It is well documented that the term structure of interest rates has predictive power for real economic growth. Applying the stepwise superior predictive ability test, we find that superior models contain both a short-term rate and a term spread.

This paper adds to the issue of inference regarding potentially nonstationary panels where units are correlated. Recently, it has been proposed to tackle this problem by computing individual p-values and combining them to an overall joint significance. We adopt and illustrate this fairly general...

In this paper, we build a model for the yield curve in Germany, from 1975 to 2001, and use it to test the Lucas Critique. We provide a first application of the new general-to-specific automatic model selection algorithm embodied in PcGets to term structure odeling, and use new super exogeneity...

This paper tests the hypothesis of long-run purchasing power parity (PPP) for all Latin American countries. Those countries share characteristics as high inflation, nominal shocks, and trade openness which might have led to quicker adjustment in relative prices and contributed for PPP to hold....

A variety of approaches have been proposed to extend classical fixed income portfolio immunization theory to cases where shifts in the term structure are not parallel. Following Reitano (1991a, 1991b, 1992, 1996) and Poitras (2007), this paper uses partial durations and convexities to specify...

This chapter surveys the literature on fixed-income pricing models, including dynamic term-structure models, and interest-rate sensitive, derivative pricing models. Our overview of conceptual approaches highlights the tradeoffs that have emerged between the complexity of the probability model...

This is a survey of the basic theoretical foundations of intertemporal asset pricing theory. The broader theory is first reviewed in a simple discrete-time setting, emphasizing the key role of state prices. The existence of state prices is equivalent to the absence of arbitrage. State prices,...