메뉴 건너뛰기




Volumn 19, Issue 2, 2006, Pages 359-379

The behavior of interest rates

Author keywords

[No Author keywords available]

Indexed keywords


EID: 33645751688     PISSN: 08939454     EISSN: 14657368     Source Type: Journal    
DOI: 10.1093/rfs/hhj019     Document Type: Article
Times cited : (49)

References (19)
  • 4
    • 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, 1997, "On Biases in Tests of the Expectations Hypothesis of the Term Structure of Interest Rates," Journal of Financial Economics, 44, 309-348.
    • (1997) Journal of Financial Economics , vol.44 , pp. 309-348
    • Bekaert, G.1    Hodrick, R.J.2    Marshall, D.A.3
  • 6
    • 84959821636 scopus 로고
    • Yield spreads and interest rate movements: A bird's eye view
    • Campbell, J. Y., and R. J. Shiller, 1991, "Yield Spreads and Interest Rate Movements: A Bird's Eye View" [Special Issue], Review of Economic Studies, 58, 3, 495-514.
    • (1991) Review of Economic Studies , vol.58 , Issue.3 , pp. 495-514
    • Campbell, J.Y.1    Shiller, R.J.2
  • 7
    • 0001854590 scopus 로고
    • Maximum likelihood estimation for a multifactor model of the term structure of interest rates
    • Chen, R., and L. Scott, 1993, "Maximum Likelihood Estimation for a Multifactor Model of the Term Structure of Interest Rates," Journal of Fixed Income, 3, 14-31.
    • (1993) Journal of Fixed Income , vol.3 , pp. 14-31
    • Chen, R.1    Scott, L.2
  • 9
    • 0036221014 scopus 로고    scopus 로고
    • Expectations puzzles, time-varying risk premia, and affine models of the term structure
    • Dai, Q., and K. J. Singleton, 2002, "Expectations Puzzles, Time-Varying Risk Premia, and Affine Models of the Term Structure," Journal of Financial Economics, 63, 415-441.
    • (2002) Journal of Financial Economics , vol.63 , pp. 415-441
    • Dai, Q.1    Singleton, K.J.2
  • 10
    • 0041589839 scopus 로고    scopus 로고
    • Term premia and interest rate forecasts in affine models
    • Duffee, G. R., 2002, "Term Premia and Interest Rate Forecasts in Affine Models," Journal of Finance, 52, 405-443.
    • (2002) Journal of Finance , vol.52 , pp. 405-443
    • Duffee, G.R.1
  • 11
    • 0000911048 scopus 로고
    • The information in the term structure
    • Fama, E. F., 1984, "The Information in the Term Structure," Journal of Financial Economics, 13, 509-528.
    • (1984) Journal of Financial Economics , vol.13 , pp. 509-528
    • Fama, E.F.1
  • 12
    • 0000064728 scopus 로고
    • The information in long-maturity forward rates
    • Fama, E. F., and R. R. Bliss, 1987, "The Information in Long-Maturity Forward Rates," American Economic Review, 77, 680-692.
    • (1987) American Economic Review , vol.77 , pp. 680-692
    • Fama, E.F.1    Bliss, R.R.2
  • 13
    • 0030242133 scopus 로고    scopus 로고
    • Modeling the conditional distribution of interest rates as a regime-switching process
    • Gray, S. F., 1996, "Modeling the Conditional Distribution of Interest Rates as a Regime-Switching Process," Journal of Financial Economics, 42, 26-62.
    • (1996) Journal of Financial Economics , vol.42 , pp. 26-62
    • Gray, S.F.1
  • 14
    • 0001000109 scopus 로고
    • The expectations hypothesis and the efficiency of the treasury bill market
    • Hamburger, M. J., and E. N. Platt, 1975, "The Expectations Hypothesis and the Efficiency of the Treasury Bill Market," Review of Economics and Statistics, 57, 190-199.
    • (1975) Review of Economics and Statistics , vol.57 , pp. 190-199
    • Hamburger, M.J.1    Platt, E.N.2
  • 15
    • 0000909365 scopus 로고
    • Rational-expectations econometric analysis of changes in regime: An investigation of the term structure of interest rates
    • Hamilton, J. D., 1988, "Rational-Expectations Econometric Analysis of Changes in Regime: An Investigation of the Term Structure of Interest Rates," Journal of Economic Dynamics and Control, 12, 385-423.
    • (1988) Journal of Economic Dynamics and Control , vol.12 , pp. 385-423
    • Hamilton, J.D.1
  • 16
    • 0000714094 scopus 로고
    • Forward exchange rates as optimal predictors of future spot rates: An econometric analysis
    • Hansen, L. P., and R. J. Hodrick, 1980, "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, 88, 829-853.
    • (1980) Journal of Political Economy , vol.88 , pp. 829-853
    • Hansen, L.P.1    Hodrick, R.J.2
  • 17
    • 0000706085 scopus 로고
    • A simple, positive definite, heteroskedasticity, and autocorrelation consistent covariance matrix
    • Newey, W. K., and K. D. West, 1987, "A Simple, Positive Definite, Heteroskedasticity, and Autocorrelation Consistent Covariance Matrix," Econometrica, 55, 702-708.
    • (1987) Econometrica , vol.55 , pp. 702-708
    • Newey, W.K.1    West, K.D.2
  • 19
    • 38249032278 scopus 로고
    • The information in forward rates: Implications for models of the term structure
    • Stambaugh, R. F., 1988, "The Information in Forward Rates: Implications for Models of the Term Structure," Journal of Financial Economics, 21, 41-70.
    • (1988) Journal of Financial Economics , vol.21 , pp. 41-70
    • Stambaugh, R.F.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.