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A probability-based stress test of Federal Reserve assets and income · Study

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ArticleA probability-based stress test of Federal Reserve assets and income

Jens H. E. Christensen2015

OA

Articlegreen2015

A probability-based stress test of Federal Reserve assets and income

Jens H. E. Christensen · Jose A. Lopez · Glenn D. Rudebusch

69 citations·0/0 files stored·Journal of Monetary Economics

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Monetary Policy and Economic Impact Banking stability, regulation, efficiency Stochastic processes and financial applications

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References

1987Parsimonious Modeling of Yield Curves 2016Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound 2002Term Premia and Interest Rate Forecasts in Affine Models 2007The U.S. Treasury yield curve: 1961 to the present 2011The affine arbitrage-free class of Nelson–Siegel term structure models 1995Interest Rates as Options 2011Large-Scale Asset Purchases by the Federal Reserve: Did They Work?2012The Response of Interest Rates to US and UK Quantitative Easing

Cited by

2015Maintaining Central-Bank Financial Stability under New-Style Central Banking 2023(Why) Do Central Banks Care about Their Profits?2020Non-Neutrality of Open Market Operations 2013Maintaining Central-Bank Solvency under New-Style Central Banking 2014Stress testing interest rate risk exposure 2017" A New Normal for Interest Rates? Evidence from Inflation-Indexed Debt"

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Details

Year2015

Typearticle

Published2015-04-11

VenueJournal of Monetary Economics

ISSN-L0304-3932

Languageen

Citations69

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.jmoneco.2015.03.007

openalex_workW2142014636

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2017

A Portfolio Model of Quantitative Easing

2018Fiscal Implications of the Federal Reserve's Balance Sheet Normalization