Add to ORKGweiminx.htm Changes in nominal interest rates must be due to either movements in real interest rates, expected inflation, or the inflation risk premium. We develop a term structure model with regime switches, time-varying prices of risk, and inflation to identify these components of the nominal yield curve. We find that the unconditional real rate curve in the U.S. is fairly fla
Chapter one proposes a new model for estimating economic agents' anticipation of the real rate of in...
This paper estimates the size and dynamics of ination risk premia in the euro area, based on a joint...
This paper presents a no-arbitrage yield-curve model that explicitly incorporates the central-bank p...
weiminx.htm Changes in nominal interest rates must be due to either movements in real interest rates...
Changes in nominal interest rates must be due to either movements in real interest rates, expected i...
Changes in nominal interest rates must be due to either movements in real interest rates or expected...
We propose a model for nominal and real term structures of interest rates that includes dynamics for...
We decompose the term structure of expected equity returns into (1) the real short rate, (2) a premi...
The views expressed herein are those of the author and do not necessarily reflect those of the Reser...
The conduct of monetary policy, the term structure of interest rates and the structure of the econom...
We decompose the term structure of expected equity returns into (1) the real short rate, (2) a premi...
In this paper I propose a regime-switching approach to explain why the U.S. nominal yield curve on a...
UnrestrictedThere are two separate literatures studying the bidirectional relationship between monet...
This dissertation explores the interaction of the term structure of interest rates and the macroecon...
Less than you think. Macro-finance term structure models rely too heavily on the volatility of expec...
Chapter one proposes a new model for estimating economic agents' anticipation of the real rate of in...
This paper estimates the size and dynamics of ination risk premia in the euro area, based on a joint...
This paper presents a no-arbitrage yield-curve model that explicitly incorporates the central-bank p...
weiminx.htm Changes in nominal interest rates must be due to either movements in real interest rates...
Changes in nominal interest rates must be due to either movements in real interest rates, expected i...
Changes in nominal interest rates must be due to either movements in real interest rates or expected...
We propose a model for nominal and real term structures of interest rates that includes dynamics for...
We decompose the term structure of expected equity returns into (1) the real short rate, (2) a premi...
The views expressed herein are those of the author and do not necessarily reflect those of the Reser...
The conduct of monetary policy, the term structure of interest rates and the structure of the econom...
We decompose the term structure of expected equity returns into (1) the real short rate, (2) a premi...
In this paper I propose a regime-switching approach to explain why the U.S. nominal yield curve on a...
UnrestrictedThere are two separate literatures studying the bidirectional relationship between monet...
This dissertation explores the interaction of the term structure of interest rates and the macroecon...
Less than you think. Macro-finance term structure models rely too heavily on the volatility of expec...
Chapter one proposes a new model for estimating economic agents' anticipation of the real rate of in...
This paper estimates the size and dynamics of ination risk premia in the euro area, based on a joint...
This paper presents a no-arbitrage yield-curve model that explicitly incorporates the central-bank p...