A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables

Common risk factors in the returns on stocks and bonds

1993 • 26,177 citations

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

1987 • 15,268 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Discretion versus policy rules in practice

1993 • 9,049 citations

A Theory of the Term Structure of Interest Rates

1985 • 8,604 citations

The Econometrics of Financial Markets

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Time Series Analysis

1994 • 6,582 citations

An equilibrium characterization of the term structure

1977 • 6,242 citations

Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*

2000 • 4,799 citations

Martingales and arbitrage in multiperiod securities markets

1979 • 3,734 citations

A YIELD‐FACTOR MODEL OF INTEREST RATES

1996 • 2,625 citations

What are the effects of monetary policy on output? Results from an agnostic identification procedure

2005 • 2,156 citations

Common Factors Affecting Bond Returns

1991 • 1,873 citations

Specification Analysis of Affine Term Structure Models

2000 • 1,864 citations

Yield Spreads and Interest Rate Movements: A Bird's Eye View

1991 • 1,822 citations

Measuring Monetary Policy

1998 • 1,691 citations

Term Premia and Interest Rate Forecasts in Affine Models

2002 • 1,656 citations

The Term Structure as a Predictor of Real Economic Activity

1991 • 1,655 citations

An Empirical Comparison of Alternative Models of the Short‐Term Interest Rate

1992 • 1,641 citations

The Effects of Monetary Policy Shocks: Evidence from the Flow of Funds

1996 • 1,174 citations

Implications of Security Market Data for Models of Dynamic Economies

1991 • 1,158 citations

What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns

1993 • 935 citations

Interest Rate Volatility and the Term Structure: A Two‐Factor General Equilibrium Model

1992 • 905 citations

Regime Switches in Interest Rates

2002 • 859 citations

Expectation puzzles, time-varying risk premia, and affine models of the term structure

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The real term structure and consumption growth

1988 • 690 citations

An Econometric Model of the Term Structure of Interest-Rate Swap Yields

1997 • 652 citations

Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates

1993 • 608 citations

DOES MONETARY POLICY GENERATE RECESSIONS?

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The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank

1997 • 544 citations

Term-structure forecasts of interest rates, inflation and real returns

1990 • 464 citations

Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model

1994 • 427 citations

A Theory of the Nominal Term Structure of Interest Rates

1992 • 423 citations

On biases in tests of the expectations hypothesis of the term structure of interest rates

1997 • 412 citations

Is the Fisher effect for real?

1992 • 407 citations

Monetary policy trade-offs and the correlation between nominal interest rates and real output

1995 • 348 citations

Monetary policy and the term structure of nominal interest rates: Evidence and theory

1998 • 317 citations

The term structure spread and future changes in long and short rates in the G7 countries

1994 • 305 citations

Real Rates, Expected Inflation, and Inflation Risk Premia

1998 • 284 citations

Explorations Into Factors Explaining Money Market Returns

1994 • 283 citations

Expectations Hypotheses Tests

2001 • 269 citations

Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model

1992 • 244 citations

A multicountry comparison of term-structure forecasts at long horizons

1991 • 217 citations

What do the VARs mean? Measuring the output effects of monetary policy

1998 • 201 citations

A note on maximum likelihood estimation of the rational expectations model of the term structure

1979 • 190 citations

Identification and the Effects of Monetary Policy Shocks

1996 • 133 citations

Regime Switches in Interest Rates

1998 • 93 citations

An Econometric Model of the Yield Curve with Macroeconomic Jump Effects

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Inflation, Interest, and Relative Prices

1979 • 53 citations

Affine Models of Currency Pricing

1996 • 50 citations

Around and Around: The Expectations Hypothesis

1998 • 28 citations

Expectations Hypotheses Tests

2000 • 15 citations

Specification Analysis of Affine Term Structure Models

1998 • 13 citations

Real and nominal factors in the cyclical behavior of interest rates, output, and money

1983 • 12 citations

Essays on estimation and inference in linear rational expectations models

1983 • 11 citations

Real interest rates and shifts in macroeconomic volatility

1998 • 1 citations