Shifting endpoints in the term structure of interest rates

By S. Kozicki, P. Tinsley. 2001

415 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/7ed0c9b549489411db10e5622d035cd94c50be1c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility (2011, background): “As emphasized by, for example, Kozicki and Tinsley (2001a, 2001b), as the horizon increases, forecasts are increasingly determined by the steady states.”
Inflation Expectations, Real Rates, and Risk Premia: Evidence from Inflation Swaps (2011, neutral): “Kozicki and Tinsley (2001) show that a " shifting endpoint " for the short term interest rate process captures historical changes in market perceptions of the policy target for inflation and significantly improves long-horizon forecasts of short term interest rates.”
Term Structure Estimation with Survey Data on Interest Rate Forecasts (2005, background): “Figure 1 shows two survey measures of long-term inflation expectations, one from the Federal Reserve Bank of Philadelphia Survey of Professional Forecasters (SPF) and the other from the Michigan survey 5A notable exception is Kozicki and Tinsley (2001).”
Anchored Inflation Expectations (2020, neutral): “We study the anticipated utility solution of the model — see Kreps (1998), Sargent (1999) and Eusepi and Preston (2018b) — so that beliefs about the inflation target satisfy”
The Macroeconomic Effects of Inflation Targeting (2004, background): “See also Bernanke and Kuttner (2003), Bonfim (2003) and Kozicki and Tinsley (2001a, 2001b) .”
Advances in Forecast Evaluation (2011, positive): “In light of evidence of signi cant shifts in trend in ation (see, e.g., Kozicki and Tinsley (2001), Stock and Watson (2007), and Clark and Doh (2011)), we use models of in ation relative to a lagged trend, where trend is de ned as the long-run in ation forecast from a survey of professional…”
Measuring the Natural Rate of Interest (2001, methodology): “1 See also Bomfim (1997), who estimates the natural rate of interest using the Federal Reserve Board’s now decommissioned MPS model, and Kozicki and Tinsley (2001) and Bomfim (2001), who use forward rates derived from Treasury bonds and proxies of long-run inflation expectations to estimate…”
Fitting observed inflation expectations (2011, neutral): “…DSGE literature (e.g., Smets and Wouters, 2003; Cogley and Sbordone, 2008; Justiniano et al., 2010), and are also popular in macro-finance (e.g., Kozicki and Tinsley, 2001; Gurkaynak et al., 2005; Rudebusch and Swanson, 2008; Dewachter, 2008). infer the time-varying target from the behavior of…”
Changes in the Federal Reserve's Inflation Target: Causes and Consequences (2007, background): “First, Kozicki and Tinsley (2001), Dewachter and Lyrio (2003), Rudebusch andWu (2004), and Gurkaynak, Sack, and Swanson (2005) argue that the behavior of both short- and long-term interest rates in the U.S. data becomes easier to reconcile with the expectations hypothesis of the term structure if…”