis (eds.), Cambridge, U.K.: Cambridge University Press
    • Stock, J. H., "Cointegration, Long-Run Comovements, and Long-Horizon Forecasting," in D. M. Kreps and K. F. Wallis (eds.), Advances in Economics and Econometrics: Theory and Applications, Seventh World Congress, Vol. III, (Cambridge, U.K.: Cambridge University Press, 1997).
    • (1997) Advances in Economics and Econometrics: Theory and Applications, Seventh World Congress , vol.3
    • Stock, J.H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.