Decomposing the Yield Curve

By John H. Cochrane, Monika Piazzesi. 2009

316 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/7f25de0f5482fe30e88ca24912f61abbd4257e02

How researchers see this paper

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

In Finance

1. J. Wu
2. James D. Hamilton
3. G. Duffee
4. Drew D. Creal
5. John H. Cochrane
6. Kenneth J. Singleton
7. Jens H. E. Christensen
8. Martin Lettau

Citations in the corpus

• Testable Implications of Affine Term Structure Models (2011, methodology): “We show that the assumption that certain specified yields are priced without error is testable, and find that the implied measurement or specification error exhibits serial correlation in all of the possible formulations investigated here.”
• Presidential Address: Discount Rates (2011, background): “As a small step down this road, Cochrane and Piazzesi (2005, 2008) find that forward rates of all maturities help to forecast bond returns of each maturity.”
• Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility (2014, background): “Example #3: parameter constraints In our approach, a researcher can impose constraints – such as in Ang and Piazzesi(2003), Kim and Wright(2005), Cochrane and Piazzesi(2008) and Bauer(2014) – and still concentrate out parameters by linear regression.”
• A Tale of Two Decades: The Ecb's Monetary Policy at 20 (2019, unknown): “The Coenen and Vega (2001), Brand and Cassola (2004) and Calza, Gerdesmeier and Levy (2001) models (that latter referred to as CGL), are typical examples of such models that have featured prominently in ECB staff’s money demand analysis from 1999 onwards.”
• State-Varying Factor Models of Large Dimensions (2018, unknown): “The 27See Diebold et al. (2005), Diebold and Li (2006), Cochrane and Piazzesi (2005) and Cochrane and Piazzesi (2009).”
• Forecasting with the term structure: The role of no-arbitrage restrictions (2011, methodology): “In particular, Gaussian versions are employed by Duffee (2002), Dai and Singleton (2002), and Christensen, Diebold, and Rudebusch (2010) to predict Treasury yields, by Cochrane and Piazzesi (2008) to predict excess bond returns, and by Ang and Piazzesi (2003) to predict macroeconomic activity.”
• The Signaling Channel for Federal Reserve Bond Purchases (2013, unknown): “This reduces both small-sample bias and statistical uncertainty, so that short rate forecasts and term premium estimates are more reliable (Cochrane and Piazzesi, 2008; Joslin et al., 2012; Bauer, 2011).”