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Measuring the Stance of Monetary Policy in Conventional and Unconventional Environments
16 references·11 citing·40 second hop
Measuring the Stance of Monetary Policy in Conventional and Unconventional Environments (2014)Measuring the Stance of Monetary Policy i…Methods of Policy Accommodation at the Interest-Rate Lower Bound (2012)Methods of Policy Accommodati…Measuring the stance of monetary policy in zero lower bound environments (2012)Measuring the stance of monet…Term-Structure Models (2009)Term-Structure ModelsThe U.S. Treasury yield curve: 1961 to the present (2007)The U.S. Treasury yield curve…The U.S. Treasury Yield Curve: 1961 to the Present (2006)The U.S. Treasury Yield Curve…Market price of risk specifications for affine models: Theory and evidence☆ (2006)Market price of risk specific…The macroeconomy and the yield curve: a dynamic latent factor approach (2005)The macroeconomy and the yiel…The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach (2004)The Macroeconomy and the Yiel…Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements (2004)Do Actions Speak Louder Than …Term Premia and Interest Rate Forecasts in Affine Models (2002)Term Premia and Interest Rate…Expectation puzzles, time-varying risk premia, and affine models of the term structure (2002)Expectation puzzles, time-var…Interest Rates as Options (1995)Interest Rates as OptionsThe Information in Long-Maturity Forward Rates (1987)The Information in Long-Matur…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Unconventional monetary policy in the Euro Area: Shadow rate and light effets (2020)Unconventional monetary polic…Unconventional Monetary Policy and Wealth Inequalities in Great Britain* (2020)Unconventional Monetary Polic…How has empirical monetary policy analysis in the U.S. changed after the financial crisis? (2019)How has empirical monetary po…A Shadow Rate Without a Lower Bound Constraint (2018)A Shadow Rate Without a Lower…The Shifting Drivers of Global Liquidity (2017)The Shifting Drivers of Globa…Central Bank Sentiment and Policy Expectations (2017)Central Bank Sentiment and Po…Shadow short rate and monetary policy in the Euro area (2016)Shadow short rate and monetar…On measuring uncertainty and its impact on investment: Cross-country evidence from the euro area (2016)On measuring uncertainty and …Macroeconomic consequences of the real-financial nexus: Imbalances and spillovers between China and the U.S. (2016)Macroeconomic consequences of…Evaluating monetary policy at the zero lower bound. (2014)Evaluating monetary policy at…Asset Markets and Monetary Policy Shocks at the Zero Lower Bound (2014)Asset Markets and Monetary Po…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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Asset Prices in an Exchange Economy (1978)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)Monetary policy surprises and interest rates: Evidence from the Fed funds futures market (2001)What Explains the Stock Market's Reaction to Federal Reserve Policy? (2005)Central Bank Communication and Monetary Policy: A Survey of Theory and Evidence (2008)High Frequency Identification of Monetary Non-Neutrality: The Information Effect (2013)Monetary Policy Surprises, Credit Costs, and Economic Activity (2015)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)Common risk factors in the returns on stocks and bonds (1993)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Bond Risk Premia (2005)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)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)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)The Term Structure as a Predictor of Real Economic Activity (1991)Predicting U.S. Recessions: Financial Variables as Leading Indicators (1998)Real-Time Measurement of Business Conditions (2009)Basel Committee On Banking Supervision (2010)Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)Explaining the Rate Spread on Corporate Bonds (2001)Forecasting the Term Structure of Government Bond Yields (2003)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)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 2004Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements1,566 cited
  • 1987The Information in Long-Maturity Forward Rates1,552 cited
  • 2007The U.S. Treasury yield curve: 1961 to the present1,337 cited
  • 2005The macroeconomy and the yield curve: a dynamic latent factor approach967 cited
  • 2002Expectation puzzles, time-varying risk premia, and affine models of the term structure754 cited
  • 2012Measuring the stance of monetary policy in zero lower bound environments442 cited
  • 2012Methods of Policy Accommodation at the Interest-Rate Lower Bound439 cited
  • 1995Interest Rates as Options428 cited
  • 2006Market price of risk specifications for affine models: Theory and evidence☆326 cited
  • 2006The U.S. Treasury Yield Curve: 1961 to the Present305 cited
  • 2009Term-Structure Models300 cited

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2004
The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach
282 cited

Cited by

  • 2016On measuring uncertainty and its impact on investment: Cross-country evidence from the euro area150 cited
  • 2017The Shifting Drivers of Global Liquidity55 cited
  • 2017Central Bank Sentiment and Policy Expectations37 cited
  • 2020Unconventional Monetary Policy and Wealth Inequalities in Great Britain*30 cited
  • 2014Asset Markets and Monetary Policy Shocks at the Zero Lower Bound25 cited
  • 2016Shadow short rate and monetary policy in the Euro area24 cited
  • 2020Unconventional monetary policy in the Euro Area: Shadow rate and light effets22 cited
  • 2014Evaluating monetary policy at the zero lower bound.20 cited
  • 2016Macroeconomic consequences of the real-financial nexus: Imbalances and spillovers between China and the U.S.19 cited
  • 2019How has empirical monetary policy analysis in the U.S. changed after the financial crisis?15 cited
  • 2018A Shadow Rate Without a Lower Bound Constraint15 cited