Inflation risk premia and the expectations hypothesis

[1]  Monika Piazzesi Bond Yields and the Federal Reserve , 2005, Journal of Political Economy.

[2]  Lawrence J. Christiano,et al.  Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy , 2005 .

[3]  Andrew Ang,et al.  The Term Structure of Real Rates and Expected Inflation , 2004 .

[4]  K. Singleton,et al.  Expectation puzzles, time-varying risk premia, and affine models of the term structure , 2002 .

[5]  Martin D. D. Evans Real Risk, Inflation Risk, and the Term Structure , 2002 .

[6]  Lawrence J. Christiano,et al.  Money Growth Monitoring and the Taylor Rule , 2001 .

[7]  Hao Zhou,et al.  Term Structure of Interest Rates with Regime Shifts , 2001 .

[8]  Stephanie Schmitt-Grohé,et al.  The Perils of Taylor Rules , 1999, J. Econ. Theory.

[9]  G. Duffee Term premia and interest rate forecasts in affine models , 2000 .

[10]  Athanasios Orphanides The Quest for Prosperity Without Inflation , 2000, SSRN Electronic Journal.

[11]  P. Ireland,et al.  Sticky-Price Models of the Business Cycle: Specification and Stability , 2000 .

[12]  Chris I. Telmer,et al.  Design and Estimation of Affine Yield Models , 1999 .

[13]  R. Green,et al.  The Personal-Tax Advantages of Equity , 1999 .

[14]  Andrew T. Levin,et al.  Optimal Monetary Policy with Staggered Wage and Price Contracts , 1999, Credit and Capital Markets – Kredit und Kapital: Volume 52, Issue 4.

[15]  John B. Taylor Monetary Policy Rules , 1999 .

[16]  Jonas D. M. Fisher Credit Market Imperfections and the Heterogeneous Response of Firms to Monetary Shocks , 1999 .

[17]  Kevin X. D. Huang,et al.  Staggered Contracts and Business Cycle Persistence , 1998 .

[18]  Thomas F. Cooley,et al.  Asymmetric information, financial intermediation, and business cycles , 1998 .

[19]  Charles T. Carlstrom,et al.  Agency costs and business cycles , 1998 .

[20]  Michael Woodford,et al.  Interest-Rate Rules in an Estimated Sticky Price Model , 1998 .

[21]  Stephanie Schmitt-Grohé,et al.  Monetary Policy and Multiple Equilibria , 1998 .

[22]  Glenn D. Rudebusch,et al.  Policy Rules for Inflation Targeting , 1998 .

[23]  B. Bernanke,et al.  The Financial Accelerator in a Quantitative Business Cycle Framework , 1998 .

[24]  Martin D. D. Evans Real Rates, Expected Inflation, and Inflation Risk Premia , 1998 .

[25]  C. Erceg Nominal Wage Rigidities and the Propagation of Monetary Disturbances , 1997 .

[26]  K. Singleton,et al.  Specification Analysis of Affine Term Structure Models , 1997 .

[27]  D. Duffie,et al.  A YIELD-FACTOR MODEL OF INTEREST RATES , 1996 .

[28]  Ellen R. McGrattan,et al.  Sticky Price Models of the Business Cycle: Can the Contract Multiplier Solve the Persistence Problem? , 1996 .

[29]  John R. Graham,et al.  Proxies for the corporate marginal tax rate , 1996 .

[30]  Bruce E. Hansen,et al.  Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis , 1996 .

[31]  Geert Bekaert,et al.  On Biases in Tests of the Expecations Hypothesis of the Term Structure of Interest Rates , 1996 .

[32]  Gurdip Bakshi,et al.  Inflation, Asset Prices, and the Term Structure of Interest Rates in Monetary Economies , 1996 .

[33]  Timothy S. Fuerst Monetary and Financial Interactions in the Business Cycle , 1995 .

[34]  Thomas F. Cooley Frontiers of business cycle research , 1995 .

[35]  N. Pearson,et al.  Exploiting the conditional density in estimating the term structure , 1994 .

[36]  Timothy S. Fuerst Monetary and financial interaction in the business cycle , 1994 .

[37]  Ren-Raw Chen,et al.  Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates , 1993 .

[38]  John B. Taylor Discretion versus policy rules in practice , 1993 .

[39]  Jacob Boudoukh An equilibrium model of nominal bond prices with inflation-output correlation and stochastic volatility , 1993 .

[40]  Michael R. Gibbons,et al.  A Test of the Cox, Ingersoll, and Ross Model of the Term Structure , 1993 .

[41]  A Reexamination of Traditional Hypotheses about the Term Structure: A Comment , 1993 .

[42]  G. Constantinides A Theory of the Nominal Term Structure of Interest Rates , 1992 .

[43]  Eduardo S. Schwartz,et al.  Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model , 1992 .

[44]  David A. Marshall Inflation and asset returns in a monetary economy , 1992 .

[45]  Campbell R. Harvey,et al.  An Empirical Comparison of Alternative Models of the Short-Term Interest Rate , 1992 .

[46]  D. Andrews,et al.  Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative , 1992 .

[47]  H. Kwon The time variant term premium of interest rates , 1992 .

[48]  Robert B. Litterman,et al.  Common Factors Affecting Bond Returns , 1991 .

[49]  George G. Pennacchi Identifying the Dynamics of Real Interest Rates and Inflation: Evidence Using Survey Data , 1991 .

[50]  E. Fama Term-structure forecasts of interest rates, inflation and real returns , 1990 .

[51]  Nancy L. Stokey,et al.  Recursive methods in economic dynamics , 1989 .

[52]  Campbell R. Harvey The Real Term Structure and Consumption Growth , 1988 .

[53]  R. Stambaugh The information in forward rates: Implications for models of the term structure , 1988 .

[54]  B. Bernanke,et al.  Agency Costs, Net Worth, and Business Fluctuations , 1988 .

[55]  J. Danthine,et al.  On the superneutrality of money in a stochastic dynamic macroeconomic model , 1987 .

[56]  Olivier J. Blanchard,et al.  Monopolistic Competition and the Effects of Aggregate Demand , 1987 .

[57]  E. Fama,et al.  The Information in Long-Maturity Forward Rates , 1987 .

[58]  S. Ross,et al.  AN INTERTEMPORAL GENERAL EQUILIBRIUM MODEL OF ASSET PRICES , 1985 .

[59]  S. Ross,et al.  A theory of the term structure of interest rates'', Econometrica 53, 385-407 , 1985 .

[60]  S. Benninga,et al.  Real and Nominal Interest Rates under Uncertainty: The Fisher Theorem and the Term Structure , 1983, Journal of Political Economy.

[61]  Michael R. Gibbons,et al.  Inflation, real returns and capital investment , 1982 .

[62]  S. Ross,et al.  The relation between forward prices and futures prices , 1981 .

[63]  E. Fama Stock Returns, Real Activity, Inflation, and Money , 1981 .

[64]  Ronald W. Masulis,et al.  Optimal Capital Structure Under Corporate and Personal Taxation , 1980 .

[65]  M. Feldstein Inflation, Tax Rules, and the Stock Market , 1979 .

[66]  Jerry R. Green,et al.  Inflation and Taxes in a Growing Economy with Debt and Equity Finance , 1978, Journal of Political Economy.

[67]  Oldrich A. Vasicek An equilibrium characterization of the term structure , 1977 .

[68]  E. Fama,et al.  Forward rates as predictors of future spot rates , 1976 .

[69]  E. Fama Inflation Uncertainty and Expected Returns on Treasury Bills , 1976, Journal of Political Economy.

[70]  J. McCulloch,et al.  THE TAX-ADJUSTED YIELD CURVE , 1975 .