Economic determinants of the nominal treasury yield curve

By Charles L. Evans, David A. Marshall. 2007

279 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ff365ab482dbdb9457e6584ebeedb9586d3a959f

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

1. Giorgio Valente
2. Lucio Sarno
3. Daniel L. Thornton
4. Albert Lee Chun
5. Tae-Yong Doh
6. Mark P. Taylor
7. Don H. Kim
8. Athanasios Orphanides

In Finance

1. Giorgio Valente
2. Lucio Sarno
3. Albert Lee Chun
4. Daniel L. Thornton
5. Tae-Yong Doh
6. Mark P. Taylor
7. Don H. Kim
8. Athanasios Orphanides

Citations in the corpus

• The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields (2007, background): “Kozicki and Tinsley, 2001; Evans and Marshall, 2002; Ang and Piazzesi, 2003; Ang, 1Moreover, Kool and Thornton (2004) and Thornton (2005b) show how conventional tests may have generated”
• Fiscal Policy and the Term Structure of Interest Rates (2005, unknown): “…and Hubbard (2004) find small or nonexistent responses of interest rates; Laubach (2003) and Gale and Orszag (2003) find significant responses; Evans and Marshall (2002) find different responses of interest rates depending on whether they identify fiscal shocks using the Blanchard and Perotti…”
• Expectations, Bond Yields and Monetary Policy (2005, background): “…macroeconomic or monetary policy shocks.16 To illustrate, under the physical measure P, we saw in Figure 5 16Roley and Sellon (1995), Mehra (1996), Evans and Marshall (2007) and Gurkaynak, Sack, and Swanson (2005b) acknowledge the strong sensitivity of long-term interest rates to macroeconomic…”
• Yield curve in an estimated nonlinear macro model (2011, background): “Evans and Marshall (2007) use empirical measures of macro shocks to identify economic determinants of the nominal treasury bond yields.”
• The Yield Curve and the Macro-economy across Time and Frequencies" (Cef.up Working Paper nº. 2010-04, July 2010) (2012, unknown): “In the context of VAR models, Ang and Piazzesi (2003) found evidence that, in the U.S., macro variables explain a large part of the variation in yields, which Evans and Marshall (2007) confirmed and attributed mostly to the systematic reaction of monetary policy.”
• A consumption-based model of the term structure of interest rates ☆ (2006, unknown): “The expectations puzzle, documented by Campbell and Shiller (1991) and Fama and Bliss (1987), has long posed a challenge for general equilibrium models of the term structure.”