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Correcting Estimation Bias in Dynamic Term Structure Models. (2012). Wu, Jing Cynthia ; Rudebusch, Glenn ; Bauer, Michael.
In: Journal of Business & Economic Statistics.
RePEc:taf:jnlbes:v:30:y:2012:i:3:p:454-467.

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  2. .

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  4. Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!. (2023). Haque, Qazi ; Hambur, Jonathan.
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  5. Correcting estimation bias in regime switching dynamic term structure models. (2023). Liu, Liu ; Cho, Sungjun.
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    RePEc:kap:rqfnac:v:61:y:2023:i:3:d:10.1007_s11156-023-01182-z.

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  6. Decomposing the yield curve with linear regressions and survey information. (2023). Halberstadt, Arne.
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    RePEc:eee:quaeco:v:91:y:2023:i:c:p:25-39.

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  7. Central bank credibility during COVID-19: Evidence from Japan. (2023). Spiegel, Mark M.
    In: Journal of International Money and Finance.
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  8. Term premium in a fractionally cointegrated yield curve. (2023). Abbritti, Mirko ; Moreno, Antonio ; Gil-Alana, Luis ; Carcel, Hector.
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  9. A shadow rate without a lower bound constraint. (2023). Ristiniemi, Annukka ; de Rezende, Rafael B.
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  10. Sovereign yield curves and the COVID-19 in emerging markets. (2023). Moura, Rubens ; Candelon, Bertrand.
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  11. (Un)expected monetary policy shocks and term premia. (2022). Meyergohde, Alexander ; Kliem, Martin .
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    In: International Review of Economics & Finance.
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  14. A reconsideration of the failure of uncovered interest parity for the U.S. dollar. (2022). Xiang, Nan ; Wang, Mengqi ; Kazakova, Katya ; Engel, Charles.
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  15. Monetary reforms and inflation expectations in Japan: Evidence from inflation-indexed bonds. (2022). Spiegel, Mark M.
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    In: Discussion Papers.
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  17. Information in the Term Structure: A Forecasting Perspective. (2021). Liu, Rui ; Jacobs, Kris ; Doshi, Hitesh.
    In: Management Science.
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  18. Inflation Expectations and Risk Premia in Emerging Bond Markets: Evidence from Mexico. (2021). Christensen, Jens ; Zhu, Simon ; Fischer, Eric ; Beauregard, Remy.
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  19. Central Bank Credibility During COVID-19: Evidence from Japan. (2021). Spiegel, Mark ; Christensen, Jens.
    In: Working Paper Series.
    RePEc:fip:fedfwp:93581.

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  20. Monetary policy surprises and their transmission through term premia and expected interest rates. (2021). Ustek, Roman ; Mumtaz, Haroon ; Kaminska, Iryna.
    In: Journal of Monetary Economics.
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  21. Reconstructing the yield curve. (2021). Wu, Jing Cynthia ; Liu, Yan.
    In: Journal of Financial Economics.
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  22. Modeling persistent interest rates with double-autoregressive processes. (2021). Hansen, Anne Lundgaard.
    In: Journal of Banking & Finance.
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  23. The international spillover effects of US monetary policy uncertainty. (2021). Lakdawala, Aeimit ; Schaffer, Matthew ; Moreland, Timothy.
    In: Journal of International Economics.
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  24. Can interest rate factors explain exchange rate fluctuations?. (2021). Yung, Julieta.
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  25. Monetary policy at the zero lower bound: Information in the Federal Reserve’s balance sheet. (2021). Golinski, Adam ; Goliski, Adam.
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  26. Interest rate trends in a global context. (2021). Tesar, Linda L ; Stolyarov, Dmitriy.
    In: Economic Modelling.
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  27. MoNK: Mortgages in a New-Keynesian model. (2021). Ustek, Roman ; Kydland, Finn E ; Garriga, Carlos.
    In: Journal of Economic Dynamics and Control.
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  28. A Reconsideration of the Failure of Uncovered Interest Parity for the U.S. Dollar. (2021). Engel, Charles ; Xiang, Nan ; Wang, Mengqi ; Kazakova, Ekaterina.
    In: CEPR Discussion Papers.
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  29. Monetary policy surprises and their transmission through term premia and expected interest rates. (2021). Sustek, Roman ; Mumtaz, Haroon ; Kaminska, Iryna.
    In: Bank of England working papers.
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  30. A Non-Knotty Inflation Risk Premium Model. (2021). Machado, Jose Valentim.
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  31. Tracing the impact of the ECBs asset purchase programme on the yield curve. (2020). Lemke, Wolfgang ; Eser, Fabian ; Vladu, Andreea ; Nyholm, Ken.
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  32. Bond risk premia in consumption?based models. (2020). Wu, Jing Cynthia ; Creal, Drew.
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  33. Official Demand for U.S. Debt: Implications for U.S. Real Rates. (2020). Zinna, Gabriele ; Kaminska, Iryna.
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  34. Negative interest rate policy and the yield curve. (2020). Xia, Fan Dora ; Wu, Jing Cynthia.
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  35. Predicting interest rates using shrinkage methods, real‐time diffusion indexes, and model combinations. (2020). Swanson, Norman ; Yang, Xiye ; Xiong, Weiqi.
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  36. The International Spillover Effects of US Monetary Policy Uncertainty. (2020). Lakdawala, Aeimit ; Schaffer, Matthew ; Moreland, Timothy.
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  37. Monetary policy surprises and their transmission through term premia and expected interest rates. (2020). Sustek, Roman ; Mumtaz, Haroon ; Kaminska, Iryna.
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  38. Reconstructing the Yield Curve. (2020). Wu, Jing Cynthia ; Liu, Yan.
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  39. Estimating nominal interest rate expectations: Overnight indexed swaps and the term structure. (2020). Lloyd, Simon.
    In: Journal of Banking & Finance.
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  40. Dissecting long-term Bund yields in the run-up to the ECB’s public sector purchase programme. (2020). Lemke, Wolfgang ; Werner, Thomas.
    In: Journal of Banking & Finance.
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  41. Trade effects of silver price fluctuations in 19th-century China: A macro approach. (2020). Zhang, Lin ; El-Shagi, Makram.
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  42. Monetary policy surprises and their transmission through term premia and expected interest rates. (2020). Sustek, Roman ; mumtaz, haroon ; Kaminska, Iryna.
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  43. Break-even inflation rates: the Italian case. (2020). Fanari, Marco ; di Iorio, Alberto.
    In: Questioni di Economia e Finanza (Occasional Papers).
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  44. Estimating the term structure with linear regressions: Getting to the roots of the problem. (2019). Spencer, Peter ; Golinski, Adam.
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  45. A New Normal for Interest Rates? Evidence from Inflation-Indexed Debt. (2019). Rudebusch, Glenn.
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  46. Yield Curve Dynamics and Fiscal Policy Shocks. (2019). Maršál, Aleš ; Maral, Ale ; Koeenda, Even ; Kueera, Adam.
    In: Working and Discussion Papers.
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  47. Interest Rate Trends in a Global Context. (2019). Tesar, Linda L ; Stolyarov, Dmitriy.
    In: Working Papers.
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  48. Speculation and the Bond Market: An Empirical No-Arbitrage Framework. (2019). Nimark, Kristoffer ; Barillas, Francisco.
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  49. MoNK: Mortgages in a New-Keynesian Model. (2019). Sustek, Roman ; Kydland, Finn ; Garriga, Carlos.
    In: Working Papers.
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  50. Bond Risk Premiums at the Zero Lower Bound. (2019). Meldrum, Andrew C ; Joergensen, Kasper ; Andreasen, Martin M.
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  51. Bond and option prices with permanent shocks. (2019). Al-Zoubi, Haitham A.
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  52. Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices. (2019). Rudebusch, Glenn ; Andreasen, Martin M.
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  53. Rationality tests in the presence of instabilities in finite samples. (2019). El-Shagi, Makram.
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  54. How does government spending news affect interest rates? Evidence from the United States. (2019). Liu, Dingming ; Dingming, Liu ; Yong, Chen .
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  55. A shadow rate New Keynesian model. (2019). Wu, Jing Cynthia ; Zhang, JI.
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  56. Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias. (2019). McLeish, Don L ; Boudreault, Mathieu ; Amaya, Diego.
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  57. Tracing the impact of the ECB’s asset purchase programme on the yield curve. (2019). Lemke, Wolfgang ; Eser, Fabian ; Vladu, Andreea Liliana ; Radde, Soren ; Nyholm, Ken.
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  58. MoNK: Mortgages in a New-Keynesian Model. (2019). Sustek, Roman ; Kydland, Finn ; Garriga, Carlos ; Carriga, carlos .
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  59. Back to the real economy: the effects of risk perception shocks on the term premium and bank lending. (2019). Yung, Julieta ; Bluwstein, Kristina.
    In: Bank of England working papers.
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  60. Bond Risk Premiums at the Zero Lower Bound. (2019). Meldrum, Andrew ; Jorgensen, Kasper ; Andreasen, Martin Moller.
    In: CREATES Research Papers.
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  61. Dissecting long-term Bund yields in the run-up to the ECBs Public Sector Purchase Programme. (2018). Lemke, Wolfgang ; Werner, Thomas.
    In: Annual Conference 2018 (Freiburg, Breisgau): Digital Economy.
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  62. With a little help from my friends: Survey-based derivation of euro area short rate expectations at the effective lower bound. (2018). Geiger, Felix ; Schupp, Fabian.
    In: Annual Conference 2018 (Freiburg, Breisgau): Digital Economy.
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  63. With a little help from my friends: Survey-based derivation of euro area short rate expectations at the effective lower bound. (2018). Schupp, Fabian ; Geiger, Felix.
    In: Discussion Papers.
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  64. The impact of monetary policy on local housing markets: Do regulations matter?. (2018). Tsang, Kwok Ping ; Sun, Xiaojin.
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  65. Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia. (2018). Finlay, Richard ; Hambur, Jonathan.
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  66. Empirical performance of Gaussian affine dynamic term structure models in the presence of autocorrelation misspecification bias. (2018). Juneja, Januj.
    In: Review of Quantitative Finance and Accounting.
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  67. A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States. (2018). Meldrum, Andrew C ; Andreasen, Martin M.
    In: Finance and Economics Discussion Series.
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  68. Macroeconomic determinants of the term structure: Long-run and short-run dynamics. (2018). Doshi, Hitesh ; Liu, Rui ; Jacobs, Kris.
    In: Journal of Empirical Finance.
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  69. Learning about Term Structure Predictability under Uncertainty. (2018). Cao, Shuo.
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  70. The information in the joint term structures of bond yields. (2018). Spencer, Peter ; Raczko, Marek ; Meldrum, Andrew.
    In: Bank of England working papers.
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  71. Estimating nominal interest rate expectations: overnight indexed swaps and the term structure. (2018). Lloyd, Simon.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0763.

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  72. A shadow rate New Keynesian model. (2017). Wu, Jing Cynthia ; Zhang, JI.
    In: 2017 Meeting Papers.
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  73. Term Structure Models with Negative Interest Rates. (2017). Ueno, Yoichi .
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  74. Term Structure Analysis with Big Data. (2017). Rudebusch, Glenn ; Christensen, Jens ; Andreasen, Martin.
    In: Working Paper Series.
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  75. Interest Rates Under Falling Stars. (2017). Rudebusch, Glenn ; Bauer, Michael.
    In: Working Paper Series.
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  76. A New Normal for Interest Rates? Evidence from Inflation-Indexed Debt. (2017). Rudebusch, Glenn ; Christensen, Jens.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2017-07.

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  77. China Monetary Policy Transmission in China: Dual Shocks with Dual Bond Markets. (2017). Jiang, Lunan ; El-Shagi, Makram.
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  78. How Germany benefits the most from its Eurozone membership. (2017). Juneja, Januj.
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  79. The interest rate effects of government bond purchases away from the lower bound. (2017). De Rezende, Rafael.
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  80. Dealing with small sample bias in post-crisis samples. (2017). El-Shagi, Makram.
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  81. Dissecting long-term Bund yields in the run-up to the ECBs Public Sector Purchase Programme. (2017). Lemke, Wolfgang ; Werner, Thomas.
    In: Working Paper Series.
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  82. Below the zero lower bound: a shadow-rate term structure model for the euro area. (2017). Lemke, Wolfgang ; Vladu, Andreea Liliana .
    In: Working Paper Series.
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  83. Unconventional Monetary Policy and the Interest Rate Channel: Signalling and Portfolio Rebalancing. (2017). Lloyd, Simon.
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  84. Estimating Nominal Interest Rate Expectations: Overnight Indexed Swaps and the Term Structure. (2017). Lloyd, Simon.
    In: Cambridge Working Papers in Economics.
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  85. Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions. (2017). Diez de los Rios, Antonio.
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  86. Quantitative Easing and Long-Term Yields in Small Open Economies. (2017). Shamloo, Maral ; Diez de los Rios, Antonio.
    In: Staff Working Papers.
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  87. Term Structure Analysis with Big Data. (2017). Rudebusch, Glenn ; Andreasen, Martin M.
    In: CREATES Research Papers.
    RePEc:aah:create:2017-31.

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  88. Macroeconomic trade effects of vehicle currencies: Evidence from 19th century China. (2016). Zhang, Lin ; El-Shagi, Makram.
    In: IWH Discussion Papers.
    RePEc:zbw:iwhdps:232016.

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  89. Below the zero lower bound: A shadow-rate term structure model for the euro area. (2016). Lemke, Wolfgang ; Vladu, Andreea L.
    In: Discussion Papers.
    RePEc:zbw:bubdps:322016.

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  90. Monetary Policy Expectations at the Zero Lower Bound. (2016). Rudebusch, Glenn ; Bauer, Michael.
    In: Journal of Money, Credit and Banking.
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  91. Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound. (2016). Xia, Fan Dora ; Wu, Jing Cynthia.
    In: Journal of Money, Credit and Banking.
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  92. Nominal term structure and term premia: evidence from Chile. (2016). Naudon, Alberto ; Ceballos, Luis ; Romero, Damian .
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  93. A Shadow Rate New Keynesian Model. (2016). Wu, Jing Cynthia ; Zhang, JI.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:22856.

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  94. Bond Risk Premia in Consumption-based Models. (2016). Wu, Jing Cynthia ; Creal, Drew.
    In: NBER Working Papers.
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  95. A plausible model of yield curve dynamics. (2016). Magnus, Gideon.
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    In: Journal of Banking & Finance.
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  109. Monetary Policy Expectations at the Zero Lower Bound. (2015). Rudebusch, Glenn ; Bauer, Michael ; GlennD. Rudebusch, .
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  110. A probability-based stress test of Federal Reserve assets and income. (2015). Rudebusch, Glenn ; Lopez, Jose.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:73:y:2015:i:c:p:26-43.

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  111. Financial conditions, macroeconomic factors and disaggregated bond excess returns. (2015). Menkhoff, Lukas ; Fricke, Christoph.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:58:y:2015:i:c:p:80-94.

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    In: Journal of Econometrics.
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    In: Journal of Econometrics.
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    In: Economics Letters.
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  115. Approximate Non-Similar critical values based tests vs Maximized Monte Carlo tests. (2015). Sriananthakumar, Sivagowry .
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  119. Restrictions on Risk Prices in Dynamic Term Structure Models. (2015). Bauer, Michael.
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  120. Resolving the Spanning Puzzle in Macro-Finance Term Structure Models. (2015). Rudebusch, Glenn ; Bauer, Michael ; GlennD. Rudebusch, .
    In: CESifo Working Paper Series.
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  121. Long-run priors for term structure models. (2015). Roberts-Sklar, Matt ; Meldrum, Andrew.
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  122. Dynamic term structure models: the best way to enforce the zero lower bound in the United States. (2015). Meldrum, Andrew ; Andreasen, Martin M.
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    In: Faculty Working Papers.
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    In: NBER Working Papers.
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  129. The Signaling Channel for Federal Reserve Bond Purchases. (2014). Rudebusch, Glenn ; Bauer, Michael ; GlennD. Rudebusch, .
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  130. Bias-Correction in Vector Autoregressive Models: A Simulation Study. (2014). Pedersen, Thomas ; Engsted, Tom.
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  131. Can Spanned Term Structure Factors Drive Stochastic Yield Volatility?. (2014). Rudebusch, Glenn ; Lopez, Jose ; Christensen, Jens ; Christensen, Jens H. E., .
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  132. Can interest rate factors explain exchange rate fluctuations?. (2014). Yung, Julieta.
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  134. Risk premia in crude oil futures prices. (2014). Wu, Jing Cynthia ; Hamilton, James.
    In: Journal of International Money and Finance.
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  135. Term structure estimation in the presence of autocorrelation. (2014). Juneja, Januj.
    In: The North American Journal of Economics and Finance.
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  136. Evaluating the robustness of UK term structure decompositions using linear regression methods. (2014). Meldrum, Andrew ; Malik, Sheheryar.
    In: Bank of England working papers.
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  137. Expectations, risk premia and information spanning in dynamic term structure model estimation. (2014). Guimaraes, Rodrigo ; Guimares, Rodrigo .
    In: Bank of England working papers.
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  139. How much of bank credit risk is sovereign risk? Evidence from the eurozone. (2014). Zinna, Gabriele ; Li, Junye .
    In: Temi di discussione (Economic working papers).
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  140. Price pressures in the UK index-linked market: an empirical investigation. (2014). Zinna, Gabriele.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_968_14.

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    In: Temi di discussione (Economic working papers).
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  142. What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?. (2014). Diez de los Rios, Antonio ; Bauer, Gregory ; Alquist, Ron.
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  143. Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Comment. (2014). Wu, Jing Cynthia ; Rudebusch, Glenn ; Bauer, Michael.
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  144. Dynamic term structure models: The best way to enforce the zero lower bound. (2014). Meldrum, Andrew ; Andreasen, Martin M..
    In: CREATES Research Papers.
    RePEc:aah:create:2014-47.

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  145. Paths of a Continuum of Independent Random Variables. (2013). Sun, Xiaojin.
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  146. Prediction Bias Correction for Dynamic Term Structure Models. (2013). Raviv, Eran .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130041.

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  147. The Shadow Rate, Taylor Rules, and Monetary Policy Lift-off. (2013). Rudebusch, Glenn ; Bauer, Michael.
    In: 2013 Meeting Papers.
    RePEc:red:sed013:691.

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  148. Risk Premia in Crude Oil Futures Prices. (2013). Wu, Jing Cynthia ; Hamilton, James.
    In: NBER Working Papers.
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  149. Global Factors in the Term Structure of Interest Rates. (2013). Sola, Sergio ; Moreno, Antonio ; Abbritti, Mirko ; Dell'Erba, Salvatore.
    In: IMF Working Papers.
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  150. Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity. (2013). Viceira, Luis ; Pflueger, Carolin.
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  151. Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution?. (2013). Rudebusch, Glenn ; Christensen, Jens ; Christensen, Jens H. E., .
    In: Working Paper Series.
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  152. A Probability-Based Stress Test of Federal Reserve Assets and Income. (2013). Rudebusch, Glenn ; Lopez, Jose ; Christensen, Jens ; Christensen, Jens H. E., .
    In: Working Paper Series.
    RePEc:fip:fedfwp:2013-38.

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  153. Estimating Shadow-Rate Term Structure Models with Near-Zero Yields. (2013). Rudebusch, Glenn ; Christensen, Jens ; Jens H. E. Christensen, .
    In: Working Paper Series.
    RePEc:fip:fedfwp:2013-07.

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  154. What caused the decline in long-term yields?. (2013). Rudebusch, Glenn ; Bauer, Michael ; GlennD. Rudebusch, .
    In: FRBSF Economic Letter.
    RePEc:fip:fedfel:y:2013:i:july8:n:2013-19.

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  155. A New Linear Estimator for Gaussian Dynamic Term Structure Models. (2013). Diez de los Rios, Antonio.
    In: Staff Working Papers.
    RePEc:bca:bocawp:13-10.

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  156. Health and Wealth: Short Panel Granger Causality Tests for Developing Countries. (2012). Roy, Nilanjana ; Clarke, Judith ; Chen, Weichun .
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  157. Term Structure Persistence. (2012). Moreno, Antonio ; Lovcha, Yuliya ; Gil-Alana, Luis ; Abbritti, Mirko.
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  158. International channels of the Fed’s unconventional monetary policy. (2012). Neely, Christopher ; Bauer, Michael.
    In: Working Papers.
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  159. Methods of policy accommodation at the interest-rate lower bound. (2012). Woodford, Michael.
    In: Proceedings - Economic Policy Symposium - Jackson Hole.
    RePEc:fip:fedkpr:y:2012:p:185-288.

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    RePEc:fip:fedfwp:2012-12.

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  161. The response of interest rates to U.S. and U.K. quantitative easing. (2012). Rudebusch, Glenn ; Christensen, Jens ; Jens H. E. Christensen, .
    In: Working Paper Series.
    RePEc:fip:fedfwp:2012-06.

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