Extracting inflation expectations from the term structure: the Fisher equation in a multivariate SDF framework

ARCH modeling in finance

1992 • 4,478 citations

A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables

2003 • 1,742 citations

Bond Risk Premia

2005 • 1,494 citations

Forecasting Output and Inflation: The Role of Asset Prices

2003 • 1,165 citations

The macroeconomy and the yield curve: a dynamic latent factor approach

2005 • 967 citations

Forecasting Output and Inflation: The Role of Asset Prices

2003 • 814 citations

An Analysis of the Real Interest Rate Under Regime Shifts

1996 • 798 citations

The Theory of Interest: As Determined by Impatience to Spend Income and Opportunity to Invest It, by Irving Fisher (New York: Kelley & Millman, Inc., 1954, pp. xxxii, 566, $8.50).

1955 • 456 citations

How Stable is the Predictive Power of the Yield Curve? Evidence from Germany and the United States

2003 • 327 citations

Do Expected Shifts in Inflation Affect Estimates of the Long‐Run Fisher Relation?

1995 • 277 citations

Real risk, inflation risk, and the term structure

2003 • 109 citations

Asset Pricing with Observable Stochastic Discount Factors

2002 • 67 citations

A note on nonstationarity, structural breaks, and the Fisher effect

2000 • 67 citations

What Was the Market's View of U.K. Monetary Policy? Estimating Inflation Risk and Expected Inflation with Indexed Bonds

1998 • 33 citations

Interpreting the Movements in Short-Term Interest Rates

1992 • 30 citations

The Purchasing Power of Money and Nominal Interest Rates: A Re‐Examination

1988 • 26 citations

The term premium and the puzzles of the expectations hypothesis of the term structure

2003 • 22 citations

What the Yield Curves Say About Inflation: Does it Change Over Time?

2001 • 14 citations

The Yield Spread as a Symmetric Predictor of Output and Inflation

2019 • 9 citations

Term structure and interest differentials as predictors of future inflation changes and inflation differentials

1998 • 6 citations

The nominal interest rate as a predictor of inflation: a re-examination of the underlying model

1999 • 5 citations