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Citations for "A Preferred-Habitat Model of the Term Structure of Interest Rates"

by Vayanos, Dimitri & Vila, Jean-Luc

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  1. Daniel Carvalho & Michael Fidora, 2014. "Capital inflows and euro area long-term interest rates," Working Papers, Banco de Portugal, Economics and Research Department w201410, Banco de Portugal, Economics and Research Department.
  2. Stéphane Guibaud & Yves Nosbusch & Dimitri Vayanos, 2013. "Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt," Review of Financial Studies, Society for Financial Studies, vol. 26(8), pages 1914-1961.
  3. Simon Gilchrist & Egon Zakrajsek, 2013. "The impact of the Federal Reserve's Large-Scale Asset Purchase programs on corporate credit risk," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2013-56, Board of Governors of the Federal Reserve System (U.S.).
  4. Michael D. Bauer & Glenn D. Rudebusch, 2014. "The Signaling Channel for Federal Reserve Bond Purchases," International Journal of Central Banking, International Journal of Central Banking, International Journal of Central Banking, vol. 10(3), pages 233-289, September.
  5. Kettemann, Andreas & Krogstrup, Signe, 2014. "Portfolio balance effects of the Swiss National Bank’s bond purchase program," Journal of Macroeconomics, Elsevier, Elsevier, vol. 40(C), pages 132-149.
  6. Bank for International Settlements, 2011. "Interactions of sovereign debt management with monetary conditions and financial stability," CGFS Papers, Bank for International Settlements, number 42.
  7. James D. Hamilton & Jing Cynthia Wu, 2013. "Risk Premia in Crude Oil Futures Prices," NBER Working Papers 19056, National Bureau of Economic Research, Inc.
  8. John Y. Campbell & Robert J. Shiller & Luis M. Viceira, 2009. "Understanding Inflation-Indexed Bond Markets," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1696, Cowles Foundation for Research in Economics, Yale University.
  9. Martina Cecioni & Giuseppe Ferrero & Alessandro Secchi, 2011. "Unconventional Monetary Policy in Theory and in Practice," Questioni di Economia e Finanza (Occasional Papers) 102, Bank of Italy, Economic Research and International Relations Area.
  10. Stefania D'Amico & Thomas B. King, 2012. "Flow and stock effects of large-scale asset purchases: evidence on the importance of local supply," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2012-44, Board of Governors of the Federal Reserve System (U.S.).
  11. Laura Jaramillo & Yuanyan Sophia Zhang, 2013. "Real Money Investors and Sovereign Bond Yields," IMF Working Papers 13/254, International Monetary Fund.
  12. Chabot, Benjamin & Herman, Gabe, 2013. "A History of Large-Scale Asset Purchases before the Federal Reserve," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q IV, pages 140-152.
  13. Kazuo Nishimura & Carine Nourry & Thomas Seegmuller & Alain Venditti, 2014. "On the (De)Stabilizing Effect of Public Debt in a Ramsey Model with Heterogeneous Agents," AMSE Working Papers 1436, Aix-Marseille School of Economics, Marseille, France, revised Jun 2014.
  14. Jylhä, Petri & Suominen, Matti, 2011. "Speculative capital and currency carry trades," Journal of Financial Economics, Elsevier, Elsevier, vol. 99(1), pages 60-75, January.
  15. Jagjit S. Chadha & Philip Turner & Fabrizio Zampolli, 2013. "The ties that bind: monetary policy and government debt management," Oxford Review of Economic Policy, Oxford University Press, vol. 29(3), pages 548-581, AUTUMN.
  16. Banerjee, Ryan & McLaren, Nick, 2012. "Using changes in auction maturity sectors to help identify the impact of QE on gilt yields," Bank of England Quarterly Bulletin, Bank of England, vol. 52(2), pages 129-137.
  17. John Williams & Eric Swanson, 2012. "Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates," 2012 Meeting Papers, Society for Economic Dynamics 462, Society for Economic Dynamics.
  18. Michael A. S. Joyce & Ana Lasaosa & Ibrahim Stevens & Matthew Tong, 2011. "The Financial Market Impact of Quantitative Easing in the United Kingdom," International Journal of Central Banking, International Journal of Central Banking, International Journal of Central Banking, vol. 7(3), pages 113-161, September.
  19. Edward Nelson, 2011. "Friedman's monetary economics in practice," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2011-26, Board of Governors of the Federal Reserve System (U.S.).
  20. Xavier Gabaix, 2012. "Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance," The Quarterly Journal of Economics, Oxford University Press, vol. 127(2), pages 645-700.
  21. Hess Chung & Jean‐Philippe Laforte & David Reifschneider & John C. Williams, 2012. "Have We Underestimated the Likelihood and Severity of Zero Lower Bound Events?," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 44, pages 47-82, 02.
  22. Edouard Challe & François Le Grand & Xavier Ragot, 2013. "Incomplete markets, liquidation risk, and the term structure of interest rates," PSE Working Papers hal-00843147, HAL.
  23. Thornton, Daniel L., 2014. "QE: is there a portfolio balance effect?," Review, Federal Reserve Bank of St. Louis, vol. 96(1), pages 55-72.
  24. Dimitri Vayanos & Robin Greenwood, 2008. "Bond Supply and Excess Bond Returns," FMG Discussion Papers, Financial Markets Group dp607, Financial Markets Group.
  25. Iryna Kaminska & Gabriele Zinna, 2014. "Official Demand for U.S. Debt: Implications for U.S. Real Interest Rates," IMF Working Papers 14/66, International Monetary Fund.
  26. Gilchrist, Simon & Lopez-Salido, J. David & Zakrajsek, Egon, 2013. "Monetary Policy and Real Borrowing Costs at the Zero Lower Bound," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2014-3, Board of Governors of the Federal Reserve System (U.S.).
  27. Rogers, John H. & Scotti, Chiara & Wright, Jonathan H., 2014. "Evaluating Asset-Market Effects of Unconventional Monetary Policy: A Cross-Country Comparison," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 1101, Board of Governors of the Federal Reserve System (U.S.).
  28. D’Amico, Stefania & King, Thomas B., 2013. "Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply," Journal of Financial Economics, Elsevier, Elsevier, vol. 108(2), pages 425-448.
  29. Joyce, Michael, 2012. "Quantitative easing and other unconventional monetary policies: Bank of England conference summary," Bank of England Quarterly Bulletin, Bank of England, vol. 52(1), pages 48-56.
  30. Carolin E. Pflueger & Luis M. Viceira, 2011. "Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity," Harvard Business School Working Papers 11-094, Harvard Business School, revised Sep 2013.
  31. Ellison , Martin & Tischbirek , Andreas, 2013. "Unconventional government debt purchases as a supplement to conventional monetary policy," Research Discussion Papers 3/2013, Bank of Finland.
  32. John C. Williams, 2011. "Unconventional monetary policy: lessons from the past three years," Speech, Federal Reserve Bank of San Francisco 92, Federal Reserve Bank of San Francisco.
  33. David K. Miles & Jochen Schanz, 2014. "The Relevance or Otherwise of the Central Bank's Balance Sheet," CESifo Working Paper Series 4615, CESifo Group Munich.
  34. Joseph Gagnon & Matthew Raskin & Julie Remache & Brian Sack, 2010. "Large-scale asset purchases by the Federal Reserve: did they work?," Staff Reports 441, Federal Reserve Bank of New York.
  35. Jonathan H. Wright, 2011. "What does Monetary Policy do to Long-Term Interest Rates at the Zero Lower Bound?," NBER Working Papers 17154, National Bureau of Economic Research, Inc.
  36. Michael E. Cahill & Stefania D’Amico & Canlin Li & John S. Sears, 2013. "Duration risk versus local supply channel in Treasury yields: evidence from the Federal Reserve's asset purchase announcements," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2013-35, Board of Governors of the Federal Reserve System (U.S.).
  37. Jagjit S Chadha & Philip Turner & Fabrizio Zampolli, 2013. "The interest rate effects of government debt maturity," BIS Working Papers 415, Bank for International Settlements.
  38. Marco Del Negro & Gauti Eggertsson & Andrea Ferrero & Nobuhiro Kiyotaki, 2011. "The great escape? A quantitative evaluation of the Fed’s liquidity facilities," Staff Reports 520, Federal Reserve Bank of New York.
  39. Philip Turner, 2014. "The exit from non-conventional monetary policy: what challenges?," BIS Working Papers 448, Bank for International Settlements.
  40. Lo Duca, Marco & Nicoletti, Giulio & Vidal Martinez, Ariadna, 2014. "Global corporate bond issuance: what role for US quantitative easing?," Working Paper Series, European Central Bank 1649, European Central Bank.
  41. Philippe Mueller & Andrea Vedolin & Hao Zhou, 2011. "Short Run Bond Risk Premia," FMG Discussion Papers, Financial Markets Group dp686, Financial Markets Group.
  42. George Kapetanios & Haroon Mumtaz & Ibrahim Stevens & Konstantinos Theodoridis, 2012. "Assessing the Economy‐wide Effects of Quantitative Easing," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 122(564), pages F316-F347, November.
  43. Christoph Trebesch & Jeromin Zettelmeyer, 2014. "ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds," CESifo Working Paper Series 4731, CESifo Group Munich.
  44. Michael A.S. Joyce & Matthew Tong, 2012. "QE and the Gilt Market: a Disaggregated Analysis," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 122(564), pages F348-F384, November.
  45. Christensen, Jens H.E. & Krogstrup, Signe, 2014. "Swiss unconventional monetary policy: lessons for the transmission of quantitative easing," Working Paper Series 2014-18, Federal Reserve Bank of San Francisco.
  46. Eser, Fabian & Schwaab, Bernd, 2013. "Assessing asset purchases within the ECB’s securities markets programme," Working Paper Series, European Central Bank 1587, European Central Bank.
  47. Fabrizio Zampolli, 2012. "Sovereign debt management as an instrument of monetary policy: an overview," BIS Papers chapters, in: Bank for International Settlements (ed.), Threat of fiscal dominance?, volume 65, pages 97-118 Bank for International Settlements.
  48. Du, Wenxin & Schreger, Jesse, 2013. "Local Currency Sovereign Risk," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 1094, Board of Governors of the Federal Reserve System (U.S.).
  49. Mark Gertler & Peter Karadi, 2013. "QE 1 vs. 2 vs. 3. . . : A Framework for Analyzing Large-Scale Asset Purchases as a Monetary Policy Tool," International Journal of Central Banking, International Journal of Central Banking, International Journal of Central Banking, vol. 9(1), pages 5-53, January.
  50. Michael T. Kiley, 2012. "The aggregate demand effects of short- and long-term interest rates," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2012-54, Board of Governors of the Federal Reserve System (U.S.).
  51. Michael F. Gallmeyer & Burton Hollifield & Francisco Palomino & Stanley E. Zin, 2007. "Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models," NBER Working Papers 13245, National Bureau of Economic Research, Inc.
  52. Michael Joyce & David Miles & Andrew Scott & Dimitri Vayanos, 2012. "Quantitative Easing and Unconventional Monetary Policy – an Introduction," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 122(564), pages F271-F288, November.
  53. Carlo Rosa, 2012. "How "unconventional" are large-scale asset purchases? The impact of monetary policy on asset prices," Staff Reports 560, Federal Reserve Bank of New York.
  54. Li, Canlin & Wei, Min, 2014. "Term Structure Modeling with Supply Factors and the Federal Reserve's Large Scale Asset Purchase Programs," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2014-7, Board of Governors of the Federal Reserve System (U.S.).