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Evaluating central bank asset purchases in a term structure model with a forward-looking supply factor
16 references·1 citing·38 second hopsampled
Evaluating central bank asset purchases in a term structure model with a forward-looking supply factor (2023)Evaluating central bank asset purchases i…Corrigendum: a preferred-habitat model of the term structure of interest rates (Econometrica, (2021), 89, 1, (77-112), 10.3982/ECTA17440) (2023)Corrigendum: a preferred-habi…A Preferred-Habitat Model of Term Premia, Exchange Rates, and Monetary Policy Spillovers (2022)A Preferred-Habitat Model of …Tracing the Impact of the ECB’s Asset Purchase Programme on the Yield Curve (2019)Tracing the Impact of the ECB…Unconventional monetary policy had large international effects (2014)Unconventional monetary polic…Bond Supply and Excess Bond Returns (2014)Bond Supply and Excess Bond R…The Federal Reserve's Large‐scale Asset Purchase Programmes: Rationale and Effects (2012)The Federal Reserve's Large‐s…Macroeconomics and the Term Structure (2012)Macroeconomics and the Term S…Identification and estimation of Gaussian affine term structure models (2012)Identification and estimation…Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply (2012)Flow and stock effects of lar…Why Gaussian Macro-Finance Term Structure Models are (Nearly) Unconstrained Factor-VARs (2011)Why Gaussian Macro-Finance Te…The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy (2011)The Effects of Quantitative E…New Keynesian Macroeconomics and the Term Structure (2009)New Keynesian Macroeconomics …A Preferred-Habitat Model of the Term Structure of Interest Rates (2009)A Preferred-Habitat Model of …A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)A no-arbitrage vector autoreg…Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Estimating the contribution of macroeconomic factors to sovereign bond spreads in the euro area (2024)Estimating the contribution o…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)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Prospect Theory and Asset Prices (2001)Demand-Based Option Pricing (2005)The U.S. Treasury yield curve: 1961 to the present (2007)The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment (2011)Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2016)Zero Bound on Interest Rates and Optimal Monetary Policy (2003)A New Measure of Monetary Shocks: Derivation and Implications (2004)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)The Aggregate Demand for Treasury Debt (2012)High Frequency Identification of Monetary Non-Neutrality: The Information Effect (2013)The Utility Analysis of Choices Involving Risk (1948)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)The Financial Market Effects of the Federal Reserve's Large-Scale Asset Purchases (2012)A General Equilibrium Approach To Monetary Theory (1969)Are Government Bonds Net Wealth? (1974)Noise Trader Risk in Financial Markets (1990)Deviations from Covered Interest Rate Parity (2016)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Expectations and Exchange Rate Dynamics (1976)Monetary policy surprises and interest rates: Evidence from the Fed funds futures market (2001)The Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound: A Cross‐Country Analysis (2014)Common risk factors in the returns on stocks and bonds (1993)Discretion versus policy rules in practice (1993)Forecasting the Term Structure of Government Bond Yields (2003)Bond Risk Premia (2005)Macro Factors in Bond Risk Premia (2009)Stochastic Differential Equations and Diffusion Processes (1983)The Signaling Channel for Federal Reserve Bond Purchases (2013)American Economic Review (2019)In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis (2021)Presidential Address: Discount Rates (2011)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)
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References

  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,687 cited
  • 2011The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy1,198 cited
  • 2009A Preferred-Habitat Model of the Term Structure of Interest Rates737 cited
  • 2012Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply655 cited
  • 2014Unconventional monetary policy had large international effects618 cited
  • 2014Bond Supply and Excess Bond Returns580 cited
  • 2023Corrigendum: a preferred-habitat model of the term structure of interest rates (Econometrica, (2021), 89, 1, (77-112), 10.3982/ECTA17440)396 cited
  • 2012Macroeconomics and the Term Structure314 cited
  • 2012The Federal Reserve's Large‐scale Asset Purchase Programmes: Rationale and Effects286 cited
  • 2009New Keynesian Macroeconomics and the Term Structure273 cited
  • 2012Identification and estimation of Gaussian affine term structure models181 cited
  • 2011Why Gaussian Macro-Finance Term Structure Models are (Nearly) Unconstrained Factor-VARs154 cited

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2019
Tracing the Impact of the ECB’s Asset Purchase Programme on the Yield Curve
75 cited
  • 2022A Preferred-Habitat Model of Term Premia, Exchange Rates, and Monetary Policy Spillovers58 cited
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    • 2024Estimating the contribution of macroeconomic factors to sovereign bond spreads in the euro area18 cited