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Monetary Policy Shifts and the Term Structure
16 references·3 citing·43 second hop
Monetary Policy Shifts and the Term Structure (2008)Monetary Policy Shifts and the Term Struc…Has Monetary Policy Become More Effective? (2006)Has Monetary Policy Become Mo…Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)Drifts and volatilities: mone…A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)A no-arbitrage vector autoreg…Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…Monetary Policy Rules Based on Real-Time Data (2001)Monetary Policy Rules Based o…Evolving Post-World War II U.S. Inflation Dynamics (2001)Evolving Post-World War II U.…Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Monetary Policy Rules and Mac…Predicting U.S. Recessions: Financial Variables as Leading Indicators (1998)Predicting U.S. Recessions: F…Monetary Policy Shocks: What Have We Learned and to What End? (1998)Monetary Policy Shocks: What …Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory (1998)Monetary Policy Rules and Mac…The Effects of Monetary Policy Shocks: Evidence from the Flow of Funds (1996)The Effects of Monetary Polic…Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Discretion versus policy rules in practice (1993)Discretion versus policy rule…Interpreting the macroeconomic time series facts (1992)Interpreting the macroeconomi…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…On Pricing Credit Default Swaps with Observable Covariates (2011)On Pricing Credit Default Swa…Inflation Ambiguity and the Term Structure of Arbitrage-Free U.S. Government Bonds (2011)Inflation Ambiguity and the T…Challenges in Macro-Finance Modeling (2008)Challenges in Macro-Finance M…A Monetary History of the United States 1867-1960 (1964)MONEY, INCOME, AND CAUSALITY (1972)Macroeconomics and Reality (1980)Monetary Theory and Policy (1999)Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2016)Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Generalized impulse response analysis in linear multivariate models (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Asset Prices in an Exchange Economy (1978)Efficient Capital Markets: II (1991)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)5 Stochastic volatility (1996)Range‐Based Estimation of Stochastic Volatility Models (2002)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)Rules, discretion and reputation in a model of monetary policy (1983)Estimation and Inference of Impulse Responses by Local Projections (2005)Staggered Prices in a Utility-Maximizing Framework (1996)Inflation dynamics: A structural econometric analysis (1999)The Science of Monetary Policy: A New Keynesian Perspective (1999)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)A consumption-based model of the term structure of interest rates☆ (2005)Bond Risk Premia (2005)Macro Factors in Bond Risk Premia (2009)The Econometrics of Financial Markets (2012)Econometric policy evaluation: A critique (1976)Were There Regime Switches in U.S. Monetary Policy? (2006)Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference (2009)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)What Do a Million Observations on Banks Say About the Transmission of Monetary Policy? (2000)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)
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References

  • 1993Discretion versus policy rules in practice9,059 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*4,631 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1998Monetary Policy Shocks: What Have We Learned and to What End?2,186 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 2005Drifts and volatilities: monetary policies and outcomes in the post WWII US1,955 cited
  • 1992Interpreting the macroeconomic time series facts1,858 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,687 cited
  • 2002Bayesian Analysis of Stochastic Volatility Models1,363 cited
  • 2001Monetary Policy Rules Based on Real-Time Data1,357 cited
  • 1996The Effects of Monetary Policy Shocks: Evidence from the Flow of Funds1,209 cited
  • 1998Predicting U.S. Recessions: Financial Variables as Leading Indicators1,180 cited
  • 1998Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory1,166 cited
  • 2001Evolving Post-World War II U.S. Inflation Dynamics

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914 cited
  • 2006Has Monetary Policy Become More Effective?768 cited
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    • 2011On Pricing Credit Default Swaps with Observable Covariates37 cited
    • 2008Challenges in Macro-Finance Modeling32 cited
    • 2011Inflation Ambiguity and the Term Structure of Arbitrage-Free U.S. Government Bonds18 cited