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20

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21

,. ,' ,) .1996 (." : " "

". 96.11 , , .

Andersen, N., et al. (1996). Estimating and Interpreting the Yield Curve, John Wiley & Sons Ltd,

West Sussex, England.

Bekaert, G., R.J. Hodrick and D.A. Marshall (1995). "'Peso Problem' Explanations for Term Structure Anomalies", NBER Working Paper No. W6147

Campbell, J.Y, and Robert J. Shiller (1991)."Yield Spreads and Interest Rate Movements: A Bird's Eye View" ,Review of Economic Studies 58, 495-514.

Chib, S., and E. Greenberg (1996). "Markov Chain Monte-Carlo Simulation Methods in Econometrics" ,Econometric Theory 12, 409-431.

Cook, T. and T. Hahn (1990). "Interest Rate Expectations and the Slope of the Money Market Yield Curve" ,Federal Reserve Bank of Richmond Economic Review 76, 3-26.

Engle, R., D. Lilien and R.Robins (1987). "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model" ,Econometrica 55(2), 391-407.

Fama, E.F.(1984)."The Information in the Term Structure." Journal of Financial Economics 13, 509-528.

Fama, E.F. and K.R. French (1989). "Business Conditions and Expected Returns on Stocks and Bonds" ,Journal of Financial Economics 25, 23-49.

Friedman, B.M. (1979)."Substitution and Expectation Effects on Long-Term Borrowing Behavior and Long-Term Interest Rates" ,Journal of Money, Credit, and Banking II, No. 2, (May) ,131-150.

Froot K.A.(1989). “New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates”, Journal of Finance, XLIV, No. 2, 283-305

Gordon, M.(2003). "Estimates of Time-Varying Term Premia for New Zealand and Australia", Reserve Bank of New Zealand, Discussion Paper No. 2003/06.

Gravelle, T. and J. Morley (2005). "A Kalman Filter Approach to Characterizing the Canadian Term Structure of Interest Rates" ,Applied Financial Economics (forthcoming).

Hardouvelis, G.A. (1994). "The term structure spread and future changes in long and short rates in the G-7 countries –Is there a puzzle ? "Journal of Monetary Economics 33, 255-283.

Hicks, J. (1939). Value and Capital ,London: Oxford University Press.

Ilek, A. and D. Elkayam (2004). "The Information Content of Inflationary Expectations Derived from Bond Prices in Israel." Monetary Studies Discussion Paper Series, Bank of Israel.

Iyer, S. (1997). "Time-Varying Term Premia and the Behavior of Forward Interest Rate Prediction Errors" ,Journal of Financial Research 20, 503-507.

Kessel, R. (1965). “The cyclical behavior of the term structure of interest rates”, occasional paper no.91, National Bureau of Economic Research, Cambridge, Mass.

22

Kim, C.J. and C.R. Nelson (1999). State-Space Models with Regime Switching, Cambridge, Mass. and London: MIT Press.

Liviatan, N. and R. Melnick (1998). "Inflation and Disinflation by Steps in Israel." ResearchDepartment Discussion Paper No. 98.01, Bank of Israel.

Lutz, F.A. (1940). "The Structure of Interest Rates" ,Quarterly Journal of Economics 55, 36-63.

Mankiw, N.G.(1986)."The Term Structure of interest rates revisited", Brookings Papers on Economic Activity,1 ,61-96.

Mankiw, N.G. and J.A. Miron (1986). "The Changing Behavior of the Term Structure of Interest Rates" ,Quarterly journal of Economics, 101, 211-228.

Mankiw, N.G. and L.H. Summers (1984). "Do Long-Term Interest Rates Overreact to Short-Term Interest Rates ?", Brookings Papers on Economic Activity,1,61-96

McCulloch, J.(1987). "The Monotonicity of the Term Premium." Journal of Financial Economics 18, 185-192.

Modiligiani, F. and R. Sutch (1966)."Innovations in Interest rate policy", American Economic Review, 56, 178-97.

Newey ,Whitney K. and Kenneth .D. West, (1987). "Simple, Positive Semi-definite, Heterosckedasticity and Autocorrelation Consistent Covariance Matrix", Econometrica 55, 703-708

Smith, R.D. (2002). "Markov-Switching and Stochastic Volatility Diffusion Models of Shorts-Term Interest Rates" ,Journal of Business and Economic Statistics, 20, No. 2.

Startz, R. (1982). "Do Forecast Error or Term Premia Really Make the Difference between Long and Short Rates ?" Journal of Financial Economics 10, 323-329.

Taylor, M. (1992). "Modeling the Yield Curve" ,Economic Journal 102, 524-537.

Tzavalis, E. and M.R. Wickens (1997). "Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure" ,Journal of Money Credit and Banking, 29, 364-380.

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1.2

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

93 94 95 96 97 98 99 00 01 02 03

Residual Actual Fitted

27

.2 � 12

-.1

.0

.1

.2

.3

.4

.5

-6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6

PAAR

.3 � -12

0.0

0.5

1.0

1.5

2.0

2.5

3.0

92 93 94 95 96 97 98 99 00 01 02

standard deviation of 12 month forward rate

.4 � )k( 12,t

-4

-3

-2

-1

0

1

2

3

93 94 95 96 97 98 99 00 01 02 03