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Bond Supply and Excess Bond Returns

Citations

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. The Federal Reserve's Maturity Extension Program and Treasury debt management
    by James Hamilton in Econbrowser on 2012-08-08 16:55:53

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Eidam, Frederik, 2020. "Gap-filling government debt maturity choice," ESRB Working Paper Series 110, European Systemic Risk Board.
  2. christiaan Pattipeilohy, 2016. "A comparative analysis of developments in central bank balance sheet composition," BIS Working Papers 559, Bank for International Settlements.
  3. Christoph Trebesch & Jeromin Zettelmeyer, 2018. "ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 66(2), pages 287-332, June.
  4. Basil Guggenheim & Mario Meichle & Thomas Nellen, 2019. "Confederation debt management since 1970," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 155(1), pages 1-23, December.
  5. Pietrunti, Mario & Signoretti, Federico M., 2020. "Unconventional monetary policy and household debt: The role of cash-flow effects," Journal of Macroeconomics, Elsevier, vol. 64(C).
  6. King, Thomas B., 2019. "Expectation and duration at the effective lower bound," Journal of Financial Economics, Elsevier, vol. 134(3), pages 736-760.
  7. Fritz Breuss, 2016. "The Crisis Management of the ECB," WIFO Working Papers 507, WIFO.
  8. Robin Greenwood & Samuel G. Hanson, 2013. "Issuer Quality and Corporate Bond Returns," The Review of Financial Studies, Society for Financial Studies, vol. 26(6), pages 1483-1525.
  9. Fleming, Michael & Nguyen, Giang & Rosenberg, Joshua, 2024. "How do Treasury dealers manage their positions?," Journal of Financial Economics, Elsevier, vol. 158(C).
  10. Valentin Haddad & Alan Moreira & Tyler Muir, 2021. "When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response [Funding value adjustments]," The Review of Financial Studies, Society for Financial Studies, vol. 34(11), pages 5309-5351.
  11. Goliński, Adam, 2021. "Monetary policy at the zero lower bound: Information in the Federal Reserve’s balance sheet," European Economic Review, Elsevier, vol. 131(C).
  12. Massimo Guidolin & Valentina Massagli & Manuela Pedio, 2021. "Does the cost of private debt respond to monetary policy? Heteroskedasticity-based identification in a model with regimes," The European Journal of Finance, Taylor & Francis Journals, vol. 27(18), pages 1804-1833, December.
  13. Benedikt Ballensiefen & Angelo Ranaldo, 2023. "Safe Asset Carry Trade," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 13(2), pages 223-265.
  14. Michael D. Bauer & James D. Hamilton, 2018. "Robust Bond Risk Premia," The Review of Financial Studies, Society for Financial Studies, vol. 31(2), pages 399-448.
  15. Jason Choi & Andrew Foerster, 2021. "Optimal Monetary Policy Regime Switches," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 42, pages 333-346, October.
  16. Erdemlioglu, Deniz, 2009. "Macro Factors in UK Excess Bond Returns: Principal Components and Factor-Model Approach," MPRA Paper 28895, University Library of Munich, Germany.
  17. George-Marios Angeletos & Fabrice Collard & Harris Dellas, 2023. "Public Debt as Private Liquidity: Optimal Policy," Journal of Political Economy, University of Chicago Press, vol. 131(11), pages 3233-3264.
  18. Gourinchas, Pierre-Olivier & Rey, Hélène, 2014. "External Adjustment, Global Imbalances, Valuation Effects," Handbook of International Economics, in: Gopinath, G. & Helpman, . & Rogoff, K. (ed.), Handbook of International Economics, edition 1, volume 4, chapter 0, pages 585-645, Elsevier.
  19. Koijen, Ralph S.J. & Koulischer, François & Nguyen, Benoît & Yogo, Motohiro, 2021. "Inspecting the mechanism of quantitative easing in the euro area," Journal of Financial Economics, Elsevier, vol. 140(1), pages 1-20.
  20. Robin Greenwood & Samuel Hanson & Dimitri Vayanos, 2023. "Supply and Demand and the Term Structure of Interest Rates," NBER Working Papers 31879, National Bureau of Economic Research, Inc.
  21. John C. Williams, 2011. "Unconventional monetary policy: lessons from the past three years," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue oct3.
  22. James D. Hamilton, 2018. "The Efficacy of Large-Scale Asset Purchases When the Short-Term Interest Rate Is at Its Effective Lower Bound," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 49(2 (Fall)), pages 543-554.
  23. Christopher D. Cotton, 2024. "Debt, deficits and interest rates," Economica, London School of Economics and Political Science, vol. 91(363), pages 911-943, July.
  24. Tobias S. Blattner & Michael A. S. Joyce, 2020. "The Euro Area Bond Free Float and the Implications for QE," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(6), pages 1361-1395, September.
  25. Schlepper, Kathi & Riordan, Ryan & Hofer, Heiko & Schrimpf, Andreas, 2017. "Scarcity effects of QE: A transaction-level analysis in the Bund market," Discussion Papers 06/2017, Deutsche Bundesbank.
  26. Rakesh Kumar Verma & Rohit Bansal, 2023. "Stock Market Reaction on Green-Bond Issue: Evidence from Indian Green-Bond Issuers," Vision, , vol. 27(2), pages 264-272, April.
  27. Kristin Ulrike Löffler & Aleksandar Petreski & Andreas Stephan, 2021. "Drivers of green bond issuance and new evidence on the “greenium”," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(1), pages 1-24, March.
  28. Kenji Suganuma & Yoichi Ueno, 2018. "The Effects of the Bank of Japan's Corporate and Government Bond Purchases on Credit Spreads," IMES Discussion Paper Series 18-E-04, Institute for Monetary and Economic Studies, Bank of Japan.
  29. Jens H. E. Christensen & Signe Krogstrup, 2022. "A Portfolio Model of Quantitative Easing," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 12(04), pages 1-39, December.
  30. Hong-Yi Chen & Cheng Few Lee & Tzu Tai, 2020. "The Joint Determinants of Capital Structure and Stock Rate of Return: A LISREL Model Approach," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 35, pages 1345-1397, World Scientific Publishing Co. Pte. Ltd..
  31. Carolin E. Pflueger & Luis M. Viceira, 2011. "Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity," Harvard Business School Working Papers 11-094, Harvard Business School, revised Sep 2013.
  32. van der Wel, M., 2020. "Connecting Silos : On linking macroeconomics and finance, and the role of econometrics therein," ERIM Inaugural Address Series Research in Management 124748, 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..
  33. Janice C. Eberly & James H. Stock & Jonathan H. Wright, 2020. "The Federal Reserve's Current Framework for Monetary Policy: A Review and Assessment," International Journal of Central Banking, International Journal of Central Banking, vol. 16(1), pages 5-71, February.
  34. Peter Carr & Liuren Wu, 2023. "Decomposing Long Bond Returns: A Decentralized Theory," Review of Finance, European Finance Association, vol. 27(3), pages 997-1026.
  35. Howard Kung & Gonzalo Morales & Alexandre Corhay, 2017. "Fiscal Discount Rates and Debt Maturity," 2017 Meeting Papers 840, Society for Economic Dynamics.
  36. Simon Gilchrist & Egon Zakrajšek, 2013. "The Impact of the Federal Reserve's Large‐Scale Asset Purchase Programs on Corporate Credit Risk," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(s2), pages 29-57, December.
  37. Paolo Zagaglia, 2013. "Forecasting Long-Term Interest Rates with a General-Equilibrium Model of the Euro Area: What Role for Liquidity Services of Bonds?," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(4), pages 383-430, November.
  38. Paolo Zagaglia, 2011. "Forecasting Long-Term Interest Rates with a Dynamic General Equilibrium Model of the Euro Area: The Role of the Feedback," Working Paper series 19_11, Rimini Centre for Economic Analysis.
  39. Del Negro, Marco & Giannone, Domenico & Giannoni, Marc P. & Tambalotti, Andrea, 2019. "Global trends in interest rates," Journal of International Economics, Elsevier, vol. 118(C), pages 248-262.
  40. Neely, Christopher J., 2022. "How persistent are unconventional monetary policy effects?," Journal of International Money and Finance, Elsevier, vol. 126(C).
  41. Hanson, Samuel G. & Malkhozov, Aytek & Venter, Gyuri, 2024. "Demand-and-supply imbalance risk and long-term swap spreads," Journal of Financial Economics, Elsevier, vol. 154(C).
  42. Zhiguo He & Wei Xiong, 2012. "Rollover Risk and Credit Risk," Journal of Finance, American Finance Association, vol. 67(2), pages 391-430, April.
  43. Robin Greenwood & Samuel Hanson & Jeremy C. Stein, 2010. "A Gap‐Filling Theory of Corporate Debt Maturity Choice," Journal of Finance, American Finance Association, vol. 65(3), pages 993-1028, June.
  44. Robin Greenwood & Annette Vissing-Jorgensen, 2018. "The Impact of Pensions and Insurance on Global Yield Curves," Harvard Business School Working Papers 18-109, Harvard Business School, revised Dec 2018.
  45. Blattner, Tobias Sebastian & Joyce, Michael A. S., 2016. "Net debt supply shocks in the euro area and the implications for QE," Working Paper Series 1957, European Central Bank.
  46. Jing Cynthia Wu & Yinxi Xie, 2022. "(Un)Conventional Monetary and Fiscal Policy," NBER Working Papers 30706, National Bureau of Economic Research, Inc.
  47. Canzoneri, Matthew & Cumby, Robert & Diba, Behzad & López-Salido, David, 2013. "Key currency status: An exorbitant privilege and an extraordinary risk," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 371-393.
  48. Joseph E. Gagnon & Matthew Raskin & Julie Remache & Brian P. Sack, 2011. "Large-scale asset purchases by the Federal Reserve: did they work?," Economic Policy Review, Federal Reserve Bank of New York, vol. 17(May), pages 41-59.
  49. Tania Babina & Chotibhak Jotikasthira & Christian Lundblad & Tarun Ramadorai, 2021. "Heterogeneous Taxes and Limited Risk Sharing: Evidence from Municipal Bonds [The distribution of realized stock return volatility]," The Review of Financial Studies, Society for Financial Studies, vol. 34(1), pages 509-568.
  50. Gennaioli, Nicola & Martin, Alberto & Rossi, Stefano, 2018. "Banks, government Bonds, and Default: What do the data Say?," Journal of Monetary Economics, Elsevier, vol. 98(C), pages 98-113.
  51. John Y. Campbell & Robert J. Shiller & Luis M. Viceira, 2009. "Understanding Inflation-Indexed Bond Markets," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 40(1 (Spring), pages 79-138.
  52. Liu, Yan & Wu, Jing Cynthia, 2021. "Reconstructing the yield curve," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1395-1425.
  53. Saroj Bhattarai & Christopher J. Neely, 2022. "An Analysis of the Literature on International Unconventional Monetary Policy," Journal of Economic Literature, American Economic Association, vol. 60(2), pages 527-597, June.
  54. Anne-Charlotte Paret & Miss Anke Weber, 2019. "German Bond Yields and Debt Supply: Is There a “Bund Premium”?," IMF Working Papers 2019/235, International Monetary Fund.
  55. Rosen Valchev, 2015. "Exchange Rates and UIP Violations at Short and Long Horizons," 2015 Meeting Papers 1446, Society for Economic Dynamics.
  56. Iryna Kaminska & Gabriele Zinna, 2020. "Official Demand for U.S. Debt: Implications for U.S. Real Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(2-3), pages 323-364, March.
  57. Matthew Canzoneri & Robert Cumby & Behzad Diba, 2015. "Monetary Policy and the Natural Rate of Interest," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(2-3), pages 383-414, March.
  58. Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson†Siegel Models," Working Papers 639, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  59. Dario Caldara & Etienne Gagnon & Enrique Martínez García & Christopher J. Neely, 2021. "Monetary Policy and Economic Performance Since the Financial Crisis," Review, Federal Reserve Bank of St. Louis, vol. 103(4), pages 425-460, October.
  60. Sami Alpanda & Uluc Aysun & Serdar Kabaca, 2022. "International Portfolio Rebalancing and Fiscal Policy Spillovers," Working Papers 2022-01, University of Central Florida, Department of Economics.
  61. John Y. Campbell & Robert J. Shiller & Luis M. Viceira, 2009. "Understanding Inflation-Indexed Bond Markets," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 40(1 (Spring), pages 79-138.
  62. He, Zhiguo & Nagel, Stefan & Song, Zhaogang, 2022. "Treasury inconvenience yields during the COVID-19 crisis," Journal of Financial Economics, Elsevier, vol. 143(1), pages 57-79.
  63. Dimitri Vayanos & Jean‐Luc Vila, 2021. "A Preferred‐Habitat Model of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 89(1), pages 77-112, January.
  64. Stéphane Guibaud & Yves Nosbusch & Dimitri Vayanos, 2013. "Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt," The Review of Financial Studies, Society for Financial Studies, vol. 26(8), pages 1914-1961.
  65. Paul Schmidt-Engelbertz & Kaushik Vasudevan, 2024. "Speculating on Higher Order Beliefs," CESifo Working Paper Series 11217, CESifo.
  66. Warren B. Hrunga & Jason S. Seligman, 2015. "Responses to the Financial Crisis, Treasury Debt, and the Impact on Short-Term Money Markets," International Journal of Central Banking, International Journal of Central Banking, vol. 11(1), pages 151-190, January.
  67. Sebastian Beer, 2018. "A cost-risk analysis of sovereign debt composition in CESEE," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue Q1-18, pages 6-25.
  68. Matthew Canzoneri & Robert Cumby, 2008. "Macroeconomic Implications of a Key Currency," CDMA Conference Paper Series 0807, Centre for Dynamic Macroeconomic Analysis.
  69. Robert Kurtzman & David Zeke, 2020. "Misallocation Costs of Digging Deeper into the Central Bank Toolkit," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 38, pages 94-126, October.
  70. Jonathan H. Wright, 2011. "Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset," American Economic Review, American Economic Association, vol. 101(4), pages 1514-1534, June.
  71. Martina Cecioni & Giuseppe Ferrero & Alessandro Secchi, 2018. "Unconventional Monetary Policy in Theory and in Practice," World Scientific Book Chapters, in: Douglas D Evanoff & George G Kaufman & A G Malliaris (ed.), Innovative Federal Reserve Policies During the Great Financial Crisis, chapter 1, pages 1-36, World Scientific Publishing Co. Pte. Ltd..
  72. Antonio Diez de los Rios, 2020. "A Portfolio-Balance Model of Inflation and Yield Curve Determination," Staff Working Papers 20-6, Bank of Canada.
  73. Roberto A. De Santis & Fédéric Holm‐Hadulla, 2020. "Flow Effects of Central Bank Asset Purchases on Sovereign Bond Prices: Evidence from a Natural Experiment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(6), pages 1467-1491, September.
  74. Yasir Riaz & Choudhry T. Shehzad & Zaghum Umar, 2021. "The sovereign yield curve and credit ratings in GIIPS," International Review of Finance, International Review of Finance Ltd., vol. 21(3), pages 895-916, September.
  75. Fleckenstein, Matthias & Longstaff, Francis A., 2020. "The US Treasury floating rate note puzzle: Is there a premium for mark-to-market stability?," Journal of Financial Economics, Elsevier, vol. 137(3), pages 637-658.
  76. Carolin E. Pflueger & Luis M. Viceira, 2011. "Inflation-Indexed Bonds and the Expectations Hypothesis," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 139-158, December.
  77. Refet S. Gürkaynak & Jonathan H. Wright, 2012. "Macroeconomics and the Term Structure," Journal of Economic Literature, American Economic Association, vol. 50(2), pages 331-367, June.
  78. Doshi, Hitesh & Jacobs, Kris & Liu, Rui, 2018. "Macroeconomic determinants of the term structure: Long-run and short-run dynamics," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 99-122.
  79. Beetsma, Roel & Giuliodori, Massimo & Hanson, Jesper & de Jong, Frank, 2021. "The maturity of sovereign debt issuance in the euro area," Journal of International Money and Finance, Elsevier, vol. 110(C).
  80. Aytek Malkhozov & Philippe Mueller & Andrea Vedolin & Gyuri Venter, 2016. "Mortgage Risk and the Yield Curve," The Review of Financial Studies, Society for Financial Studies, vol. 29(5), pages 1220-1253.
  81. Robin Greenwood & Samuel G. Hanson & Dimitri Vayanos, 2016. "Forward Guidance in the Yield Curve: Short Rates versus Bond Supply," Central Banking, Analysis, and Economic Policies Book Series, in: Elías Albagli & Diego Saravia & Michael Woodford (ed.),Monetary Policy through Asset Markets: Lessons from Unconventional Measures and Implications for an Integrated World, edition 1, volume 24, chapter 2, pages 011-062, Central Bank of Chile.
  82. Götz, Martin, 2018. "Financial constraints and corporate environmental responsibility," SAFE Working Paper Series 241, Leibniz Institute for Financial Research SAFE.
  83. Jason Allen & Jakub Kastl & Milena Wittwer, 2020. "Primary Dealers and the Demand for Government Debt," Working Papers 2020-27, Princeton University. Economics Department..
  84. Breckenfelder, Johannes & De Falco, Veronica, 2024. "Investor heterogeneity and large-scale asset purchases," Working Paper Series 2938, European Central Bank.
  85. Todd M. Hazelkorn & Tobias J. Moskowitz & Kaushik Vasudevan, 2023. "Beyond Basis Basics: Liquidity Demand and Deviations from the Law of One Price," Journal of Finance, American Finance Association, vol. 78(1), pages 301-345, February.
  86. Hohberger, Stefan & Priftis, Romanos & Vogel, Lukas, 2020. "The distributional effects of conventional monetary policy and quantitative easing: Evidence from an estimated DSGE model," Journal of Banking & Finance, Elsevier, vol. 113(C).
  87. Junko Koeda & Yosuke Kimura, 2021. "Government Debt Maturity in Japan: 1965 to the Present," Working Papers e163, Tokyo Center for Economic Research.
  88. Eric T. Swanson, 2011. "Let's Twist Again: A High-Frequency Event-study Analysis of Operation Twist and Its Implications for QE2," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 42(1 (Spring), pages 151-207.
  89. Torsten Ehlers & Frank Packer, 2017. "Green bond finance and certification," BIS Quarterly Review, Bank for International Settlements, September.
  90. Lenel, Moritz & Piazzesi, Monika & Schneider, Martin, 2019. "The short rate disconnect in a monetary economy," Journal of Monetary Economics, Elsevier, vol. 106(C), pages 59-77.
  91. Don H. Kim & Marcel A. Priebsch, 2020. "Are Shadow Rate Models of the Treasury Yield Curve Structurally Stable?," Finance and Economics Discussion Series 2020-061, Board of Governors of the Federal Reserve System (U.S.).
  92. Carlos David Ardila-Dueñas & Hernán Rincón-Castro, 2019. "¿Cómo y qué tanto impacta la deuda pública a las tasas de interés de mercado?," Borradores de Economia 1077, Banco de la Republica de Colombia.
  93. Piazzesi, Monika & Lenel, Moritz & Schneider, Martin, 2019. "The Short Rate Disconnect in a Monetary Economy," CEPR Discussion Papers 13947, C.E.P.R. Discussion Papers.
  94. Andras Lengyel, 2022. "Treasury Supply Shocks and the Term Structure of Interest Rates in the UK," MNB Working Papers 2022/6, Magyar Nemzeti Bank (Central Bank of Hungary).
  95. Giuseppe Ferrero & Michele Loberto & Marcello Miccoli, 2017. "The collateral channel of unconventional monetary policy," Temi di discussione (Economic working papers) 1119, Bank of Italy, Economic Research and International Relations Area.
  96. Antonio Diez de los Rios & Maral Shamloo, 2017. "Quantitative Easing and Long-Term Yields in Small Open Economies," IMF Working Papers 2017/212, International Monetary Fund.
  97. Eftichios S. Sartzetakis, 2021. "Green bonds as an instrument to finance low carbon transition," Economic Change and Restructuring, Springer, vol. 54(3), pages 755-779, August.
  98. Cantore, Cristiano & Meichtry, Pascal, 2023. "Unwinding quantitative easing: state dependency and household heterogeneity," Bank of England working papers 1030, Bank of England.
  99. Valentin Haddad & David Sraer, 2020. "The Banking View of Bond Risk Premia," Journal of Finance, American Finance Association, vol. 75(5), pages 2465-2502, October.
  100. Rosen Valchev, 2020. "Bond Convenience Yields and Exchange Rate Dynamics," American Economic Journal: Macroeconomics, American Economic Association, vol. 12(2), pages 124-166, April.
  101. Stefan Avdjiev & Wenxin Du & Cathérine Koch & Hyun Song Shin, 2019. "The Dollar, Bank Leverage, and Deviations from Covered Interest Parity," American Economic Review: Insights, American Economic Association, vol. 1(2), pages 193-208, September.
  102. J.J.M. Van Spronsen & R.M.W.J. Beetsma, 2022. "Unconventional Monetary Policy and Auction Cycles of Eurozone Sovereign Debt," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(1), pages 169-202, February.
  103. Busetto, Filippo, 2024. "Asymmetric expectations of monetary policy," Bank of England working papers 1058, Bank of England.
  104. Malliaropulos, Dimitris & Migiakis, Petros, 2023. "A global monetary policy factor in sovereign bond yields," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 445-465.
  105. Michael J. Fleming & Warren B. Hrung & Frank M. Keane, 2010. "Repo Market Effects of the Term Securities Lending Facility," American Economic Review, American Economic Association, vol. 100(2), pages 591-596, May.
  106. Jylhä, Petri & Suominen, Matti, 2011. "Speculative capital and currency carry trades," Journal of Financial Economics, Elsevier, vol. 99(1), pages 60-75, January.
  107. Narayan Bulusu & Sermin Gungor, 2018. "Government of Canada Securities in the Cash, Repo and Securities Lending Markets," Discussion Papers 18-4, Bank of Canada.
  108. J. Boeckx & M. de Sola Perea & M. Deroose & G. de Walque & Th. Lejeune & Ch. Van Nieuwenhuyse, 2018. "What will happen when interest rates go up?," Economic Review, National Bank of Belgium, issue iii, pages 35-56, september.
  109. Nöh, Lukas, 2019. "Increasing public debt and the role of central bank independence for debt maturities," European Economic Review, Elsevier, vol. 119(C), pages 179-198.
  110. Gourinchas, Pierre-Olivier & Rey, Hélène, 2014. "Chapter 10 External Adjustment, Global Imbalances, Valuation Effects," Department of Economics, Working Paper Series qt42k8h7mp, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
  111. D’Amico, Stefania & King, Thomas B., 2013. "Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply," Journal of Financial Economics, Elsevier, vol. 108(2), pages 425-448.
  112. Al-Zoubi, Haitham A., 2019. "Bond and option prices with permanent shocks," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 272-290.
  113. Thien Nguyen, 2019. "Public Debt and the Slope of the Term Structure," 2019 Meeting Papers 957, Society for Economic Dynamics.
  114. Hohberger, Stefan & Priftis, Romanos & Vogel, Lukas, 2019. "The macroeconomic effects of quantitative easing in the euro area: Evidence from an estimated DSGE model," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
  115. Andras Lengyel & Massimo Giuliodori, 2022. "Demand Shocks for Public Debt in the Eurozone," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(7), pages 1997-2028, October.
  116. Maciej Stefański, 2021. "Macroeconomic Effects of Quantitative Easing Using Mid-sized Bayesian Vector Autoregressions," KAE Working Papers 2021-068, Warsaw School of Economics, Collegium of Economic Analysis.
  117. Jason Allen & Jakub Kastl & Milena Wittwer, 2020. "Maturity Composition and the Demand for Government Debt," Staff Working Papers 20-29, Bank of Canada.
  118. Zagaglia, Paolo, 2009. "Forecasting with a DSGE Model of the term Structure of Interest Rates: The Role of the Feedback," Research Papers in Economics 2009:14, Stockholm University, Department of Economics.
  119. Christiaan Pattipeilohy, 2016. "A comparative analysis of developments in central bank balance sheet composition," DNB Working Papers 510, Netherlands Central Bank, Research Department.
  120. Hattori, Takahiro, 2019. "J-liquidity measure: The term structure of the liquidity premium in Japan," Japan and the World Economy, Elsevier, vol. 49(C), pages 61-72.
  121. Cho, Thummim, 2018. "Turning alphas into betas: arbitrage and the cross-section of risk," LSE Research Online Documents on Economics 118915, London School of Economics and Political Science, LSE Library.
  122. João Barata Ribeiro Blanco Barroso, 2017. "Quantitative Easing and United States Investor Portfolio Rebalancing towards Foreign Assets," Investigación Conjunta-Joint Research, in: Ángel Estrada García & Alberto Ortiz Bolaños (ed.), International Spillovers of Monetary Policy, edition 1, chapter 8, pages 225-285, Centro de Estudios Monetarios Latinoamericanos, CEMLA.
  123. Katsuhiro Oshima, 2017. "Search-for-Yield and Business Cycles," KIER Working Papers 962, Kyoto University, Institute of Economic Research.
  124. Alexandros Kontonikas & Charles Nolan & Zivile Zekaite & Michael Lamla, 2019. "Treasuries variance decomposition and the impact of monetary policy," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(4), pages 1506-1519, October.
  125. Giuseppe Ferrero & Michele Loberto & Marcello Miccoli, 2021. "The assets’ pledgeability channel of unconventional monetary policy," Economic Inquiry, Western Economic Association International, vol. 59(4), pages 1547-1568, October.
  126. Davide Debortoli & Ricardo Nunes & Pierre Yared, 2017. "Optimal Time-Consistent Government Debt Maturity," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(1), pages 55-102.
  127. Smales, L.A., 2021. "Macroeconomic news and treasury futures return volatility: Do treasury auctions matter?," Global Finance Journal, Elsevier, vol. 48(C).
  128. Çepni, Oğuzhan & Guney, I. Ethem & Gupta, Rangan & Wohar, Mark E., 2020. "The role of an aligned investor sentiment index in predicting bond risk premia of the U.S," Journal of Financial Markets, Elsevier, vol. 51(C).
  129. Hayashi, Fumio, 2018. "Computing equilibrium bond prices in the Vayanos-Vila model," Research in Economics, Elsevier, vol. 72(2), pages 181-195.
  130. NAKAJIMA, Jouchi, 2024. "Central bank balance sheets and long-term interest rates : Revisiting Japan's unconventional monetary policy experience," Discussion Paper Series 758, Institute of Economic Research, Hitotsubashi University.
  131. Wang, Chen & Zhao, Kevin, 2024. "Pre-Refunding Announcement Gains in U.S. Treasurys," SocArXiv xucf8, Center for Open Science.
  132. Sebastian Doerr & Egemen Eren & Semyon Malamud, 2023. "Money Market Funds and the Pricing of Near-Money Assets," Swiss Finance Institute Research Paper Series 23-04, Swiss Finance Institute.
  133. Galema, Rients & Lugo, Stefano, 2021. "When central banks buy corporate bonds: Target selection and impact of the European Corporate Sector Purchase Program," Journal of Financial Stability, Elsevier, vol. 54(C).
  134. Jansen, Kristy, 2021. "Essays on institutional investors, portfolio choice, and asset prices," Other publications TiSEM fd998408-d282-4e0f-b542-4, Tilburg University, School of Economics and Management.
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