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Testing the expectations theory in a market of short-term financial assets

Prats, María A. - In: Applied financial economics 8 (1998) 2, pp. 101-109

Persistent link: https://www.econbiz.de/10001244134

The Pavlovian response of term rates to Fed announcements

Demiralp, Selva; Jordà, Òscar - 2001

Persistent link: https://www.econbiz.de/10001555471

The Pavlovian Response of Term Rates to Fed Announcements

Jordà, Òscar; Demiralp, Selva - 2001

The traditional view of the monetary transmission mechanism rests on the premise that the Federal Reserve (Fed) controls the level of the Federal funds rate via open market operations and the liquidity effect. By contrast, this paper argues that the Fed also manipulates the Federal funds rate...

Persistent link: https://www.econbiz.de/10014141658

Switching-regime models in the Spanish inter-bank market

Beyaert, Arielle; Pérez-Castejón, Juan J. - In: The European journal of finance 6 (2000) 2, pp. 93-112

Persistent link: https://www.econbiz.de/10001519352

Time varying term premia and risk : the case of the Spanish interbank money market

Robles Fernández, M. Dolores; Flores de Frutos, Rafael - In: Applied financial economics 10 (2000) 3, pp. 243-260

Persistent link: https://www.econbiz.de/10001526279

Interest rate expectations and the slope of the money market yield curve

Cook, Timothy Q. - In: Economic review : publ. monthly 76 (1990) 5, pp. 3-26

Persistent link: https://www.econbiz.de/10001102699

Overnight indexed swap-implied interest rate expectations

Lloyd, Simon - In: Finance research letters 38 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10012485496

Overnight Indexed Swap-Implied Interest Rate Expectations

Lloyd, Simon - 2020

Overnight indexed swap (OIS) rates are regularly used to measure interest rate expectations. But how suitable are they? What tenors can we rely on? Assessing their performance in the US, UK, Eurozone and Japan, I find they provide broadly reliable measures of rate expectations out to around the...

Persistent link: https://www.econbiz.de/10012826710

Interest Rate Expectations and the Slope of the Money Market Yield Curve

Cook, Timothy Q. - 2012

has been on tests of the “expectations theory.” According to the theory, changes in the slope of the yield curve should … slope of the current yield curve. The expectations theory suggests that variation in the slope of the yield curve should be … prediction of the theory is supported by the data. A surprising finding is that parts of the yield curve have been useful in …

Persistent link: https://www.econbiz.de/10013102731

A VARMA approach to estimating term premia : the case of the Spanish interbank money market

Flores de Frutos, Rafael - In: Applied financial economics 5 (1995) 6, pp. 409-418

Persistent link: https://www.econbiz.de/10001193004