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A Time Series Model of Interest Rates With the Effective Lower Bound
16 references·16 citing·43 second hopsampled
A Time Series Model of Interest Rates With the Effective Lower Bound (2016)A Time Series Model of Interest Rates Wit…Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2016)Measuring the Macroeconomic I…When Is the Government Spending Multiplier Large? (2011)When Is the Government Spendi…Why Has U.S. Inflation Become Harder to Forecast? (2007)Why Has U.S. Inflation Become…Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Time Varying Structural Vecto…Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)Drifts and volatilities: mone…Forecasting the Term Structure of Government Bond Yields (2003)Forecasting the Term Structur…Chapter 2 Monetary policy shocks: What have we learned and to what end? 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References

  • 1980Macroeconomics and Reality12,826 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2005Time Varying Structural Vector Autoregressions and Monetary Policy3,044 cited
  • 1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’2,308 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 2005Drifts and volatilities: monetary policies and outcomes in the post WWII US1,955 cited
  • 2016Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound1,840 cited
  • 2011When Is the Government Spending Multiplier Large?1,839 cited
  • 2003Forecasting the Term Structure of Government Bond Yields1,838 cited
  • 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View1,780 cited
  • 2007Why Has U.S. Inflation Become Harder to Forecast?1,719 cited
  • 1999Chapter 2 Monetary policy shocks: What have we learned and to what end?

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1,484 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited
  • Cited by

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    • 2020Identifying and estimating the effects of unconventional monetary policy: How to do it and what have we learned?42 cited
    • 2016Measuring the Natural Rate of Interest: International Trends and Determinants41 cited
    • 2019The Global Equilibrium Real Interest Rate: Concepts, Estimates, and Challenges30 cited
    • 2017" A New Normal for Interest Rates? Evidence from Inflation-Indexed Debt"29 cited
    • 2021Ties that bind: Estimating the natural rate of interest for small open economies27 cited
    • 2021SVARs with occasionally-binding constraints27 cited
    • 2018The natural rate of interest and the financial cycle24 cited
    • 2022The Federal Reserve's New Framework: Context and Consequences24 cited
    • 2018Global Trends in Interest Rates24 cited
    • 2018Asset market responses to conventional and unconventional monetary policy shocks in the United States23 cited
    • 2018Global Trends in Interest Rates22 cited
    • 2017Measuring the Natural Rate of Interest: Alternative Specifications18 cited
    • 2018What to Expect from the Lower Bound on Interest Rates: Evidence from Derivatives Prices18 cited