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Monetary Policy Expectations at the Zero Lower Bound
16 references·8 citing·41 second hop
Monetary Policy Expectations at the Zero Lower Bound (2013)Monetary Policy Expectations at the Zero …A Shadow Policy Rate to Calibrate U.S. Monetary Policy at the Zero Lower Bound (2014)A Shadow Policy Rate to Calib…Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)Risk Premiums in Dynamic Term…Measuring the stance of monetary policy in zero lower bound environments (2012)Measuring the stance of monet…Estimation of Dynamic Term Structure Models (2012)Estimation of Dynamic Term St…Correcting Estimation Bias in Dynamic Term Structure Models (2012)Correcting Estimation Bias in…Why Gaussian Macro-Finance Term Structure Models are (Nearly) Unconstrained Factor-VARs (2011)Why Gaussian Macro-Finance Te…Term Structure Estimation with Survey Data on Interest Rate Forecasts (2011)Term Structure Estimation wit…Term Structure Models and the Zero Bound: An Empirical Investigation of Japanese Yields (2010)Term Structure Models and the…Affine Term Structure Models (2010)Affine Term Structure ModelsDecomposing the Yield Curve (2009)Decomposing the Yield CurveThe U.S. Treasury yield curve: 1961 to the present (2007)The U.S. Treasury yield curve…Monetary Policy Inertia: Fact or Fiction? (2005)Monetary Policy Inertia: Fact…Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates (2003)Black's Model of Interest Rat…Term Premia and Interest Rate Forecasts in Affine Models (2002)Term Premia and Interest Rate…Comparing Predictive Accuracy (2002)Comparing Predictive AccuracyInterest Rates as Options (1995)Interest Rates as OptionsBelow the Zero Lower Bound: A Shadow-Rate Term Structure Model for the Euro Area (2017)Below the Zero Lower Bound: A…What is the effect of unconventional monetary policy on bank performance? (2016)What is the effect of unconve…MACRO‐FINANCE LINKAGES (2015)MACRO‐FINANCE LINKAGESResolving the Spanning Puzzle in Macro-Finance Term Structure Models (2014)Resolving the Spanning Puzzle…Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates (2014)Measuring the Effect of the Z…International Channels of the Fed’s Unconventional Monetary Policy (2013)International Channels of the…Estimating Shadow-Rate Term Structure Models with Near-Zero Yields (2013)Estimating Shadow-Rate Term S…Roads to Prosperity or Bridges to Nowhere? Theory and Evidence on the Impact of Public Infrastructure Investment (2012)Roads to Prosperity or Bridge…Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Risk premia in crude oil futures prices (2013)Expected Returns in Treasury Bonds (2015)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)The Science of Monetary Policy: A New Keynesian Perspective (1999)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)A New Perspective on Gaussian Dynamic Term Structure Models (2010)Forecasting Inflation (2013)Bond Risk Premiums with Machine Learning (2020)Parsimonious Modeling of Yield Curves (1987)The Information in Long-Maturity Forward Rates (1987)A Preferred-Habitat Model of the Term Structure of Interest Rates (2009)The Econometrics of Financial Markets (2012)Pricing the term structure with linear regressions (2013)Intermediary asset pricing: New evidence from many asset classes (2017)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)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)Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates (2004)Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates (2005)Chapter 15 Volatility and Correlation Forecasting (2006)Brownian Motion and Stochastic Calculus (2007)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A Tractable Framework for Zero-Lower-Bound Gaussian Term Structure Models (2013)Estimating Shadow-Rate Term Structure Models with Near-Zero Yields (2014)Why do term structures in different currencies co-move? (2014)On estimating the expected return on the market (1980)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Term Structure Modelling with Supply Factors and the Federal Reserve's Large Scale Asset Purchase Programs (2012)Tips from TIPS: The Informational Content of Treasury Inflation-Protected Security Prices (2018)Interest‐Rate Modelling (2014)Estimating the real effects of uncertainty shocks at the Zero Lower Bound (2017)A Tie That Binds: Revisiting the Trilemma in Emerging Market Economies (2018)The Cyclical Behavior of the Price‐Cost Markup (2020)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)Applications of deep learning in stock market prediction: Recent progress (2021)Machine learning in the Chinese stock market (2021)
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References

  • 2002Comparing Predictive Accuracy1,745 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 2007The U.S. Treasury yield curve: 1961 to the present1,337 cited
  • 2013Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks587 cited
  • 2012Measuring the stance of monetary policy in zero lower bound environments442 cited
  • 1995Interest Rates as Options428 cited
  • 2010Affine Term Structure Models384 cited
  • 2009Decomposing the Yield Curve322 cited
  • 2010Term Structure Models and the Zero Bound: An Empirical Investigation of Japanese Yields281 cited
  • 2011Term Structure Estimation with Survey Data on Interest Rate Forecasts237 cited
  • 2012Correcting Estimation Bias in Dynamic Term Structure Models230 cited
  • 2012Estimation of Dynamic Term Structure Models206 cited
  • 2005Monetary Policy Inertia: Fact or Fiction?186 cited
  • 2014A Shadow Policy Rate to Calibrate U.S. Monetary Policy at the Zero Lower Bound167 cited
  • 2011Why Gaussian Macro-Finance Term Structure Models are (Nearly) Unconstrained Factor-VARs154 cited
  • 2003

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Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
146 cited

Cited by

  • 2016What is the effect of unconventional monetary policy on bank performance?74 cited
  • 2017Below the Zero Lower Bound: A Shadow-Rate Term Structure Model for the Euro Area67 cited
  • 2014Resolving the Spanning Puzzle in Macro-Finance Term Structure Models44 cited
  • 2013International Channels of the Fed’s Unconventional Monetary Policy41 cited
  • 2014Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates37 cited
  • 2015MACRO‐FINANCE LINKAGES36 cited
  • 2013Estimating Shadow-Rate Term Structure Models with Near-Zero Yields27 cited
  • 2012Roads to Prosperity or Bridges to Nowhere? Theory and Evidence on the Impact of Public Infrastructure Investment20 cited