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A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States
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A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States (2018)A Shadow Rate or a Quadratic Policy Rule?…Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2016)Measuring the Macroeconomic I…Evaluation of Economic Forecasts (2016)Evaluation of Economic Foreca…Pricing the term structure with linear regressions (2013)Pricing the term structure wi…Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2013)Measuring the Macroeconomic I…The affine arbitrage-free class of Nelson–Siegel term structure models (2011)The affine arbitrage-free cla…A New Perspective on Gaussian Dynamic Term Structure Models (2010)A New Perspective on Gaussian…Forecasting the Term Structure of Government Bond Yields (2003)Forecasting the Term Structur…Term Premia and Interest Rate Forecasts in Affine Models (2002)Term Premia and Interest Rate…Quadratic Term Structure Models: Theory and Evidence (2002)Quadratic Term Structure Mode…Expectation puzzles, time-varying risk premia, and affine models of the term structure (2002)Expectation puzzles, time-var…Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Interest Rates as Options (1995)Interest Rates as OptionsYield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Yield Spreads and Interest Ra…The Information in Long-Maturity Forward Rates (1987)The Information in Long-Matur…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Trends and random walks in macroeconomic time series (1988)Business conditions and expected returns on stocks and bonds (1989)Dynamic Asset Pricing Theory. (1993)Investor Psychology and Asset Pricing (2001)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Cointegration and Tests of Present Value Models (1987)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Bond Risk Premia (2005)An equilibrium characterization of the term structure (1977)Common risk factors in the returns on stocks and bonds (1993)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Discretion versus policy rules in practice (1993)Sovereign default and debt renegotiation (2009)Forecasting Inflation (2013)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)An Intertemporal Capital Asset Pricing Model (1973)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Correcting Estimation Bias in Dynamic Term Structure Models (2012)A unified measure of Fed monetary policy shocks (2020)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A consumption-based model of the term structure of interest rates☆ (2005)Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)A Preferred-Habitat Model of the Term Structure of Interest Rates (2009)Stochastic Differential Equations and Diffusion Processes (1983)Basel Committee On Banking Supervision (2010)Interpreting the macroeconomic time series facts (1992)Monetary Policy Shocks: What Have We Learned and to What End? (1998)Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Macroeconomic Shocks and Their Propagation (2016)Uncertainty Shocks in a Model of Effective Demand (2017)Measuring the effects of federal reserve forward guidance and asset purchases on financial markets (2020)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2016Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound1,840 cited
  • 2003Forecasting the Term Structure of Government Bond Yields1,838 cited
  • 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View1,780 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 1987The Information in Long-Maturity Forward Rates1,552 cited
  • 2002Expectation puzzles, time-varying risk premia, and affine models of the term structure754 cited
  • 2013Pricing the term structure with linear regressions703 cited
  • 2010A New Perspective on Gaussian Dynamic Term Structure Models544 cited
  • 2016Evaluation of Economic Forecasts529 cited
  • 2002Quadratic Term Structure Models: Theory and Evidence469 cited
  • 2013Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound436 cited
  • 2011The affine arbitrage-free class of Nelson–Siegel term structure models431 cited

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  • 1995Interest Rates as Options428 cited
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