Shifting endpoints in the term structure of interest rates

A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

1989 • 9,360 citations

A Theory of the Term Structure of Interest Rates

1985 • 8,604 citations

The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

1989 • 7,573 citations

The Econometrics of Financial Markets

2012 • 6,595 citations

An equilibrium characterization of the term structure

1977 • 6,242 citations

Asset Prices in an Exchange Economy

1978 • 5,134 citations

The Econometrics of Financial Markets

1997 • 4,951 citations

Tests for Parameter Instability and Structural Change With Unknown Change Point

1993 • 4,272 citations

Parsimonious Modeling of Yield Curves

1987 • 2,902 citations

An intertemporal asset pricing model with stochastic consumption and investment opportunities

1979 • 2,786 citations

A Theory of the Consumption Function

1960 • 2,411 citations

Cointegration and Tests of Present Value Models

1987 • 2,166 citations

An Intertemporal General Equilibrium Model of Asset Prices

1985 • 2,096 citations

The Valuation of Uncertain Income Streams and the Pricing of Options

1976 • 1,727 citations

The Information in Long-Maturity Forward Rates

1987 • 1,646 citations

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

1992 • 1,641 citations

The monetary dynamics of hyperinflation

1956 • 1,603 citations

Tests of the Hypothesis That a Linear Regression System Obeys Two Separate Regimes

1960 • 1,112 citations

Testing Continuous-Time Models of the Spot Interest Rate

1996 • 1,009 citations

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

1992 • 905 citations

A Theory of the Consumption Function

1958 • 893 citations

The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure

1979 • 866 citations

Estimating Multiple Breaks One at a Time

1997 • 804 citations

An Analysis of the Real Interest Rate Under Regime Shifts

1996 • 798 citations

Inference about the change-point in a sequence of random variables

1970 • 780 citations

A continuous time approach to the pricing of bonds

1979 • 776 citations

The information in the term structure

1984 • 689 citations

Time series analysis and simultaneous equation econometric models

1974 • 660 citations

An Exact Bond Option Formula

1989 • 652 citations

Term Structure of Interest Rates

2008 • 569 citations

Estimating continuous-time stochastic volatility models of the short-term interest rate

1997 • 531 citations

THE TAX‐ADJUSTED YIELD CURVE

1975 • 518 citations

The Changing Behavior of the Term Structure of Interest Rates

1986 • 513 citations

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

1992 • 462 citations

Taylor's rule and the Fed, 1970-1997

1998 • 453 citations

Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates

1983 • 447 citations

Federal Reserve interest rate targeting, rational expectations, and the term structure

1995 • 417 citations

Is the Fisher effect for real?

1992 • 407 citations

A Cointegration Analysis of Treasury Bill Yields

1992 • 391 citations

An Equilibrium Model of Bond Pricing and a Test of Market Efficiency

1982 • 377 citations

Federal Reserve interest rate targeting, rational expectations, and the term structure

1995 • 374 citations

A Cointegration Analysis of Treasury Bill Yields

2008 • 356 citations

The Long-Run Relationship between Nominal Interest Rates and Inflation: The Fisher Equation Revisited

1996 • 321 citations

Testing a Sequence of Observations for a Shift in Location

1977 • 314 citations

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

1995 • 277 citations

Tests of the Hypothesis that a Linear Regression System Obeys Two Separate Regimes

1960 • 258 citations

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

1992 • 244 citations

Testing for Common Features

1993 • 230 citations

Inflation regimes and the sources of inflation uncertainty

1993 • 218 citations

Inflation Regimes and the Sources of Inflation Uncertainty

1993 • 214 citations

Monetary policy regime shifts and the unusual behavior of real interest rates

1986 • 204 citations

The term structure of real interest rates and the Cox, Ingersoll, and Ross model

1994 • 199 citations

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

1979 • 190 citations

An Exact Bond Option Formula

1989 • 174 citations

A Defense of Traditional Hypotheses about the Term Structure of Interest Rates

1986 • 174 citations

Long-Memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates

1993 • 170 citations

The Predictive Power of the Term Structure during Recent Monetary Regimes

1988 • 163 citations

The Central Tendency: A Second Factor in Bond Yields

1998 • 156 citations

U.S. term structure data, 1947-1991

1993 • 149 citations

A Two-Factor Model of the Term Structure: An Approximate Analytical Solution

1984 • 146 citations

The Tax-Adjusted Yield Curve

1975 • 143 citations

Cointegration and the US term structure

1994 • 141 citations

Benchmarking the Expectations Hypothesis of the Interest-Rate Term Structure: An Analysis of Cointegration Vectors

1992 • 119 citations

Chapter 13 The term structure of interest rates

1990 • 118 citations

Term structure views of monetary policy under alternative models of agent expectations

2001 • 115 citations

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

1995 • 85 citations

Testing a Sequence of Observations for a Shift in Location

1977 • 63 citations

Reverse Engineering the Yield Curve

1994 • 58 citations

Conditional Predictions of Bond Prices and Returns

1980 • 57 citations

Interest Rate Options in Multifactor Cox-Ingersoll-Ross Models of the Term Structure

1995 • 50 citations

Benchmarking the Expectations Hypothesis of the Interest-Rate Term Structure: An Analysis of Cointegration Vectors

1992 • 33 citations

The Predictive Power of the Term Structure During Recent Monetary Regimes

1988 • 32 citations

A Defense of Traditional Hypotheses about the Term Structure of Interest Rates

1986 • 31 citations

THE TERM STRUCTURE OF INTEREST RATES AS A COINTEGRATED SYSTEM: EMPIRICAL EVIDENCE FROM THE EUROCURRENCY MARKET

1992 • 29 citations

NEW EVIDENCE CONCERNING THE EXPECTATIONS THEORY FOR THE SHORT END OF THE MATURITY SPECTRUM

1991 • 29 citations

Inflation, Learning and Monetary Policy Regimes in The G-7 Economies

1995 • 24 citations

Conditional Predictions of Bond Prices and Returns

1980 • 19 citations

Estimating and Testing Exponential Affine Term Structure Models by Kalman Filter

1995 • 17 citations

Estimation of Term Premiums from Average Yield Differentials in the Term Structure of Interest Rates

1972 • 13 citations

The Fisher Hypothesis and Inflation Persistence: Evidence From Five Major Industrial Countries

1995 • 10 citations

A three-factor econometric model of the U.S. term structure

1997 • 8 citations

A Three-Factor Econometric Model of the U.S. Term Structure

2006 • 4 citations