RDP 2008-03: Monetary Transmission and the Yield Curve in a Small Open Economy References
June 2008
- Download the Paper 319KB
An S and F Schorfheide (2007), ‘Bayesian Analysis of DSGE Models’, Econometric Reviews, 26(2–4), pp 113–172.
Ang A and M Piazzesi (2003), ‘A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables’, Journal of Monetary Economics, 50(4), pp 745–787.
Backus DK, S Foresi and CI Telmer (2001), ‘Affine Term Structure Models and the Forward Premium Anomaly’, Journal of Finance, 56(1), pp 279–304.
Backus DK and JH Wright (2007), ‘Cracking the Conundrum’, NBER Working Paper No 13419.
Bekaert G, S Cho and A Moreno (2005), ‘New-Keynesian Macroeconomics and the Term Structure’, School of Economics and Business Administration, University of Navarra Faculty Working Paper No 04/05.
Bernanke BS, VR Reinhart and BP Sack (2004), ‘Monetary Policy Alternatives at the Zero Bound: An Empirical Assessment’, Brookings Papers on Economic Activity, 2, pp 1–78.
Campbell F and E Lewis (1998), ‘What Moves Yields in Australia?’, RBA Research Discussion Paper No 9808.
Dai Q and KJ Singleton (2000), ‘Specification Analysis of Affine Term Structure Models’, Journal of Finance, 55(5), pp 1943–1978.
Duffie D and R Kan (1996), ‘A Yield-Factor Model of Interest Rates’, Mathematical Finance, 6(4), pp 379–406.
Evans CL and DA Marshall (1998), ‘Monetary Policy and the Term Structure of Nominal Interest Rates: Evidence and Theory’, Carnegie-Rochester Conference Series on Public Policy, 49, pp 53–111.
Galí J and T Monacelli (2005), ‘Monetary Policy and Exchange Rate Volatility in a Small Open Economy’, Review of Economic Studies, 72(3), pp 707–734.
Griffoli TM (2007), ‘Dynare User Guide: An Introduction to the Solution & Estimation of DSGE Models’, available at <http://www.cepremap.cnrs.fr/dynare/>.
Hördahl P, O Tristani and D Vestin (2006), ‘A Joint Econometric Model of Macroeconomic and Term-Structure Dynamics’, Journal of Econometrics, 131(1–2), pp 405–444.
Ireland PN (2004), ‘Technology Shocks in the New Keynesian Model’, Review of Economics and Statistics, 86(4), pp 923–936.
Jääskelä J and M Kulish (2007), ‘The Butterfly Effect of Small Open Economies’, RBA Research Discussion Paper No 2007–06.
Justiniano A and B Preston (2006), ‘Can Structural Small Open Economy Models Account for the Influence of Foreign Disturbances?’, Australian National University Centre for Applied Macroeconomic Analysis Working Paper No 12/2006.
Knez PJ, R Litterman and J Scheinkman (1994), ‘Explorations into Factors Explaining Money Market Returns’, Journal of Finance, 49(5), pp 1861–1882.
Lubik T and F Schorfheide (2006), ‘A Bayesian Look at New Open Economy Macroeconomics’, in M Gertler and K Rogoff (eds), NBER Macroeconomics Annual 2005, MIT Press, Cambridge, pp 313–366.
Nimark K (2007), ‘A Structural Model of Australia as a Small Open Economy’, RBA Research Discussion Paper No 2007–01.
Rotemberg J and M Woodford (1997), ‘Interest Rate Rules in an Estimated Sticky Price Model’, in JB Taylor (ed), NBER Business Cycles Series, Volume 31, MIT Press, Cambridge, pp 57–119.
Rudebusch GD and T Wu (2004), ‘A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economy’, Federal Reserve Bank of San Francisco Working Paper No 2003–17.
Shiller RJ (1979), ‘The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure’, Journal of Political Economy, 87(6), pp 1190–1219.
Tarditi A (1996), ‘Modelling the Australian Exchange Rate, Long Bond Yield and Inflationary Expectations’, RBA Research Discussion Paper No 9608.
Woodford M (2003), Interest and Prices: Foundations of a Theory of Monetary Policy, Princeton University Press, Princeton.