Details about Marco Lyrio

Access statistics for papers by Marco Lyrio.

Last updated 2020-07-10. Update your information in the RePEc Author Service.

Short-id: ply4

Working Papers

2018

1. A macro-financial analysis of the corporate bond market
   Working Paper Series, European Central Bank
   Also in Working Paper Research, National Bank of Belgium (2018)
   See also Journal Article A macro–financial analysis of the corporate bond market, Empirical Economics, Springer (2019) View citations (3) (2019)

2014

2. A macro-financial analysis of the euro area sovereign bond market
   Working Paper Research, National Bank of Belgium View citations (8)
   See also Journal Article A macro-financial analysis of the euro area sovereign bond market, Journal of Banking & Finance, Elsevier (2015) View citations (47) (2015)
3. Information in the yield curve: A Macro-Finance approach
   Working Paper Research, National Bank of Belgium View citations (27)
   Also in Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa (2011) View citations (18)
   See also Journal Article INFORMATION IN THE YIELD CURVE: A MACRO‐FINANCE APPROACH, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2014) View citations (12) (2014)

2013

4. Previsão dos preços de commodities por meio das taxas de câmbio
   Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa

2011

5. A New-Keynesian Model of the Yield Curve with Learning Dynamics: A Bayesian Evaluation
   Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa View citations (2)
   Also in MPRA Paper, University Library of Munich, Germany (2011) View citations (2)
6. Dynamic Forecasting Rules and the Complexity of Exchange Rate Dynamics
   Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa View citations (2)
   See also Journal Article Dynamic Forecasting Rules and the Complexity of Exchange Rate Dynamics, Review of Business and Economic Literature, Intersentia (2011) View citations (2) (2011)

2006

7. A Structural Macro Model of the Yield Curve
   Computing in Economics and Finance 2006, Society for Computational Economics View citations (1)
8. A multi-factor model for the valuation and risk managment of demand deposits
   Working Paper Research, National Bank of Belgium View citations (5)

2004

9. Filtering Long-Run Inflation Expectations with a Structural Macro Model of the Yield Curve
   Computing in Economics and Finance 2004, Society for Computational Economics View citations (1)

2003

10. Macro Factors and the Term Structure of Interest Rates
    International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics View citations (44)
    Also in ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam (2003) View citations (14)
    Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven (2003)
    International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics (2002) View citations (25)
    See also Journal Article Macro Factors and the Term Structure of Interest Rates, Journal of Money, Credit and Banking, Blackwell Publishing (2006) View citations (188) (2006)
11. The Cost of Technical Trading Rules in the Forex Market: A Utility-based Evaluation
    ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam View citations (1)
    See also Journal Article The cost of technical trading rules in the Forex market: A utility-based evaluation, Journal of International Money and Finance, Elsevier (2006) View citations (3) (2006)

2002

12. The Economic Value of Technical Trading Rules: A Non-parametric Utility-based Approach
    International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics
    See also Journal Article The economic value of technical trading rules: a nonparametric utility-based approach, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2005) View citations (12) (2005)
13. The Effect of Monetary Unification on German Bond Markets
    Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven View citations (4)
    Also in International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics (2001) View citations (8)
    International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics (2001)
    See also Journal Article The Effect of Monetary Unification on German Bond Markets, European Financial Management, European Financial Management Association (2004) View citations (10) (2004)

2001

14. A Joint Model for the Term Structure of Interest Rates and the Macroeconomy
    International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics View citations (10)
    See also Journal Article A joint model for the term structure of interest rates and the macroeconomy, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2006) View citations (39) (2006)
15. Estimation of a Joint Model for the Term Structure of Interest Rates and the Macroeconomy
    International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics View citations (13)

1999

16. Multiple Equilibria and the Credibility of the Brazilian "Crawling Peg", 1995-1998
    Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven
    Also in International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics (1999) View citations (1)
    See also Journal Article Multiple Equilibria and the Credibility of the Brazilian ‘Crawling Peg’, 1995–1998, International Finance, Wiley Blackwell (2000) View citations (1) (2000)

Journal Articles

2019

1. A macro–financial analysis of the corporate bond market
   Empirical Economics, 2019, 57, (6), 1911-1933 View citations (3)
   See also Working Paper A macro-financial analysis of the corporate bond market, Working Paper Series (2018) (2018)

2015

2. A macro-financial analysis of the euro area sovereign bond market
   Journal of Banking & Finance, 2015, 50, (C), 308-325 View citations (47)
   See also Working Paper A macro-financial analysis of the euro area sovereign bond market, Working Paper Research (2014) View citations (8) (2014)

2014

3. INFORMATION IN THE YIELD CURVE: A MACRO‐FINANCE APPROACH
   Journal of Applied Econometrics, 2014, 29, (1), 42-64 View citations (12)
   See also Working Paper Information in the yield curve: A Macro-Finance approach, Working Paper Research (2014) View citations (27) (2014)

2011

4. Dynamic Forecasting Rules and the Complexity of Exchange Rate Dynamics
   Review of Business and Economic Literature, 2011, 56, (4), 454-472 View citations (2)
   See also Working Paper Dynamic Forecasting Rules and the Complexity of Exchange Rate Dynamics, Insper Working Papers (2011) View citations (2) (2011)

2006

5. A joint model for the term structure of interest rates and the macroeconomy
   Journal of Applied Econometrics, 2006, 21, (4), 439-462 View citations (39)
   See also Working Paper A Joint Model for the Term Structure of Interest Rates and the Macroeconomy, International Economics Working Papers Series (2001) View citations (10) (2001)
6. Macro Factors and the Term Structure of Interest Rates
   Journal of Money, Credit and Banking, 2006, 38, (1), 119-140 View citations (188)
   See also Working Paper Macro Factors and the Term Structure of Interest Rates, International Economics Working Papers Series (2003) View citations (44) (2003)
7. The cost of technical trading rules in the Forex market: A utility-based evaluation
   Journal of International Money and Finance, 2006, 25, (7), 1072-1089 View citations (3)
   See also Working Paper The Cost of Technical Trading Rules in the Forex Market: A Utility-based Evaluation, ERIM Report Series Research in Management (2003) View citations (1) (2003)

2005

8. The economic value of technical trading rules: a nonparametric utility-based approach
   International Journal of Finance & Economics, 2005, 10, (1), 41-62 View citations (12)
   See also Working Paper The Economic Value of Technical Trading Rules: A Non-parametric Utility-based Approach, International Economics Working Papers Series (2002) (2002)

2004

9. The Effect of Monetary Unification on German Bond Markets
   European Financial Management, 2004, 10, (3), 487-509 View citations (10)
   See also Working Paper The Effect of Monetary Unification on German Bond Markets, Working Papers of Department of Economics, Leuven (2002) View citations (4) (2002)

2000

10. Multiple Equilibria and the Credibility of the Brazilian ‘Crawling Peg’, 1995–1998
    International Finance, 2000, 3, (1), 1-23 View citations (1)
    See also Working Paper Multiple Equilibria and the Credibility of the Brazilian "Crawling Peg", 1995-1998, Working Papers of Department of Economics, Leuven (1999) (1999)

Books

2016

1. Developments in Macro-Finance Yield Curve Modelling
   Cambridge Books, Cambridge University Press
   Also in Cambridge Books, Cambridge University Press (2014) View citations (4)

Chapters

2008

1. Learning, Macroeconomic Dynamics and the Term Structure of Interest Rates
   A chapter in Asset Prices and Monetary Policy, 2008, pp 191-245 View citations (26)