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A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economy
16 references·16 citing·33 second hopsampled
A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economy (2004)A Macro-Finance Model of the Term Structu…Measuring the Natural Rate of Interest (2003)Measuring the Natural Rate of…A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)A no-arbitrage vector autoreg…Term Premia and Interest Rate Forecasts in Affine Models (2002)Term Premia and Interest Rate…Solving Linear Rational Expectations Models (2002)Solving Linear Rational Expec…Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Monetary Policy Rules and Mac…Habit Formation in Consumption and Its Implications for Monetary-Policy Models (2000)Habit Formation in Consumptio…The Science of Monetary Policy: A New Keynesian Perspective (1999)The Science of Monetary Polic…The Science of Monetary Policy: A New Keynesian Perspective (1999)The Science of Monetary Polic…Optimal Monetary Policy Inertia (1999)Optimal Monetary Policy Inert…Monetary Theory and Policy (1999)Monetary Theory and PolicyMonetary Policy Rules (1999)Monetary Policy RulesThe New Neoclassical Synthesis and the Role of Monetary Policy (1997)The New Neoclassical Synthesi…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…Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…Bond Market Exposures to Macroeconomic and Monetary Policy Risks (2014)Bond Market Exposures to Macr…Correcting Estimation Bias in Dynamic Term Structure Models (2012)Correcting Estimation Bias in…Risk, Uncertainty and Monetary Policy (2011)Risk, Uncertainty and Monetar…Identification and Estimation of Gaussian Affine Term Structure Models (2011)Identification and Estimation…On the Effectiveness of the Federal Reserve's New Liquidity Facilities (2008)On the Effectiveness of the F…Forecasts of US short-term interest rates: A flexible forecast combination approach (2008)Forecasts of US short-term in…Challenges in Macro-Finance Modeling (2008)Challenges in Macro-Finance M…The Bond Yield 'Conundrum' from a Macro-Finance Perspective (2007)The Bond Yield 'Conundrum' fr…Macroeconomic Implications of Changes in the Term Premium (2007)Macroeconomic Implications of…Japan's Deflation, Problems in the Financial System and Monetary Policy (2007)Japan's Deflation, Problems i…Wage–price dynamics and income distribution in a semi-structural Keynes–Goodwin model (2006)Wage–price dynamics and incom…Financial factors, macroeconomic information and the Expectations Theory of the term structure of interest rates (2006)Financial factors, macroecono…The Effects of the Bank of Japan's Zero Interest Rate Commitment and Quantitative Monetary Easing on the Yield Curve: A Macro-Finance Approach (2005)The Effects of the Bank of Ja…Term structure estimation without using latent factors (2005)Term structure estimation wit…Why are Long Rates Sensitive to Monetary Policy? (2004)Why are Long Rates Sensitive …Macro Factors and the Term Structure of Interest Rates (2003)Macro Factors and the Term St…A Contribution to the Theory of Economic Growth (1956)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Inflation targeting as a monetary policy rule (1999)Term structure evidence on interest rate smoothing and monetary policy inertia (2002)A Unified Framework for Monetary Theory and Policy Analysis (2005)The Pricing of Options and Corporate Liabilities (1973)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)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)Common risk factors in the returns on stocks and bonds (1993)Bond Risk Premia (2005)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Staggered Prices in a Utility-Maximizing Framework (1996)Inflation dynamics: A structural econometric analysis (1999)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)A consumption-based model of the term structure of interest rates☆ (2005)Macro Factors in Bond Risk Premia (2009)The Econometrics of Financial Markets (2012)Stochastic Differential Equations and Diffusion Processes (1983)Basel Committee On Banking Supervision (2010)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Low inflation, pass-through, and the pricing power of firms (2000)Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)Monetary Policy and Exchange Rate Volatility in a Small Open Economy (2005)The Determinants of Credit Spread Changes (2001)Credit Spreads and Business Cycle Fluctuations (2012)
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References

  • 1993Discretion versus policy rules in practice9,059 cited
  • 1999The Science of Monetary Policy: A New Keynesian Perspective4,927 cited
  • 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*4,631 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 1999Monetary Policy Rules1,705 cited
  • 1999Monetary Theory and Policy1,690 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,687 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 1997The New Neoclassical Synthesis and the Role of Monetary Policy1,233 cited
  • 2000Habit Formation in Consumption and Its Implications for Monetary-Policy Models1,148 cited
  • 1999The Science of Monetary Policy: A New Keynesian Perspective1,135 cited
  • 2002Solving Linear Rational Expectations Models1,104 cited
  • 2003Measuring the Natural Rate of Interest1,062 cited
  • 1999

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Optimal Monetary Policy Inertia
998 cited

Cited by

  • 2008Forecasts of US short-term interest rates: A flexible forecast combination approach97 cited
  • 2007Japan's Deflation, Problems in the Financial System and Monetary Policy92 cited
  • 2011Risk, Uncertainty and Monetary Policy91 cited
  • 2007Macroeconomic Implications of Changes in the Term Premium89 cited
  • 2014Bond Market Exposures to Macroeconomic and Monetary Policy Risks61 cited
  • 2011Identification and Estimation of Gaussian Affine Term Structure Models59 cited
  • 2007The Bond Yield 'Conundrum' from a Macro-Finance Perspective54 cited
  • 2005Term structure estimation without using latent factors54 cited
  • 2012Correcting Estimation Bias in Dynamic Term Structure Models52 cited
  • 2006Financial factors, macroeconomic information and the Expectations Theory of the term structure of interest rates51 cited
  • 2006Wage–price dynamics and income distribution in a semi-structural Keynes–Goodwin model47 cited
  • 2008Challenges in Macro-Finance Modeling47 cited
  • 2003Macro Factors and the Term Structure of Interest Rates46 cited
  • 2008On the Effectiveness of the Federal Reserve's New Liquidity Facilities44 cited
  • 2004Why are Long Rates Sensitive to Monetary Policy?43 cited
  • 2005The Effects of the Bank of Japan's Zero Interest Rate Commitment and Quantitative Monetary Easing on the Yield Curve: A Macro-Finance Approach43 cited