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Jens Henrik Eggert Christensen

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Personal Details

First Name: Jens
Middle Name: Henrik Eggert
Last Name: Christensen
Suffix:

RePEc Short-ID: pch1126

Email:
Homepage: http://www.frbsf.org/economics/economists/staff.php?jchristensen
Postal Address:
Phone:

Affiliation

Economic Research
Federal Reserve Bank of San Francisco
Location: San Francisco, California (United States)
Homepage: http://www.frbsf.org/economics/
Email:
Phone: (415) 974-3190
Fax: (415) 974-2168
Postal: P.O. Box 7702, San Francisco, CA 94120-7702
Handle: RePEc:edi:erfsfus (more details at EDIRC)

Works

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Working papers

  1. Christensen, Jens H.E. & Lopez, Jose A. & Rudebusch, Glenn D., 2014. "Can spanned term structure factors drive stochastic yield volatility?," Working Paper Series 2014-3, Federal Reserve Bank of San Francisco.
  2. Jens H.E. Christensen & Glenn D. Rudebusch, 2013. "Estimating shadow-rate term structure models with near-zero yields," Working Paper Series 2013-07, Federal Reserve Bank of San Francisco.
  3. Christensen, Jens H.E. & Rudebusch, Glenn D., 2013. "Modeling yields at the zero lower bound: are shadow rates the solution?," Working Paper Series 2013-39, Federal Reserve Bank of San Francisco.
  4. Christensen, Jens H.E. & Lopez, Jose A. & Rudebusch, Glenn D., 2013. "A probability-based stress test of Federal Reserve assets and income," Working Paper Series 2013-38, Federal Reserve Bank of San Francisco.
  5. Jens H.E. Christensen, 2013. "A regime-switching model of the yield curve at the zero bound," Working Paper Series 2013-34, Federal Reserve Bank of San Francisco.
  6. Jens H. E. Christensen & James M. Gillan, 2013. "Does quantitative easing affect market liquidity?," Working Paper Series 2013-26, Federal Reserve Bank of San Francisco.
  7. Jens H.E. Christensen & Glenn D. Rudebusch, 2012. "The response of interest rates to U.S. and U.K. quantitative easing," Working Paper Series 2012-06, Federal Reserve Bank of San Francisco.
  8. Jens H.E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2012. "Pricing deflation risk with U.S. Treasury yields," Working Paper Series 2012-07, Federal Reserve Bank of San Francisco.
  9. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2011. "Extracting deflation probability forecasts from Treasury yields," Working Paper Series 2011-10, Federal Reserve Bank of San Francisco.
  10. Jens H.E. Christensen & James M. Gillan, 2011. "A model-independent maximum range for the liquidity correction of TIPS yields," Working Paper Series 2011-16, Federal Reserve Bank of San Francisco.
  11. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2009. "Do central bank liquidity facilities affect interbank lending rates?," Working Paper Series 2009-13, Federal Reserve Bank of San Francisco.
  12. Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2008. "An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model," PIER Working Paper Archive 08-030, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  13. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2008. "Inflation expectations and risk premiums in an arbitrage-free model of nominal and real bond yields," Working Paper Series 2008-34, Federal Reserve Bank of San Francisco.
  14. Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2007. "The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models," PIER Working Paper Archive 07-029, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.

Articles

  1. Christensen, Jens H.E., 2014. "When will the Fed end its zero rate policy?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.
  2. Christensen, Jens H.E. & Lopez, Jose A. & Rudebusch, Glenn D., 2014. "Stress testing the Fed," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.
  3. Bauer, Michael D. & Christensen, Jens H.E., 2014. "Financial market outlook for inflation," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.
  4. Jens Christensen & James Gillan, 2012. "Do Fed TIPS purchases affect market liquidity?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue mar5.
  5. Jens H. E. Christensen & Glenn D. Rudebusch, 2012. "The Response of Interest Rates to US and UK Quantitative Easing," Economic Journal, Royal Economic Society, vol. 122(564), pages F385-F414, November.
  6. Jens H.E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2012. "Extracting Deflation Probability Forecasts from Treasury Yields," International Journal of Central Banking, International Journal of Central Banking, vol. 8(4), pages 21-60, December.
  7. Christensen, Jens H.E. & Diebold, Francis X. & Rudebusch, Glenn D., 2011. "The affine arbitrage-free class of Nelson-Siegel term structure models," Journal of Econometrics, Elsevier, vol. 164(1), pages 4-20, September.
  8. Jens Christensen & James Gillan, 2011. "Has the Treasury benefited from issuing TIPS?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue apr18.
  9. Jens Christensen & James Gillan, 2011. "TIPS liquidity, breakeven inflation, and inflation expectations," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue june20.
  10. Jens Christensen, 2010. "TIPS and the risk of deflation," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue oct25.
  11. Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2009. "An arbitrage-free generalized Nelson--Siegel term structure model," Econometrics Journal, Royal Economic Society, vol. 12(3), pages C33-C64, November.
  12. Jens Christensen, 2009. "Have the Fed liquidity facilities had an effect on Libor?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue aug10.
  13. Jens Christensen, 2009. "Inflation expectations and the risk of deflation," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue nov2.
  14. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2009. "Inflation expectations and risk premiums in an arbitrage-free model of nominal and real bond yields," Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
  15. Jens Christensen, 2008. "Treasury bond yields and long-run inflation expectations," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue aug15.
  16. Jens Christensen, 2008. "The corporate bond credit spread puzzle," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue mar14.
  17. Jens Christensen, 2007. "Internal risk models and the estimation of default probabilities," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue sep28.
  18. Christensen, Jens H.E. & Hansen, Ernst & Lando, David, 2004. "Confidence sets for continuous-time rating transition probabilities," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2575-2602, November.

NEP Fields

18 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (1) 2009-07-11
  2. NEP-CBA: Central Banking (5) 2009-01-10 2009-07-11 2011-03-26 2011-07-02 2012-06-13. Author is listed
  3. NEP-FMK: Financial Markets (1) 2008-11-11
  4. NEP-FOR: Forecasting (2) 2007-10-13 2011-03-26
  5. NEP-MAC: Macroeconomics (10) 2007-09-24 2007-10-13 2009-01-10 2011-03-26 2012-06-13 2012-06-13 2013-11-14 2014-01-10 2014-01-10 2014-02-15. Author is listed
  6. NEP-MON: Monetary Economics (10) 2008-06-27 2009-01-10 2009-07-11 2012-06-13 2012-06-13 2013-04-06 2013-09-28 2013-11-14 2014-01-10 2014-01-10. Author is listed
  7. NEP-ORE: Operations Research (1) 2014-02-15
  8. NEP-RMG: Risk Management (1) 2014-01-10
  9. NEP-SOG: Sociology of Economics (1) 2014-02-15

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