Financial factors, macroeconomic information and the expectations theory of the term structure of interest rates

DOI10.1016/j.jeconom.2005.01.019zbMath1337.62351OpenAlexW3124865773MaRDI QIDQ292025

Andrea Carriero, Carlo A. Favero, Iryna Kaminska

Publication date: 10 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://repec.org/sce2004/up.3376.1077038733.pdf

zbMATH Keywords

expectations theorymacroeconomic information in finance

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Macroeconomic theory (monetary models, models of taxation) (91B64) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites Work

• Unnamed Item
• What does the yield curve tell us about GDP growth?
• A joint econometric model of macroeconomic and term-structure dynamics
• Term structure views of monetary policy under alternative models of agent expectations
• Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*

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