Stylized facts on nominal term structure and business cycles: An empirical VAR study

Applied Economics

Volumn 35, Issue 8, 2003, Pages 901-906

  Wu, Tao ^a  

^a Economic Research Department   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

BUSINESS CYCLE; MONETARY POLICY; VECTOR AUTOREGRESSION;

UNITED STATES;

EID: 0038684571     PISSN: 00036846     EISSN: None     Source Type: Journal    
DOI: 10.1080/0003684022000018204     Document Type: Article

References (6)

1. Evans, C. L. and Marshall, D. A. (1998) Monetary policy and the term structure of nominal interest rates: evidence and theory, Carnegie-Rochester Conference Series on Public Policy, 49, 53-111.
2. Hamilton, J. D. (1994) Time Series Analysis, Princeton University Press, Princeton.
3. Knez, P., Litterman, R. and Scheinkman, J. A. (1994) Explorations into factors explaining money market returns, Journal of Finance, 49, 1861-82.
4. Litterman, R. and Scheinkman, J. A. (1991) Common factors affecting bond returns, Journal of Fixed Income, 1, 54-61.
5. Wu, T. (2001a) Macro factors and the affine term structure of interest rates, Ph.D. dissertation, Yale University.
6. Wu, T. (2001b) Monetary policy and slope factor in empirical term structure estimations, manuscript, Yale University.