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

by Dimitri Vayanos & Jean-Luc Vila

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  1. 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.
  2. John Y. Campbell & Robert J. Shiller & Luis M. Viceira, 2009. "Understanding Inflation-Indexed Bond Markets," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 40(1 (Spring), pages 79-138.
  3. Bank for International Settlements, 2011. "Interactions of sovereign debt management with monetary conditions and financial stability," CGFS Papers, Bank for International Settlements, number 42.
  4. Gilchrist, Simon & Lopez-Salido, J. David & Zakrajsek, Egon, 2014. "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.) 2014-39, Board of Governors of the Federal Reserve System (U.S.).
  5. Guibaud, Stéphane & Nosbusch, Yves & Vayanos, Dimitri, 2013. "Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt," CEPR Discussion Papers, C.E.P.R. Discussion Papers 9407, C.E.P.R. Discussion Papers.
  6. 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.).
  7. Thornton, Daniel L., 2014. "QE: is there a portfolio balance effect?," Review, Federal Reserve Bank of St. Louis, vol. 96(1), pages 55-72.
  8. Kazuo Nishimura & Carine Nourry & Thomas Seegmuller & Alain Venditti, 2014. "On the (de)Stabilizing Effect of Public Debt In a Ramsey Model with Heterogeneous Agents," Discussion Paper Series, Research Institute for Economics & Business Administration, Kobe University DP2014-03, Research Institute for Economics & Business Administration, Kobe University.
  9. Challe, Edouard & Le Grand, François & Ragot, Xavier, 2013. "Incomplete markets, liquidation risk, and the term structure of interest rates," Journal of Economic Theory, Elsevier, Elsevier, vol. 148(6), pages 2483-2519.
  10. Joseph Gagnon & Matthew Raskin & Julie Remache & Brian Sack, 2011. "Large-scale asset purchases by the Federal Reserve: did they work?," Economic Policy Review, Federal Reserve Bank of New York, Federal Reserve Bank of New York, issue May, pages 41-59.
  11. Hess Chung & Jean-Philippe Laforte & David Reifschneider & John C. Williams, 2011. "Have we underestimated the likelihood and severity of zero lower bound events?," Working Paper Series, Federal Reserve Bank of San Francisco 2011-01, Federal Reserve Bank of San Francisco.
  12. 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.
  13. 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.
  14. Philip Turner, 2014. "The exit from non-conventional monetary policy: what challenges?," BIS Working Papers 448, Bank for International Settlements.
  15. Eric T. Swanson & John C. Williams, 2012. "Measuring the effect of the zero lower bound on medium- and longer-term interest rates," Working Paper Series, Federal Reserve Bank of San Francisco 2012-02, Federal Reserve Bank of San Francisco.
  16. Michael D. Bauer & Glenn D. Rudebusch, 2011. "The signaling channel for Federal Reserve bond purchases," Working Paper Series, Federal Reserve Bank of San Francisco 2011-21, Federal Reserve Bank of San Francisco.
  17. Greenwood, Robin & Vayanos, Dimitri, 2008. "Bond Supply and Excess Bond Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6694, C.E.P.R. Discussion Papers.
  18. Xavier Gabaix, 2008. "Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance," NBER Working Papers 13724, National Bureau of Economic Research, Inc.
  19. 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.
  20. 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.).
  21. 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.
  22. Carlo Rosa, 2012. "How "unconventional" are large-scale asset purchases? The impact of monetary policy on asset prices," Staff Reports, Federal Reserve Bank of New York 560, Federal Reserve Bank of New York.
  23. 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, Oxford University Press, vol. 29(3), pages 548-581, AUTUMN.
  24. 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.
  25. 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.
  26. Laura Jaramillo & Yuanyan Sophia Zhang, 2013. "Real Money Investors and Sovereign Bond Yields," IMF Working Papers 13/254, International Monetary Fund.
  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. 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.
  29. 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.
  30. Miles, David K & Schanz, Jochen, 2014. "The Relevance or Otherwise of the Central Bank's Balance Sheet," CEPR Discussion Papers, C.E.P.R. Discussion Papers 9812, C.E.P.R. Discussion Papers.
  31. James D. Hamilton & Jing Cynthia Wu, 2013. "Risk Premia in Crude Oil Futures Prices," NBER Working Papers 19056, National Bureau of Economic Research, Inc.
  32. 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.).
  33. Michael F. Gallmeyer & Burton Hollifield & Francisco J. Palomino & Stanley E. Zin, 2007. "Arbitrage-free bond pricing with dynamic macroeconomic models," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 305-326.
  34. Jagjit S Chadha & Philip Turner & Fabrizio Zampolli, 2013. "The interest rate effects of government debt maturity," BIS Working Papers 415, Bank for International Settlements.
  35. Nelson, Edward, 2013. "Friedman's monetary economics in practice," Journal of International Money and Finance, Elsevier, Elsevier, vol. 38(C), pages 59-83.
  36. Kapetanios, George & Mumtaz, Haroon & Stevens, Ibrahim & Theodoridis, Konstantinos, 2012. "Assessing the economy-wide effects of quantitative easing," Bank of England working papers 443, Bank of England.
  37. Marco Del Negro & Gauti Eggertsson & Andrea Ferrero & Nobuhiro Kiyotaki, 2011. "The great escape? A quantitative evaluation of the Fed’s liquidity facilities," Staff Reports, Federal Reserve Bank of New York 520, Federal Reserve Bank of New York.
  38. Jylhä, Petri & Suominen, Matti, 2011. "Speculative capital and currency carry trades," Journal of Financial Economics, Elsevier, Elsevier, vol. 99(1), pages 60-75, January.
  39. 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.
  40. 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.).
  41. Christensen, Jens H.E. & Krogstrup, Signe, 2014. "Swiss unconventional monetary policy: lessons for the transmission of quantitative easing," Working Paper Series, Federal Reserve Bank of San Francisco 2014-18, Federal Reserve Bank of San Francisco.
  42. 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.
  43. Martin Ellison, 2013. "Unconventional government debt purchases as a supplement to conventional monetary policy," Economics Series Working Papers 679, University of Oxford, Department of Economics.
  44. 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.).
  45. 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.
  46. 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.
  47. 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.
  48. 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.
  49. 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.
  50. 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.
  51. Chabot, Benjamin & Herman, Gabe, 2013. "A History of Large-Scale Asset Purchases before the Federal Reserve," Economic Perspectives, Federal Reserve Bank of Chicago, Federal Reserve Bank of Chicago, issue Q IV, pages 140-152.
  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. 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.).
  54. Philippe Mueller & Andrea Vedolin & Hao Zhou, 2011. "Short Run Bond Risk Premia," FMG Discussion Papers, Financial Markets Group dp686, Financial Markets Group.