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Market-Based Measures of Monetary Policy Expectations
16 references·1 citing·50 second hop
Market-Based Measures of Monetary Policy Expectations (2002)Market-Based Measures of Monetary Policy …Using Federal Funds Futures Contracts for Monetary Policy Analysis (2005)Using Federal Funds Futures C…What Explains the Stock Market's Reaction to Federal Reserve Policy? (2004)What Explains the Stock Marke…Identifying VARS based on high frequency futures data (2004)Identifying VARS based on hig…Anticipations of Monetary Policy in Financial Markets (2003)Anticipations of Monetary Pol…Treasury Inflation-Indexed Debt: A Review of the U.S. Experience (2002)Treasury Inflation-Indexed De…The Impact of Monetary Policy on Asset Prices (2002)The Impact of Monetary Policy…The Fed and Interest Rates—A High-Frequency Identification (2002)The Fed and Interest Rates—A …Term structure evidence on interest rate smoothing and monetary policy inertia (2002)Term structure evidence on in…Pre-announcement effects, news effects, and volatility: Monetary policy and the stock market (2002)Pre-announcement effects, new…Monetary policy surprises and interest rates: Evidence from the Fed funds futures market (2001)Monetary policy surprises and…On the Derivation of Monetary Policy Shocks: Should We Throw the VAR out with the Bath Water? (2000)On the Derivation of Monetary…Measuring Monetary Policy (1998)Measuring Monetary PolicyDo Measures of Monetary Policy in a VAR Make Sense (1998)Do Measures of Monetary Polic…Bayesian Methods for Dynamic Multivariate Models (1998)Bayesian Methods for Dynamic …The Fed funds futures rate as a predictor of federal reserve policy (1996)The Fed funds futures rate as…Combining Economic Forecasts (1986)Combining Economic ForecastsA New Wave of ECB’s Unconventional Monetary Policies: Domestic Impact and Spillovers (2018)A New Wave of ECB’s Unconvent…Forecasting and Conditional Projection Using Realistic Prior Distributions (1983)Are Forecasting Models Usable for Policy Analysis? (1986)Forecasting With Bayesian Vector Autoregressions—Five Years of Experience (1986)Estimating the Effects of Fiscal Policy in OECD Countries (2003)Deconstructing Monetary Policy Surprises: The Role of Information Shocks (2018)Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks (2019)Discretion versus policy rules in practice (1993)The Science of Monetary Policy: A New Keynesian Perspective (1999)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)What Is Wrong with Taylor Rules? Using Judgment in Monetary Policy through Targeting Rules (2003)A Macro‐Finance Model of the Term Structure, Monetary Policy and the Economy (2008)Capital regulation and monetary policy with fragile banks (2013)The Effects of Monetary Policy Shocks: Evidence from the Flow of Funds (1996)An Empirical Analysis of Stock and Bond Market Liquidity (2004)Financial Markets and the Real Economy (2005)What Can Survey Forecasts Tell Us about Information Rigidities? (2012)Macroeconomics and Reality (1980)The federal funds rate and the channels of monetary transmission (1989)What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)The Impact of Monetary Policy Shocks on Commodity Prices (2012)Fiscal Foresight and Information Flows (2013)Foreign Safe Asset Demand and the Dollar Exchange Rate (2021)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets (2005)Practical Issues in the Analysis of Univariate GARCH Models (2009)A comprehensive survey on deep neural networks for stock market: The need, challenges, and future directions (2021)The Combination of Forecasts (1969)Experience with Forecasting Univariate Time Series and the Combination of Forecasts (1974)Improved methods of combining forecasts (1984)Why are Gambling Markets Organised so Differently from Financial Markets? (2004)Combining expert forecasts: Can anything beat the simple average? (2012)Some Contributions of Integrated Assessment Models of Global Climate Change (2017)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)The identification of monetary policy disturbances explaining the liquidity puzzle (1995)Have Increases in Federal Reserve Transparency Improved Private Sector Interest Rate Forecasts? (2006)Prediction market accuracy in the long run (2008)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Interpreting the macroeconomic time series facts (1992)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy (1997)An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output (2002)The Macroeconomic Effects of Tax Changes: Estimates Based on a New Measure of Fiscal Shocks (2010)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Bond Risk Premia (2005)Real-time price discovery in global stock, bond and foreign exchange markets (2007)Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements (2004)High Frequency Identification of Monetary Non-Neutrality: The Information Effect (2013)Monetary Policy Surprises, Credit Costs, and Economic Activity (2015)
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References

  • 2001Monetary policy surprises and interest rates: Evidence from the Fed funds futures market2,054 cited
  • 1998Measuring Monetary Policy1,643 cited
  • 1998Bayesian Methods for Dynamic Multivariate Models1,011 cited
  • 2002Term structure evidence on interest rate smoothing and monetary policy inertia772 cited
  • 1998Do Measures of Monetary Policy in a VAR Make Sense629 cited
  • 2002The Fed and Interest Rates—A High-Frequency Identification477 cited
  • 2002Pre-announcement effects, news effects, and volatility: Monetary policy and the stock market435 cited
  • 1986Combining Economic Forecasts341 cited
  • 2004Identifying VARS based on high frequency futures data265 cited
  • 1996The Fed funds futures rate as a predictor of federal reserve policy262 cited
  • 2003Anticipations of Monetary Policy in Financial Markets157 cited
  • 2002Treasury Inflation-Indexed Debt: A Review of the U.S. Experience128 cited
  • 2005Using Federal Funds Futures Contracts for Monetary Policy Analysis96 cited
  • 2004What Explains the Stock Market's Reaction to Federal Reserve Policy?87 cited
  • 2002The Impact of Monetary Policy on Asset Prices85 cited

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  • 2000On the Derivation of Monetary Policy Shocks: Should We Throw the VAR out with the Bath Water?70 cited
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    • 2018A New Wave of ECB’s Unconventional Monetary Policies: Domestic Impact and Spillovers18 cited