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Richard K. Crump

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2013. "Pricing the term structure with linear regressions," Journal of Financial Economics, Elsevier, vol. 110(1), pages 110-138.

    Mentioned in:

    1. All bark but no bite? What does the yield curve tell us about growth?
      by BankUnderground in Bank Underground on 2019-06-04 08:00:14

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Richard Crump & Gopi Shah Goda & Kevin J. Mumford, 2011. "Fertility and the Personal Exemption: Comment," American Economic Review, American Economic Association, vol. 101(4), pages 1616-1628, June.

    Mentioned in:

    1. Fertility and the Personal Exemption: Comment (AER 2011) in ReplicationWiki ()

Working papers

  1. Richard K. Crump & Stefano Eusepi & Marc Giannoni & Aysegul Sahin, 2024. "The Unemployment-Inflation Trade-off Revisited: The Phillips Curve in COVID Times," Staff Reports 1086, Federal Reserve Bank of New York.

    Cited by:

    1. Kakuho Furukawa & Yoshihiko Hogen & Yosuke Kido, "undated". "Labor Market of Regular Workers in Japan: A Perspective from Job Advertisement Data," Bank of Japan Working Paper Series 23-E-7, Bank of Japan.
    2. R. Jason Faberman & Andreas I. Mueller & Ayşegül Şahin, 2022. "Has the Willingness to Work Fallen during the Covid Pandemic?," NBER Working Papers 29784, National Bureau of Economic Research, Inc.
    3. Jonathan H. Wright, 2023. "Breaks in the Phillips Curve: Evidence from Panel Data," Finance and Economics Discussion Series 2023-015, Board of Governors of the Federal Reserve System (U.S.).
    4. Gadi Barlevy & R. Jason Faberman & Bart Hobijn & Aysegul Sahin, 2023. "The Shifting Reasons for Beveridge-Curve Shifts," Working Paper Series WP 2023-38, Federal Reserve Bank of Chicago.
    5. Ángel Ubide, 2022. "The Inflation Surge of 2021–22: Scarcity of Goods and Commodities, Strong Labor Markets and Anchored Inflation Expectations," Intereconomics: Review of European Economic Policy, Springer;ZBW - Leibniz Information Centre for Economics;Centre for European Policy Studies (CEPS), vol. 57(2), pages 93-98, March.
    6. Verbrugge, Randal & Zaman, Saeed, 2023. "The hard road to a soft landing: Evidence from a (modestly) nonlinear structural model," Energy Economics, Elsevier, vol. 123(C).

  2. Richard K. Crump & Stefano Eusepi & Domenico Giannone & Eric Qian & Argia M. Sbordone, 2021. "A Large Bayesian VAR of the United States Economy," Staff Reports 976, Federal Reserve Bank of New York.

    Cited by:

    1. Anna Sznajderska & Alfred A. Haug, 2023. "Bayesian VARs of the U.S. economy before and during the pandemic," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 13(2), pages 211-236, June.
    2. Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2022. "Nowcasting with large Bayesian vector autoregressions," Journal of Econometrics, Elsevier, vol. 231(2), pages 500-519.
    3. Addie, Ron & Taranto, Aldo, 2024. "Economic Similarities and their Application to Inflation," EconStor Preprints 283286, ZBW - Leibniz Information Centre for Economics.

  3. Nina Boyarchenko & Richard K. Crump & Anna Kovner & Or Shachar, 2021. "Measuring Corporate Bond Market Dislocations," Staff Reports 957, Federal Reserve Bank of New York.

    Cited by:

    1. Boyarchenko, Nina & Kovner, Anna & Shachar, Or, 2022. "It’s what you say and what you buy: A holistic evaluation of the corporate credit facilities," Journal of Financial Economics, Elsevier, vol. 144(3), pages 695-731.
    2. Nina Boyarchenko & Caren Cox & Richard K. Crump & Andrew Danzig & Anna Kovner & Or Shachar & Patrick Steiner, 2021. "COVID Response: The Primary and Secondary Corporate Credit Facilities," Staff Reports 986, Federal Reserve Bank of New York.

  4. Nina Boyarchenko & Caren Cox & Richard K. Crump & Andrew Danzig & Anna Kovner & Or Shachar & Patrick Steiner, 2021. "COVID Response: The Primary and Secondary Corporate Credit Facilities," Staff Reports 986, Federal Reserve Bank of New York.

    Cited by:

    1. Boyarchenko, Nina & Kovner, Anna & Shachar, Or, 2022. "It’s what you say and what you buy: A holistic evaluation of the corporate credit facilities," Journal of Financial Economics, Elsevier, vol. 144(3), pages 695-731.

  5. Nina Boyarchenko & Richard K. Crump & Anna Kovner & Deborah Leonard, 2021. "COVID Response: The Commercial Paper Funding Facility," Staff Reports 982, Federal Reserve Bank of New York.

    Cited by:

    1. Matteo Aquilina & Andreas Schrimpf & Karamfil Todorov, 2023. "CP and CDs markets: a primer," BIS Quarterly Review, Bank for International Settlements, September.
    2. Metrick, Andrew, 2022. "Market Support Programs: COVID-19 Crisis," Journal of Financial Crises, Yale Program on Financial Stability (YPFS), vol. 4(2), pages 179-219, April.
    3. Jean Barthélémy & Paul Gardin & Benoit Nguyen, 2023. "Stablecoins and the Financing of the Real Economy," Working papers 908, Banque de France.

  6. Richard K. Crump & Stefano Eusepi & Emanuel Moench & Bruce Preston, 2021. "The Term Structure of Expectations," Staff Reports 992, Federal Reserve Bank of New York.

    Cited by:

    1. Maik Schmeling & Andreas Schrimpf & Sigurd A. M. Steffensen, 2022. "Monetary policy expectation errors," BIS Working Papers 996, Bank for International Settlements.
    2. McNeil, James, 2023. "Monetary policy and the term structure of inflation expectations with information frictions," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).

  7. Cao, Shuo & Crump, Richard K. & ,, 2020. "Fundamental Disagreement about Monetary Policy and the Term Structure of Interest Rates," CEPR Discussion Papers 15122, C.E.P.R. Discussion Papers.

    Cited by:

    1. Baumeister, Christiane, 2021. "Measuring Market Expectations," CEPR Discussion Papers 16520, C.E.P.R. Discussion Papers.
    2. Kenneth J. Singleton, 2021. "Presidential Address: How Much “Rationality” Is There in Bond‐Market Risk Premiums?," Journal of Finance, American Finance Association, vol. 76(4), pages 1611-1654, August.
    3. Marco Giacoletti & Kristoffer T. Laursen & Kenneth J. Singleton, 2021. "Learning From Disagreement in the U.S. Treasury Bond Market," Journal of Finance, American Finance Association, vol. 76(1), pages 395-441, February.
    4. Ricardo Reis, 2020. "The People versus the Markets: A Parsimonious Model of Inflation Expectations," Discussion Papers 2033, Centre for Macroeconomics (CFM).
    5. Maryam Movahedifar & Hossein Hassani & Masoud Yarmohammadi & Mahdi Kalantari & Rangan Gupta, 2021. "A robust approach for outlier imputation: Singular Spectrum Decomposition," Working Papers 202164, University of Pretoria, Department of Economics.

  8. Richard K. Crump & Christopher J. Nekarda & Nicolas Petrosky-Nadeau, 2020. "Unemployment Rate Benchmarks," Finance and Economics Discussion Series 2020-072, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. D’Amuri, Francesco & De Philippis, Marta & Guglielminetti, Elisa & Lo Bello, Salvatore, 2022. "Slack and prices during Covid-19: Accounting for labor market participation," Labour Economics, Elsevier, vol. 75(C).

  9. Nina Boyarchenko & Richard K. Crump & Anna Kovner & Or Shachar & Peter Van Tassel, 2020. "The Primary and Secondary Market Corporate Credit Facilities," Liberty Street Economics 20200526a, Federal Reserve Bank of New York.

    Cited by:

    1. Mahdi Ebsim & Miguel Faria-e-Castro & Julian Kozlowski, 2020. "Credit and Liquidity Policies during Large Crises," Working Papers 2020-035, Federal Reserve Bank of St. Louis, revised 22 Feb 2024.
    2. Larry D. Wall, 2021. "So Far, So Good: Government Insurance of Financial Sector Tail Risk," Policy Hub, Federal Reserve Bank of Atlanta, vol. 2021(13), November.
    3. Nina Boyarchenko & Caren Cox & Richard K. Crump & Andrew Danzig & Anna Kovner & Or Shachar & Patrick Steiner, 2022. "The Primary and Secondary Corporate Credit Facilities," Economic Policy Review, Federal Reserve Bank of New York, vol. 28(1), July.
    4. Nina Boyarchenko & Caren Cox & Richard K. Crump & Andrew Danzig & Anna Kovner & Or Shachar & Patrick Steiner, 2021. "COVID Response: The Primary and Secondary Corporate Credit Facilities," Staff Reports 986, Federal Reserve Bank of New York.

  10. Giannoni, Marc & Crump, Richard K. & Eusepi, Stefano & Sahin, Aysegul, 2019. "A Unified Approach to Measuring u," CEPR Discussion Papers 13939, C.E.P.R. Discussion Papers.

    Cited by:

    1. Hie Joo Ahn & Bart Hobijn, 2023. "The Dual U.S. Labor Market Uncovered," Finance and Economics Discussion Series 2023-031, Board of Governors of the Federal Reserve System (U.S.).
    2. James McNeil & Gregor W. Smith, 2022. "The All-Gap Phillips Curve," Working Paper 1488, Economics Department, Queen's University.
    3. Alexander Doser & Ricardo Nunes & Nikhil Rao & Viacheslav Sheremirov, 2017. "Inflation expectations and nonlinearities in the Phillips curve," Working Papers 17-11, Federal Reserve Bank of Boston.
    4. Bruce Fallick & Pawel Krolikowski, 2019. "Excess Persistence in Employment of Disadvantaged Workers," Working Papers 18-01R, Federal Reserve Bank of Cleveland.
    5. D’Amuri, Francesco & De Philippis, Marta & Guglielminetti, Elisa & Lo Bello, Salvatore, 2022. "Slack and prices during Covid-19: Accounting for labor market participation," Labour Economics, Elsevier, vol. 75(C).
    6. Richard K. Crump & Christopher J. Nekarda & Nicolas Petrosky-Nadeau, 2020. "Unemployment Rate Benchmarks," Finance and Economics Discussion Series 2020-072, Board of Governors of the Federal Reserve System (U.S.).
    7. Janice C. Eberly & James H. Stock & Jonathan H. Wright, 2020. "The Federal Reserve's Current Framework for Monetary Policy: A Review and Assessment," International Journal of Central Banking, International Journal of Central Banking, vol. 16(1), pages 5-71, February.
    8. Francesco D'Amuri & Marta De Philippis & Elisa Guglielminetti & Salvatore Lo Bello, 2021. "Natural unemployment and activity rates: flow-based determinants and implications for price dynamics," Questioni di Economia e Finanza (Occasional Papers) 599, Bank of Italy, Economic Research and International Relations Area.
    9. Murasawa, Yasutomo, 2019. "Bayesian multivariate Beveridge--Nelson decomposition of I(1) and I(2) series with cointegration," MPRA Paper 91979, University Library of Munich, Germany.
    10. Kurt Graden Lunsford, 2023. "Business Cycles and Low-Frequency Fluctuations in the US Unemployment Rate," Working Papers 23-19, Federal Reserve Bank of Cleveland.
    11. William Chen & Marco Del Negro & Michele Lenza & Giorgio E. Primiceri & Andrea Tambalotti, 2020. "What’s Up with the Phillips Curve?," Liberty Street Economics 20200918a, Federal Reserve Bank of New York.
    12. Ayşegül Şahin & Murat Tasci & Jin Yan, 2021. "Unemployment in the Time of COVID-19: A Flow-Based Approach to Real-time Unemployment Projections," NBER Working Papers 28445, National Bureau of Economic Research, Inc.
    13. Brand, Claus & Obstbaum, Meri & Coenen, Günter & Sondermann, David & Lydon, Reamonn & Ajevskis, Viktors & Hammermann, Felix & Angino, Siria & Hernborg, Nils & Basso, Henrique & Hertweck, Matthias & Bi, 2021. "Employment and the conduct of monetary policy in the euro area," Occasional Paper Series 275, European Central Bank.
    14. Christopher D. Cotton & Vaishali Garga, 2022. "The Role of Industrial Composition in Driving the Frequency of Price Change," Working Papers 22-9, Federal Reserve Bank of Boston.
    15. Robert E. Hall & Marianna Kudlyak, 2020. "The Inexorable Recoveries of Unemployment," NBER Working Papers 28111, National Bureau of Economic Research, Inc.
    16. Mary C. Daly, 2022. "This Time Is Different…Because We Are," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, vol. 2022(05), pages 1-08, February.
    17. Sengul, Gonul & Tasci, Murat, 2020. "Unemployment flows, participation, and the natural rate of unemployment: Evidence from turkey," Journal of Macroeconomics, Elsevier, vol. 64(C).
    18. Sebastian Heise & Fatih Karahan & Ayşegül Şahin, 2022. "The Missing Inflation Puzzle: The Role of the Wage‐Price Pass‐Through," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(S1), pages 7-51, February.
    19. R. Jason Faberman & Andreas I. Mueller & Ayşegül Şahin* & Giorgio Topa, 2020. "The Shadow Margins of Labor Market Slack," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(S2), pages 355-391, December.
    20. Ahn, Hie Joo, 2023. "Duration structure of unemployment hazards and the trend unemployment rate," Journal of Economic Dynamics and Control, Elsevier, vol. 151(C).
    21. Acharya, Sushant & Wee, Shu Lin, 2020. "On-the-job Search and the Productivity-Wage Gap," CEPR Discussion Papers 14430, C.E.P.R. Discussion Papers.
    22. Richard K. Crump & Stefano Eusepi & Marc Giannoni & Ayşegül Şahin, 2022. "The Unemployment-Inflation Trade-off Revisited: The Phillips Curve in COVID Times," NBER Working Papers 29785, National Bureau of Economic Research, Inc.
    23. Simon Mongey & Giovanni L. Violante, 2019. "Macro Recruiting Intensity from Micro Data," NBER Working Papers 26231, National Bureau of Economic Research, Inc.
    24. James H. Stock & Mark W. Watson, 2020. "Slack and Cyclically Sensitive Inflation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(S2), pages 393-428, December.
    25. Bruce Fallick & Christopher L. Foote, 2022. "The Impact of the Age Distribution on Unemployment: Evidence from US States," Working Papers 22-27, Federal Reserve Bank of Cleveland.
    26. Kurt Graden Lunsford, 2020. "Recessions and the Trend in the US Unemployment Rate," Economic Commentary, Federal Reserve Bank of Cleveland, vol. 2021(01), pages 1-8, February.
    27. Canova, Fabio, 2020. "FAQ: How do I measure the Output gap?," CEPR Discussion Papers 14943, C.E.P.R. Discussion Papers.
    28. Artem Vdovychenko, 2022. "Estimating the natural rate of unemployment for Ukraine," IHEID Working Papers 21-2022, Economics Section, The Graduate Institute of International Studies.
    29. Ayşegül Şahin & Murat Tasci, 2020. "The Unemployment Cost of COVID-19: How High and How Long?," Economic Commentary, Federal Reserve Bank of Cleveland, vol. 2020(09), May.
    30. Bart Hobijn & Ayşegül Şahin, 2021. "Maximum Employment and the Participation Cycle," NBER Working Papers 29222, National Bureau of Economic Research, Inc.
    31. Xin Scott Chen & Ali Jaffery & Guillaume Nolin & Karim Salhab & Peter Shannon & Subrata Sarker, 2020. "Assessing Global Potential Output Growth: October 2020," Discussion Papers 2020-10, Bank of Canada.
    32. Michaillat, Pascal & Saez, Emmanuel, 2019. "Beveridgean Unemployment Gap," CEPR Discussion Papers 14132, C.E.P.R. Discussion Papers.
    33. John D. Burger & Francis E. Warnock & Veronica Cacdac Warnock, 2019. "The Natural Level of Capital Flows," NBER Working Papers 26184, National Bureau of Economic Research, Inc.
    34. Ayşegül Şahin, 2021. "Comment on "Why Has the US Economy Recovered So Consistently from Every Recession in the Past 70 Years?"," NBER Chapters, in: NBER Macroeconomics Annual 2021, volume 36, pages 68-79, National Bureau of Economic Research, Inc.
    35. Peter D. Williams & Mr. Yasser Abdih & Emanuel Kopp, 2020. "Reading the Stars," IMF Working Papers 2020/136, International Monetary Fund.
    36. Serdar Birinci & Kurt See & Shu Lin Wee, 2020. "Job Applications and Labor Market Flows," Working Papers 2020-023, Federal Reserve Bank of St. Louis, revised Jan 2023.
    37. Fatih Karahan & Benjamin Pugsley & Ayşegül Şahin, 2019. "Demographic Origins of the Startup Deficit," NBER Working Papers 25874, National Bureau of Economic Research, Inc.
    38. Richard K. Crump & Nikolay Gospodinov & Hunter Wieman, 2023. "Sparse Trend Estimation," Staff Reports 1049, Federal Reserve Bank of New York.
    39. Venkata Raamasrinivas Mangapuram, 2022. "A Constant Gain Learning Explanation of U.S. Post War Inflation and Unemployment," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 20(3), pages 701-721, September.
    40. Canova, Fabio, 2020. "FAQ: How do I extract the output gap?," Working Paper Series 386, Sveriges Riksbank (Central Bank of Sweden).
    41. Saeed Zaman, 2021. "A Unified Framework to Estimate Macroeconomic Stars," Working Papers 21-23R2, Federal Reserve Bank of Cleveland, revised 31 May 2024.

  11. Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Yingjie Feng, 2019. "Binscatter Regressions," Papers 1902.09615, arXiv.org, revised Jul 2023.

    Cited by:

    1. Evan Starr & Brent Goldfarb, 2020. "Binned scatterplots: A simple tool to make research easier and better," Strategic Management Journal, Wiley Blackwell, vol. 41(12), pages 2261-2274, December.
    2. Richard K. Crump & Stefano Eusepi & Andrea Tambalotti & Giorgio Topa, 2015. "Subjective Intertemporal Substitution," Staff Reports 734, Federal Reserve Bank of New York.
    3. Raphael Brade, 2024. "Short-Term Events, Long-Term Friends? Freshman Orientation Peers and Academic Performance," CESifo Working Paper Series 11046, CESifo.

  12. Richard K. Crump & Nikolay Gospodinov, 2019. "Deconstructing the yield curve," Staff Reports 884, Federal Reserve Bank of New York.

    Cited by:

    1. Moench, Emanuel & Soofi-Siavash, Soroosh, 2022. "What moves treasury yields?," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1016-1043.

  13. Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Ernst Schaumburg, 2018. "Characteristic-Sorted Portfolios: Estimation and Inference," Papers 1809.03584, arXiv.org, revised Oct 2019.

    Cited by:

    1. Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Yingjie Feng, 2019. "On binscatter," Staff Reports 881, Federal Reserve Bank of New York.
      • Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Yingjie Feng, 2024. "On Binscatter," American Economic Review, American Economic Association, vol. 114(5), pages 1488-1514, May.
      • Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Yingjie Feng, 2019. "On Binscatter," Papers 1902.09608, arXiv.org, revised Apr 2024.
    2. Matias D. Cattaneo & Max H. Farrell & Yingjie Feng, 2018. "Large Sample Properties of Partitioning-Based Series Estimators," Papers 1804.04916, arXiv.org, revised Jun 2019.
    3. Christophe J. GODLEWSKI & Katarzyna BYRKA-KITA & Renata GOLA & Jacek CYPRYJANSKI, 2022. "Silence is not golden anymore? Social media activity and stock market valuation in Europe," Working Papers of LaRGE Research Center 2022-04, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
    4. Matias D. Cattaneo & Richard K. Crump & Weining Wang, 2023. "Beta-Sorted Portfolios," Staff Reports 1068, Federal Reserve Bank of New York.
    5. Joachim Freyberger & Andreas Neuhierl & Michael Weber & Michael Weber, 2017. "Dissecting Characteristics Nonparametrically," CESifo Working Paper Series 6391, CESifo.
    6. Chaieb, Ines & Langlois, Hugues & Scaillet, Olivier, 2021. "Factors and risk premia in individual international stock returns," Journal of Financial Economics, Elsevier, vol. 141(2), pages 669-692.
    7. Guillaume Coqueret, 2022. "Characteristics-driven returns in equilibrium," Papers 2203.07865, arXiv.org.
    8. Ni, Xuanming & Zheng, Tiantian & Zhao, Huimin & Zhu, Shushang, 2023. "High-dimensional portfolio optimization based on tree-structured factor model," Pacific-Basin Finance Journal, Elsevier, vol. 81(C).

  14. Richard K. Crump & Domenico Giannone & Sean Hundtofte, 2018. "Changing Risk-Return Profiles," Liberty Street Economics 20181004, Federal Reserve Bank of New York.

    Cited by:

    1. Martina Hengge, 2019. "Uncertainty as a Predictor of Economic Activity," IHEID Working Papers 19-2019, Economics Section, The Graduate Institute of International Studies.
    2. Richard K. Crump & João A. C. Santos, 2018. "Review of New York Fed studies on the effects of post-crisis banking reforms," Economic Policy Review, Federal Reserve Bank of New York, issue 24-2, pages 71-90.
    3. Busetto, Filippo, 2024. "Asymmetric expectations of monetary policy," Bank of England working papers 1058, Bank of England.
    4. Nina Boyarchenko & Domenico Giannone & Or Shachar, 2018. "Flighty liquidity," Staff Reports 870, Federal Reserve Bank of New York.

  15. Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2016. "The term structure of expectations and bond yields," Staff Reports 775, Federal Reserve Bank of New York.

    Cited by:

    1. Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2018. "Global trends in interest rates," Staff Reports 866, Federal Reserve Bank of New York.
    2. Thomas M. Mertens & John C. Williams, 2020. "What to Expect from the Lower Bound on Interest Rates: Evidence from Derivatives Prices," Working Paper Series 2018-03, Federal Reserve Bank of San Francisco.
    3. Martin Kliem & Alexander Meyer-Gohde, 2018. "(Un)expected Monetary Policy Shocks and Term Premia," 2018 Meeting Papers 102, Society for Economic Dynamics.
    4. Halberstadt, Arne, 2023. "Decomposing the yield curve with linear regressions and survey information," The Quarterly Review of Economics and Finance, Elsevier, vol. 91(C), pages 25-39.
    5. NAKAJIMA, Jouchi, 2023. "Estimating trend inflation in a regime-switching Phillips curve," Discussion Paper Series 750, Institute of Economic Research, Hitotsubashi University.
    6. Michael D. Bauer & Glenn D. Rudebusch, 2019. "Interest Rates Under Falling Stars," Working Paper Series 2017-16, Federal Reserve Bank of San Francisco.
    7. Marta Banbura & Andries van Vlodrop, 2018. "Forecasting with Bayesian Vector Autoregressions with Time Variation in the Mean," Tinbergen Institute Discussion Papers 18-025/IV, Tinbergen Institute.
    8. Abrahams, Michael & Adrian, Tobias & Crump, Richard K. & Moench, Emanuel & Yu, Rui, 2016. "Decomposing real and nominal yield curves," Journal of Monetary Economics, Elsevier, vol. 84(C), pages 182-200.
    9. Stefano Eusepi & Marc P. Giannoni & Bruce Preston, 2017. "Some implications of learning for price stability," CAMA Working Papers 2017-08, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    10. Lange, Ronald Henry, 2018. "The predictive content of the term premium for GDP growth in Canada: Evidence from linear, Markov-switching and probit estimations," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 80-91.
    11. Marc Giannoni & Domenico Giannone & Andrea Tambalotti & Marco Del Negro, 2017. "Safety, Liquidity, and the Natural Rate of Interest," 2017 Meeting Papers 803, Society for Economic Dynamics.
    12. Miranda-Agrippino, Silvia & Hacıoglu Hoke, Sinem, 2018. "When creativity strikes: news shocks and business cycle fluctuations," LSE Research Online Documents on Economics 90381, London School of Economics and Political Science, LSE Library.
    13. Riccardo Rebonato, 2017. "Affine Models With Stochastic Market Price Of Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(04), pages 1-38, June.
    14. Schupp, Fabian, 2020. "The (ir)relevance of the nominal lower bound for real yield curve analysis," Discussion Papers 32/2020, Deutsche Bundesbank.
    15. Ethan Struby, 2018. "Macroeconomic Disagreement in Treasury Yields," Working Papers 2018-04, Carleton College, Department of Economics.
    16. Nitschka, Thomas & Ramelet, Marc-Antoine, 2023. "Shock and awe? Bond yield responses to domestic monetary policy in a small-open economy," Economics Letters, Elsevier, vol. 231(C).

  16. Richard K. Crump & Stefano Eusepi, 2016. "Fundamental Disagreement: How Much and Why?," Liberty Street Economics 20160113, Federal Reserve Bank of New York.

    Cited by:

    1. Park, Sunjin, 2022. "Heterogeneous beliefs in macroeconomic growth prospects and the carry risk premium," Journal of Banking & Finance, Elsevier, vol. 136(C).
    2. Sebastian Link & Andreas Peichl & Christopher Roth & Johannes Wohlfart, 2023. "Attention to the Macroeconomy," CESifo Working Paper Series 10858, CESifo.
    3. Michael D. Bauer & Carolin E. Pflueger & Adi Sunderam, 2022. "Perceptions about Monetary Policy," CESifo Working Paper Series 10182, CESifo.
    4. Kajal Lahiri & Huaming Peng & Xuguang Simon Sheng, 2021. "Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity," Working Papers 2021-005, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    5. Kuang, Pei & Tang, Li & Zhang, Renbin & Zhang, Tongbin, 2022. "Forecast disagreement about long-run macroeconomic relationships," Journal of Economic Behavior & Organization, Elsevier, vol. 200(C), pages 371-387.
    6. Richard K. Crump & Stefano Eusepi & Andrea Tambalotti & Giorgio Topa, 2015. "Subjective Intertemporal Substitution," Staff Reports 734, Federal Reserve Bank of New York.
    7. An, Zidong & Zheng, Xinye, 2023. "Diligent forecasters can make accurate predictions despite disagreeing with the consensus," Economic Modelling, Elsevier, vol. 125(C).
    8. Ehrmann, Michael & Hubert, Paul, 2022. "Information Acquisition ahead of Monetary Policy Announcements," CEPR Discussion Papers 17773, C.E.P.R. Discussion Papers.
    9. Glas, Alexander, 2020. "Five dimensions of the uncertainty–disagreement linkage," International Journal of Forecasting, Elsevier, vol. 36(2), pages 607-627.
    10. Glas, Alexander & Heinisch, Katja, 2021. "Conditional macroeconomic forecasts: Disagreement, revisions and forecast errors," IWH Discussion Papers 7/2021, Halle Institute for Economic Research (IWH).
    11. Li, Huijing & Li, Hong & Lu, Lei & Theocharides, George & Xiong, Xiong, 2020. "Macro disagreement and international options markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
    12. Cornand Camille & Hubert Paul, 2022. "Information Frictions Across Various Types of Inflation Expectations," Working papers 873, Banque de France.
    13. Camille Cornand & Paul Hubert, 2022. "Information frictions in inflation expectations among five types of economic agents," Post-Print hal-03468918, HAL.
    14. Cole, Stephen J. & Milani, Fabio, 2021. "Heterogeneity in individual expectations, sentiment, and constant-gain learning," Journal of Economic Behavior & Organization, Elsevier, vol. 188(C), pages 627-650.
    15. McNeil, James, 2023. "Monetary policy and the term structure of inflation expectations with information frictions," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
    16. Doina Chichernea & Kershen Huang & Alex Petkevich, 2019. "Does maturity matter? The case of treasury futures volume," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(10), pages 1301-1321, October.
    17. Yoosoon Chang & Fabio Gómez-Rodríguez & Mr. Gee Hee Hong, 2022. "The Effects of Economic Shocks on Heterogeneous Inflation Expectations," IMF Working Papers 2022/132, International Monetary Fund.
    18. Benhima, Kenza & Poilly, Céline, 2021. "Does demand noise matter? Identification and implications," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 278-295.
    19. Shuo Cao & Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2020. "Fundamental Disagreement about Monetary Policy and the Term Structure of Interest Rates," Staff Reports 934, Federal Reserve Bank of New York.
    20. Bartosz Maćkowiak & Filip Matějka & Mirko Wiederholt, 2023. "Rational Inattention: A Review," SciencePo Working papers Main hal-03878692, HAL.
    21. Zidong An & Salem Abo‐Zaid & Xuguang Simon Sheng, 2023. "Inattention and the impact of monetary policy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 623-643, June.
    22. Richard K. Crump & Stefano Eusepi & Emanuel Moench & Bruce Preston, 2021. "The Term Structure of Expectations," Staff Reports 992, Federal Reserve Bank of New York.
    23. Tsiaplias, Sarantis, 2020. "Time-Varying Consumer Disagreement and Future Inflation," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
    24. Gabriel Caldas Montes & Paulo Henrique Lourenço Luna, 2022. "Do fiscal opacity, fiscal impulse, and fiscal credibility affect disagreement about economic growth forecasts? Empirical evidence from Brazil considering the period of political instability and presid," Review of Development Economics, Wiley Blackwell, vol. 26(4), pages 2356-2393, November.
    25. Alessandro Barbera & Dora Xia & Sonya Zhu, 2023. "The term structure of inflation forecasts disagreement and monetary policy transmission," BIS Working Papers 1114, Bank for International Settlements.
    26. Robert L. Czudaj, 2021. "Heterogeneity of Beliefs and Information Rigidity in the Crude Oil Market: Evidence from Survey Data," Chemnitz Economic Papers 050, Department of Economics, Chemnitz University of Technology, revised Sep 2021.
    27. Nathan Goldstein & Ben‐Zion Zilberfarb, 2023. "The closer we get, the better we are?," Economic Inquiry, Western Economic Association International, vol. 61(2), pages 364-376, April.
    28. Falck, E. & Hoffmann, M. & Hürtgen, P., 2021. "Disagreement about inflation expectations and monetary policy transmission," Journal of Monetary Economics, Elsevier, vol. 118(C), pages 15-31.
    29. Lien, Donald & Sun, Yuchen & Zhang, Chengsi, 2021. "Uncertainty, confidence, and monetary policy in China," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 1347-1358.
    30. Ou, Shengliang & Zhang, Donghai & Zhang, Renbin, 2021. "Information frictions, monetary policy, and the paradox of price flexibility," Journal of Monetary Economics, Elsevier, vol. 120(C), pages 70-82.
    31. Gabriel Caldas Montes & Igor Mendes Marcelino, 2023. "Uncertainties and disagreements in expectations of professional forecasters: Evidence from an inflation targeting developing country," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 937-956, July.
    32. Chini, Emilio Zanetti, 2023. "Can we estimate macroforecasters’ mis-behavior?," Journal of Economic Dynamics and Control, Elsevier, vol. 149(C).
    33. Yongchen Zhao, 2022. "Uncertainty and disagreement of inflation expectations: Evidence from household‐level qualitative survey responses," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 810-828, July.
    34. Esady, Vania, 2022. "Real and nominal effects of monetary shocks under time-varying disagreement," Bank of England working papers 1007, Bank of England.

  17. Adrian, Tobias & Crump, Richard K. & Vogt, Erik, 2016. "Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds," CEPR Discussion Papers 11401, C.E.P.R. Discussion Papers.

    Cited by:

    1. Conrad, Christian & Stuermer, Karin, 2017. "On the economic determinants of optimal stock-bond portfolios: international evidence," Working Papers 0636, University of Heidelberg, Department of Economics.
    2. Tobias Adrian & Daniel Stackman & Erik Vogt, 2019. "Global Price of Risk and Stabilization Policies," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 67(1), pages 215-260, March.
    3. Shi, Huai-Long & Zhou, Wei-Xing, 2022. "Factor volatility spillover and its implications on factor premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    4. Lei, Heng & Xue, Minggao & Liu, Huiling & Ye, Jing, 2023. "Precious metal as a safe haven for global ESG stocks: Portfolio implications for socially responsible investing," Resources Policy, Elsevier, vol. 80(C).
    5. Joseph, Byrne & Sakemoto, Ryuta, 2020. "The Conditional Risk and Return Trade-Off on Currency Portfolios," MPRA Paper 99497, University Library of Munich, Germany.
    6. Mirco Rubin & Dario Ruzzi, 2020. "Equity Tail Risk in the Treasury Bond Market," Papers 2007.05933, arXiv.org.
    7. Daniel Andrei & Bruce Carlin & Michael Hasler, 2019. "Asset Pricing with Disagreement and Uncertainty About the Length of Business Cycles," Management Science, INFORMS, vol. 67(6), pages 2900-2923, June.
    8. Zhiguo He & Stefan Nagel & Zhaogang Song, 2020. "Treasury Inconvenience Yields during the COVID-19 Crisis," NBER Working Papers 27416, National Bureau of Economic Research, Inc.
    9. Petar Sabtchevsky & Paul Whelan & Andrea Vedolin & Philippe Mueller, 2017. "Variance Risk Premia on Stocks and Bonds," 2017 Meeting Papers 1161, Society for Economic Dynamics.
    10. Thomas M. Eisenbach & Gregory Phelan, 2022. "Fragility of Safe Asset Markets," Staff Reports 1026, Federal Reserve Bank of New York.
    11. Nakagawa, Kei & Sakemoto, Ryuta, 2022. "Market uncertainty and correlation between Bitcoin and Ether," Finance Research Letters, Elsevier, vol. 50(C).
    12. Piergiorgio Alessandri & Antonio M. Conti & Fabrizio Venditti, 2016. "The Financial Stability Dark Side of Monetary Policy," BCAM Working Papers 1601, Birkbeck Centre for Applied Macroeconomics.
    13. Hodula, Martin & Szabo, Milan & Bajzík, Josef, 2024. "Retail fund flows and performance: Insights from supervisory data," Emerging Markets Review, Elsevier, vol. 59(C).
    14. Chen, Yu-Lun & Yang, J. Jimmy, 2021. "Trader positions in VIX futures," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 1-17.
    15. Venmans, Frank, 2021. "The leverage anomaly in U.S. bank stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    16. Umlandt, Dennis, 2023. "Score-driven asset pricing: Predicting time-varying risk premia based on cross-sectional model performance," Journal of Econometrics, Elsevier, vol. 237(2).
    17. Lehnert, Thorsten, 2022. "Flight-to-safety and retail investor behavior," International Review of Financial Analysis, Elsevier, vol. 81(C).
    18. Chung, Chien-Ping & Liao, Tzu-Hsiang & Lee, Hsiu-Chuan, 2021. "Volatility spillovers of A- and B-shares for the Chinese stock market and its impact on the Chinese index returns," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
    19. Liu, Xiaochun, 2017. "Unfolded risk-return trade-offs and links to Macroeconomic Dynamics," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 1-19.
    20. Akhtaruzzaman, Md & Boubaker, Sabri & Lucey, Brian M. & Sensoy, Ahmet, 2021. "Is gold a hedge or a safe-haven asset in the COVID–19 crisis?," Economic Modelling, Elsevier, vol. 102(C).
    21. Bodilsen, Simon & Eriksen, Jonas N. & Grønborg, Niels S., 2021. "Asset pricing and FOMC press conferences," Journal of Banking & Finance, Elsevier, vol. 128(C).
    22. Richard K. Crump & Miro Everaert & Domenico Giannone & Sean Hundtofte, 2018. "Changing Risk-Return Profiles," Staff Reports 850, Federal Reserve Bank of New York.
    23. Chiah, Mardy & Tian, Xiao & Zhong, Angel, 2022. "Lockdown and retail trading in the equity market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 33(C).
    24. Janus, Jakub, 2022. "Cross-border flights to safe assets in bond markets: evidence from emerging market economies," MPRA Paper 113875, University Library of Munich, Germany.
    25. Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2018. "Vulnerable Growth," Liberty Street Economics 20180409, Federal Reserve Bank of New York.
    26. Hsu, Chih-Hsiang & Lee, Hsiu-Chuan & Lien, Donald, 2020. "Stock market uncertainty, volatility connectedness of financial institutions, and stock-bond return correlations," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 600-621.
    27. Ana González-Urteaga & Belén Nieto & Gonzalo Rubio, 2022. "Spillover dynamics effects between risk-neutral equity and Treasury volatilities," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 13(4), pages 663-708, December.
    28. Dennis Umlandt, 2020. "Likelihood-based Dynamic Asset Pricing: Learning Time-varying Risk Premia from Cross-Sectional Models," Working Paper Series 2020-06, University of Trier, Research Group Quantitative Finance and Risk Analysis.
    29. Tobias Adrian & Michael J. Fleming & Erik Vogt, 2017. "The Evolution of Treasury Market Liquidity: Evidence from 30 Years of Limit Order Book Data," Staff Reports 827, Federal Reserve Bank of New York.
    30. Xiang, Yun & He, Jiaxuan, 2022. "Pairs trading and asset pricing," Pacific-Basin Finance Journal, Elsevier, vol. 72(C).
    31. Adrian, Tobias & , & Shin, Hyun Song, 2016. "Dynamic Leverage Asset Pricing," CEPR Discussion Papers 11466, C.E.P.R. Discussion Papers.
    32. Bansal, Naresh & Stivers, Chris, 2022. "Bond risk’s role in the equity risk-return tradeoff," Journal of Financial Markets, Elsevier, vol. 60(C).
    33. Chan Joshua C.C. & Fry-McKibbin Renée A. & Hsiao Cody Yu-Ling, 2019. "A regime switching skew-normal model of contagion," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(1), pages 1-24, February.
    34. Jorge M. Uribe, 2018. "“Scaling Down Downside Risk with Inter-Quantile Semivariances”," IREA Working Papers 201826, University of Barcelona, Research Institute of Applied Economics, revised Oct 2018.
    35. Janus, Jakub, 2023. "Flights to safe assets in bond markets: Evidence from emerging market economies," Journal of International Money and Finance, Elsevier, vol. 139(C).
    36. Jappelli, Ruggero & Lucke, Konrad & Pelizzon, Loriana, 2022. "Price and liquidity discovery in European sovereign bonds and futures," SAFE Working Paper Series 350, Leibniz Institute for Financial Research SAFE.
    37. Mirco Rubin & Dario Ruzzi, 2020. "Equity tail risk in the treasury bond market," Temi di discussione (Economic working papers) 1311, Bank of Italy, Economic Research and International Relations Area.
    38. Andrieș, Alin Marius & Ongena, Steven & Sprincean, Nicu, 2021. "The COVID-19 Pandemic and Sovereign Bond Risk," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    39. Kaminska, Iryna & Roberts-Sklar, Matt, 2015. "A global factor in variance risk premia and local bond pricing," Bank of England working papers 576, Bank of England.
    40. Naresh Bansal & Robert A. Connolly & Chris Stivers, 2022. "Beta and size equity premia following a high‐VIX threshold," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1491-1517, August.
    41. Zeng, Ting & Yang, Mengying & Shen, Yifan, 2020. "Fancy Bitcoin and conventional financial assets: Measuring market integration based on connectedness networks," Economic Modelling, Elsevier, vol. 90(C), pages 209-220.
    42. Hassan, M. Kabir & Djajadikerta, Hadrian Geri & Choudhury, Tonmoy & Kamran, Muhammad, 2022. "Safe havens in Islamic financial markets: COVID-19 versus GFC," Global Finance Journal, Elsevier, vol. 54(C).
    43. Richard K. Crump & Nikolay Gospodinov, 2019. "Deconstructing the yield curve," Staff Reports 884, Federal Reserve Bank of New York.
    44. Faten Ben Bouheni & Hassan Obeid & Elena Margarint, 2022. "Nonperforming loan of European Islamic banks over the economic cycle," Annals of Operations Research, Springer, vol. 313(2), pages 773-808, June.
    45. Cheema, Muhammad A. & Faff, Robert & Szulczyk, Kenneth R., 2022. "The 2008 global financial crisis and COVID-19 pandemic: How safe are the safe haven assets?," International Review of Financial Analysis, Elsevier, vol. 83(C).
    46. Nektarios Aslanidis & Charlotte Christiansen & Christos S. Savva, 2021. "Quantile Risk–Return Trade-Off," JRFM, MDPI, vol. 14(6), pages 1-14, June.
    47. Byrne, Joseph P. & Sakemoto, Ryuta, 2021. "The conditional volatility premium on currency portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    48. Semeyutin, Artur & Downing, Gareth, 2022. "Co-jumps in the U.S. interest rates and precious metals markets and their implications for investors," International Review of Financial Analysis, Elsevier, vol. 81(C).

  18. Moench, Emanuel & Adrian, Tobias & Crump, Richard K., 2015. "Regression Based Estimation of Dynamic Asset Pricing Models," CEPR Discussion Papers 10449, C.E.P.R. Discussion Papers.

    Cited by:

    1. Tobias Adrian & Daniel Stackman & Erik Vogt, 2019. "Global Price of Risk and Stabilization Policies," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 67(1), pages 215-260, March.
    2. Taylor, Alan M. & Davis, Josh & Fuenzalida, Cristian, 2019. "The Natural Rate Puzzle: Global Macro Trends and the Market-Implied r," CEPR Discussion Papers 14201, C.E.P.R. Discussion Papers.
    3. Joseph, Byrne & Sakemoto, Ryuta, 2020. "The Conditional Risk and Return Trade-Off on Currency Portfolios," MPRA Paper 99497, University Library of Munich, Germany.
    4. Baltzer, Markus & Koehl, Alexandra & Reitz, Stefan, 2019. "Procyclical leverage in Europe and its role in asset pricing," Discussion Papers 10/2019, Deutsche Bundesbank.
    5. Pinter, Gabor, 2018. "Macroeconomic shocks and risk premia," LSE Research Online Documents on Economics 90370, London School of Economics and Political Science, LSE Library.
    6. Umlandt, Dennis, 2023. "Score-driven asset pricing: Predicting time-varying risk premia based on cross-sectional model performance," Journal of Econometrics, Elsevier, vol. 237(2).
    7. Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Ernst Schaumburg, 2020. "Characteristic-Sorted Portfolios: Estimation and Inference," The Review of Economics and Statistics, MIT Press, vol. 102(3), pages 531-551, July.
    8. Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2022. "The time-varying risk price of currency portfolios," Journal of International Money and Finance, Elsevier, vol. 124(C).
    9. Peter Van Tassel & Erik Vogt, 2016. "Global variance term premia and intermediary risk appetite," Staff Reports 789, Federal Reserve Bank of New York.
    10. Sakemoto, Ryuta, 2019. "Currency carry trades and the conditional factor model," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 198-208.
    11. Stefan Behrendt, 2017. "Low Long-Term Interest Rates - An alternative View," Jena Economics Research Papers 2017-001, Friedrich-Schiller-University Jena.
    12. Liao Zhu & Robert A. Jarrow & Martin T. Wells, 2020. "Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model," Papers 2011.04171, arXiv.org, revised Apr 2021.
    13. Claudio Borio & Piti Disyatat & Phurichai Rungcharoenkitkul, 2019. "What anchors for the natural rate of interest?," BIS Working Papers 777, Bank for International Settlements.
    14. Smith, Simon C. & Timmermann, Allan, 2022. "Have risk premia vanished?," Journal of Financial Economics, Elsevier, vol. 145(2), pages 553-576.
    15. Matias D. Cattaneo & Richard K. Crump & Weining Wang, 2023. "Beta-Sorted Portfolios," Staff Reports 1068, Federal Reserve Bank of New York.
    16. Cai, Zongwu & Juhl, Ted, 2023. "The distribution of rolling regression estimators," Journal of Econometrics, Elsevier, vol. 235(2), pages 1447-1463.
    17. Martin Pažický, 2021. "Predicting Recessions in Germany Using the German and the US Yield Curve," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(3), pages 263-291, December.
    18. J. Benson Durham, 2013. "Arbitrage-free models of stocks and bonds," Staff Reports 656, Federal Reserve Bank of New York.
    19. Zongwu Cai & Ted Juhl, 2020. "The Distribution Of Rolling Regression Estimators," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202218, University of Kansas, Department of Economics, revised Dec 2022.
    20. Valentin Haddad & Serhiy Kozak & Shrihari Santosh, 2017. "Predicting Relative Returns," NBER Working Papers 23886, National Bureau of Economic Research, Inc.
    21. Ludovit Odor & Pavol Povala, 2016. "Risk Premiums in Slovak Government Bonds," Discussion Papers Discussion Paper No. 3/20, Council for Budget Responsibility.
    22. Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2017. "The Time-Varying Risk Price of Currency Carry Trades," MPRA Paper 80788, University Library of Munich, Germany.
    23. Dennis Umlandt, 2020. "Likelihood-based Dynamic Asset Pricing: Learning Time-varying Risk Premia from Cross-Sectional Models," Working Paper Series 2020-06, University of Trier, Research Group Quantitative Finance and Risk Analysis.
    24. Fernando M. Duarte & Carlo Rosa, 2015. "The equity risk premium: a review of models," Economic Policy Review, Federal Reserve Bank of New York, issue 2, pages 39-57.
    25. Adrian, Tobias & , & Shin, Hyun Song, 2016. "Dynamic Leverage Asset Pricing," CEPR Discussion Papers 11466, C.E.P.R. Discussion Papers.
    26. Christopher Gust & Edward Herbst & David López-Salido & Matthew E. Smith, 2017. "The Empirical Implications of the Interest-Rate Lower Bound," American Economic Review, American Economic Association, vol. 107(7), pages 1971-2006, July.
    27. Amit K. Sinha, 2021. "The reliability of geometric Brownian motion forecasts of S&P500 index values," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1444-1462, December.
    28. Bruce E. Hansen, 2018. "Johansen’s Reduced Rank Estimator Is GMM," Econometrics, MDPI, vol. 6(2), pages 1-9, May.
    29. Richard T. Baillie & Fabio Calonaci & George Kapetanios, 2019. "Hierarchical Time Varying Estimation of a Multi Factor Asset Pricing Model," Working Papers 879, Queen Mary University of London, School of Economics and Finance.
    30. Uddin, Ajim & Tao, Xinyuan & Yu, Dantong, 2023. "Attention based dynamic graph neural network for asset pricing," Global Finance Journal, Elsevier, vol. 58(C).
    31. Liao Zhu, 2021. "The Adaptive Multi-Factor Model and the Financial Market," Papers 2107.14410, arXiv.org, revised Aug 2021.
    32. Nikolay Gospodinov, 2017. "Asset Co-movements: Features and Challenges," FRB Atlanta Working Paper 2017-11, Federal Reserve Bank of Atlanta.
    33. Byrne, Joseph P. & Sakemoto, Ryuta, 2021. "The conditional volatility premium on currency portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).

  19. Richard K. Crump & Stefano Eusepi & Andrea Tambalotti & Giorgio Topa, 2015. "Subjective Intertemporal Substitution," Staff Reports 734, Federal Reserve Bank of New York.

    Cited by:

    1. Francesco D’Acunto & Ulrike Malmendier & Michael Weber, 2022. "What Do the Data Tell Us About Inflation Expectations?," NBER Working Papers 29825, National Bureau of Economic Research, Inc.
    2. Luis Armona & Andreas Fuster & Basit Zafar, 2016. "Home price expectations and behavior: evidence from a randomized information experiment," Staff Reports 798, Federal Reserve Bank of New York.
    3. Lena Dräger & Giang Nghiem, 2021. "Are Consumers' Spending Decisions in Line with A Euler Equation?," The Review of Economics and Statistics, MIT Press, vol. 103(3), pages 580-596, July.
    4. D'Acunto, Francesco & Hoang, Daniel & Weber, Michael, 2021. "Managing households' expectations with unconventional policies," Working Paper Series in Economics 148, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
    5. Francesco D'Acunto & Daniel Hoang & Michael Weber & Michael Weber, 2016. "Unconventional Fiscal Policy, Inflation Expectations, and Consumption Expenditure," CESifo Working Paper Series 5793, CESifo.
    6. Francesco D'Acunto & Daniel Hoang & Michael Weber, 2018. "Unconventional Fiscal Policy," AEA Papers and Proceedings, American Economic Association, vol. 108, pages 519-523, May.
    7. Olivier Coibion & Dimitris Georgarakos & Yuriy Gorodnichenko & Geoff Kenny & Michael Weber, 2021. "The Effect of Macroeconomic Uncertainty on Household Spending," NBER Working Papers 28625, National Bureau of Economic Research, Inc.
    8. D'Acunto, Francesco & Hoang, Daniel & Paloviita, Maritta & Weber, Michael, 2019. "IQ, expectations, and choice," Working Paper Series in Economics 127, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
    9. Yuliya Rychalovska & Sergey Slobodyan & Rafael Wouters, 2023. "Professional Survey Forecasts and Expectations in DSGE Models," CERGE-EI Working Papers wp766, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    10. Coibion, Olivier & Gorodnichenko, Yuriy & Ropele, Tiziano, 2022. "Inflation Expectations and Firm Decisions: New Causal Evidence," Department of Economics, Working Paper Series qt54f0k77k, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    11. Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2016. "The term structure of expectations and bond yields," Staff Reports 775, Federal Reserve Bank of New York.
    12. Dräger, Lena, 2023. "Central Bank Communication with the General Public," Hannover Economic Papers (HEP) dp-713, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    13. Djuric, Uros & Neugart, Michael, 2017. "Helicopter money: survey evidence on expectation formation and consumption behavior," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168062, Verein für Socialpolitik / German Economic Association.
    14. Euiyoung Jung, 2021. "Rigid Wages, Endogenous Job Destruction, and Destabilizing Spirals," Working Papers halshs-03213006, HAL.
    15. Ioana A. Duca & Geoff Kenny & Andreas Reuter, 2019. "Inflation Expectations, Consumption and the Lower Bound: Micro Evidence from a Large Euro Area Survey," European Economy - Discussion Papers 092, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    16. Philippe Andrade & Erwan Gautier & Eric Mengus, 2021. "What Matters in Households' Inflation Expectations?," CESifo Working Paper Series 9005, CESifo.
    17. Baumann, Ursel & Darracq Pariès, Matthieu & Westermann, Thomas & Riggi, Marianna & Bobeica, Elena & Meyler, Aidan & Böninghausen, Benjamin & Fritzer, Friedrich & Trezzi, Riccardo & Jonckheere, Jana & , 2021. "Inflation expectations and their role in Eurosystem forecasting," Occasional Paper Series 264, European Central Bank.
    18. Michael Weber & Yuriy Gorodnichenko & Olivier Coibion, 2022. "The Expected, Perceived, and Realized Inflation of U.S. Households before and during the COVID19 Pandemic," NBER Working Papers 29640, National Bureau of Economic Research, Inc.
    19. D'Acunto, Francesco & Hoang, Daniel & Paloviita, Maritta & Weber, Michael, 2021. "Human frictions in the transmission of economic policy," Bank of Finland Research Discussion Papers 12/2021, Bank of Finland.
    20. Niizeki, Takeshi & Hori, Masahiro, 2023. "Inflation expectations and household expenditure: Evidence from pseudo-panel data in Japan," Journal of Economic Behavior & Organization, Elsevier, vol. 214(C), pages 308-324.
    21. Viral V. Acharya & Matteo Crosignani & Tim Eisert & Christian Eufinger, 2023. "How Do Supply Shocks to Inflation Generalize? Evidence from the Pandemic Era in Europe," NBER Working Papers 31790, National Bureau of Economic Research, Inc.
    22. Francesco D’Acunto & Daniel Hoang & Michael Weber, 2016. "The Effect of Unconventional Fiscal Policy on Consumption Expenditure," NBER Working Papers 22563, National Bureau of Economic Research, Inc.
    23. Michal Marencak, 2023. "State-dependent inflation expectations and consumption choices," Working and Discussion Papers WP 10/2023, Research Department, National Bank of Slovakia.
    24. Meeks, Roland & Monti, Francesca, 2023. "Heterogeneous beliefs and the Phillips curve," Journal of Monetary Economics, Elsevier, vol. 139(C), pages 41-54.
    25. Schlag, Christian & Thimme, Julian & Weber, Rüdiger, 2021. "Implied volatility duration: A measure for the timing of uncertainty resolution," Journal of Financial Economics, Elsevier, vol. 140(1), pages 127-144.
    26. Lena Dräger & Michael J. Lamla & Michael Lamla, 2023. "Consumers' Macroeconomic Expectations," CESifo Working Paper Series 10709, CESifo.
    27. David Staines, 2023. "Stochastic Equilibrium the Lucas Critique and Keynesian Economics," Papers 2312.16214, arXiv.org, revised Jun 2024.
    28. Olivier Armantier & Gizem Koşar & Rachel Pomerantz & Daphne Skandalis & Kyle Smith & Giorgio Topa & Wilbert Van der Klaauw, 2020. "How Economic Crises Affect Inflation Beliefs: Evidence from the COVID-19 Pandemic," Staff Reports 949, Federal Reserve Bank of New York.
    29. Cato, Misina & Schmidt, Tobias, 2023. "Households' expectations and regional COVID-19 dynamics," Discussion Papers 02/2023, Deutsche Bundesbank.
    30. Dietrich, Alexander M., 2023. "Consumption categories, household attention, and inflation expectations: Implications for optimal monetary policy," University of Tübingen Working Papers in Business and Economics 157, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics.
    31. Luo, Yulei & Nie, Jun & Wang, Gaowang & Young, Eric, 2017. "Rational Inattention and the Dynamics of Consumption and Wealth in General Equilibrium," MPRA Paper 80045, University Library of Munich, Germany.
    32. Luo, Yulei & Nie, Jun & Wang, Haijun, 2022. "Ignorance, pervasive uncertainty, and household finance," Journal of Economic Theory, Elsevier, vol. 199(C).
    33. Striani, Fabrizio, 2023. "Life-cycle consumption and life insurance: Empirical evidence from Italian Survey," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 619(C).

  20. Stefano Eusepi & Richard Crump & Emanuel Moench & Philippe Andrade, 2014. "Noisy Information and Fundamental Disagreement," 2014 Meeting Papers 797, Society for Economic Dynamics.

    Cited by:

    1. Ricco, Giovanni & Callegari, Giovanni & Cimadomo, Jacopo, 2016. "Signals from the government: Policy disagreement and the transmission of fiscal shocks," Journal of Monetary Economics, Elsevier, vol. 82(C), pages 107-118.
    2. Hoffmann, Mathias & Hürtgen, Patrick, 2016. "Inflation expectations, disagreement, and monetary policy," Economics Letters, Elsevier, vol. 146(C), pages 59-63.
    3. Pedersen, Michael, 2019. "Anomalies in macroeconomic prediction errors–evidence from Chilean private forecasters," International Journal of Forecasting, Elsevier, vol. 35(3), pages 1100-1107.
    4. Buss, Adrian & Dumas, Bernard & Uppal, Raman & Vilkov, Grigory, 2016. "The intended and unintended consequences of financial-market regulations: A general-equilibrium analysis," Journal of Monetary Economics, Elsevier, vol. 81(C), pages 25-43.
    5. Montes, Gabriel Caldas & Luna, Paulo Henrique, 2018. "Discretionary fiscal policy and disagreement in expectations about fiscal variables empirical evidence from Brazil," Economic Modelling, Elsevier, vol. 73(C), pages 100-116.
    6. Montes, Gabriel Caldas & Nicolay, Rodolfo Tomás da Fonseca & Acar, Tatiana, 2019. "Do fiscal communication and clarity of fiscal announcements affect public debt uncertainty? Evidence from Brazil," Journal of Economics and Business, Elsevier, vol. 103(C), pages 38-60.
    7. Daniel Andrei & Bruce Carlin & Michael Hasler, 2014. "Model Disagreement and Economic Outlook," NBER Working Papers 20190, National Bureau of Economic Research, Inc.
    8. Montes, Gabriel Caldas & Acar, Tatiana, 2020. "Fiscal credibility, target revisions and disagreement in expectations about fiscal results," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 38-58.

  21. P. Andrade & R. Crump & S. Eusepi & E. Moench, 2014. "Fundamental disagreement," Working papers 524, Banque de France.

    Cited by:

    1. Park, Sunjin, 2022. "Heterogeneous beliefs in macroeconomic growth prospects and the carry risk premium," Journal of Banking & Finance, Elsevier, vol. 136(C).
    2. Sebastian Link & Andreas Peichl & Christopher Roth & Johannes Wohlfart, 2023. "Attention to the Macroeconomy," CESifo Working Paper Series 10858, CESifo.
    3. Michael D. Bauer & Carolin E. Pflueger & Adi Sunderam, 2022. "Perceptions about Monetary Policy," CESifo Working Paper Series 10182, CESifo.
    4. Beqiraj Elton & Di Bartolomeo Giovanni & Di Pietro Marco, 2017. "Beliefs formation and the puzzle of forward guidance power," wp.comunite 00131, Department of Communication, University of Teramo.
    5. Kajal Lahiri & Huaming Peng & Xuguang Simon Sheng, 2021. "Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity," Working Papers 2021-005, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    6. Mustafa Bulut & Hatice Gokce Karasoy, 2016. "Para Politikasi Belirsizligi Altinda Aktarim Mekanizmasi : Turkiye ornegi," CBT Research Notes in Economics 1621, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
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    8. Richard K. Crump & Stefano Eusepi & Andrea Tambalotti & Giorgio Topa, 2015. "Subjective Intertemporal Substitution," Staff Reports 734, Federal Reserve Bank of New York.
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    27. Cole, Stephen J. & Milani, Fabio, 2021. "Heterogeneity in individual expectations, sentiment, and constant-gain learning," Journal of Economic Behavior & Organization, Elsevier, vol. 188(C), pages 627-650.
    28. Dovern, Jonas, 2014. "A Multivariate Analysis of Forecast Disagreement: Confronting Models of Disagreement with SPF Data," Working Papers 0571, University of Heidelberg, Department of Economics.
    29. Pedersen, Michael, 2019. "Anomalies in macroeconomic prediction errors–evidence from Chilean private forecasters," International Journal of Forecasting, Elsevier, vol. 35(3), pages 1100-1107.
    30. McNeil, James, 2023. "Monetary policy and the term structure of inflation expectations with information frictions," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
    31. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2017. "The transmission of monetary policy shocks," Bank of England working papers 657, Bank of England.
    32. Elisabeth Falck & Mathias Hoffmann & Patrick Hürtgen, 2018. "Disagreement and Monetary Policy," 2018 Meeting Papers 655, Society for Economic Dynamics.
    33. Michael Clements, 2016. "Are Macro-Forecasters Essentially The Same? An Analysis of Disagreement, Accuracy and Efficiency," ICMA Centre Discussion Papers in Finance icma-dp2016-08, Henley Business School, University of Reading.
    34. Buss, Adrian & Dumas, Bernard & Uppal, Raman & Vilkov, Grigory, 2016. "The intended and unintended consequences of financial-market regulations: A general-equilibrium analysis," Journal of Monetary Economics, Elsevier, vol. 81(C), pages 25-43.
    35. Conrad, Christian & Lahiri, Kajal, 2023. "Heterogeneous expectations among professional forecasters," ZEW Discussion Papers 23-062, ZEW - Leibniz Centre for European Economic Research.
    36. Doina Chichernea & Kershen Huang & Alex Petkevich, 2019. "Does maturity matter? The case of treasury futures volume," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(10), pages 1301-1321, October.
    37. Sushant Acharya, 2014. "Costly information, planning complementarities and the Phillips Curve," Staff Reports 698, Federal Reserve Bank of New York.
    38. Lena Dräger & Michael J. Lamla, 2015. "Disagreement à la Taylor: Evidence from Survey Microdata," Macroeconomics and Finance Series 201503, University of Hamburg, Department of Socioeconomics.
    39. Yoosoon Chang & Fabio Gómez-Rodríguez & Mr. Gee Hee Hong, 2022. "The Effects of Economic Shocks on Heterogeneous Inflation Expectations," IMF Working Papers 2022/132, International Monetary Fund.
    40. Benhima, Kenza & Poilly, Céline, 2021. "Does demand noise matter? Identification and implications," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 278-295.
    41. Montes, Gabriel Caldas & Luna, Paulo Henrique, 2018. "Discretionary fiscal policy and disagreement in expectations about fiscal variables empirical evidence from Brazil," Economic Modelling, Elsevier, vol. 73(C), pages 100-116.
    42. Shuo Cao & Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2020. "Fundamental Disagreement about Monetary Policy and the Term Structure of Interest Rates," Staff Reports 934, Federal Reserve Bank of New York.
    43. Smietanka, Pawel & Bloom, Nicholas & Mizen, Paul, 2018. "Business investment, cash holding and uncertainty since the Great Financial Crisis," Bank of England working papers 753, Bank of England.
    44. Montes, Gabriel Caldas & Nicolay, Rodolfo Tomás da Fonseca & Acar, Tatiana, 2019. "Do fiscal communication and clarity of fiscal announcements affect public debt uncertainty? Evidence from Brazil," Journal of Economics and Business, Elsevier, vol. 103(C), pages 38-60.
    45. Bartosz Maćkowiak & Filip Matějka & Mirko Wiederholt, 2023. "Rational Inattention: A Review," SciencePo Working papers Main hal-03878692, HAL.
    46. Zidong An & Salem Abo‐Zaid & Xuguang Simon Sheng, 2023. "Inattention and the impact of monetary policy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 623-643, June.
    47. Richard K. Crump & Stefano Eusepi & Emanuel Moench & Bruce Preston, 2021. "The Term Structure of Expectations," Staff Reports 992, Federal Reserve Bank of New York.
    48. Tsiaplias, Sarantis, 2020. "Time-Varying Consumer Disagreement and Future Inflation," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
    49. Marcello Pericoli & Giovanni Veronese, 2015. "Forecaster heterogeneity, surprises and financial markets," Temi di discussione (Economic working papers) 1020, Bank of Italy, Economic Research and International Relations Area.
    50. Gabriel Caldas Montes & Paulo Henrique Lourenço Luna, 2022. "Do fiscal opacity, fiscal impulse, and fiscal credibility affect disagreement about economic growth forecasts? Empirical evidence from Brazil considering the period of political instability and presid," Review of Development Economics, Wiley Blackwell, vol. 26(4), pages 2356-2393, November.
    51. Dovern, Jonas, 2015. "A multivariate analysis of forecast disagreement: Confronting models of disagreement with survey data," European Economic Review, Elsevier, vol. 80(C), pages 16-35.
    52. Alessandro Barbera & Dora Xia & Sonya Zhu, 2023. "The term structure of inflation forecasts disagreement and monetary policy transmission," BIS Working Papers 1114, Bank for International Settlements.
    53. Robert L. Czudaj, 2021. "Heterogeneity of Beliefs and Information Rigidity in the Crude Oil Market: Evidence from Survey Data," Chemnitz Economic Papers 050, Department of Economics, Chemnitz University of Technology, revised Sep 2021.
    54. Saskia ter Ellen & Willem F.C. Verschoor & Remco C.J. Zwinkels, 2016. "Agreeing on disagreement: heterogeneity or uncertainty?," Working Paper 2016/4, Norges Bank.
    55. Daniel Andrei & Bruce Carlin & Michael Hasler, 2014. "Model Disagreement and Economic Outlook," NBER Working Papers 20190, National Bureau of Economic Research, Inc.
    56. G. C. Montes & L. V. Oliveira & A. Curi & R. T. F. Nicolay, 2016. "Effects of transparency, monetary policy signalling and clarity of central bank communication on disagreement about inflation expectations," Applied Economics, Taylor & Francis Journals, vol. 48(7), pages 590-607, February.
    57. Gabriel Caldas Montes & Tatiana Acar, 2018. "Fiscal credibility and disagreement in expectations about inflation: evidence for Brazil," Economics Bulletin, AccessEcon, vol. 38(2), pages 826-843.
    58. Gunda-Alexandra Detmers, 2016. "Forward Guidance under Disagreement - Evidence from the Fed's Dot Projections," SFB 649 Discussion Papers SFB649DP2016-041, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    59. Nathan Goldstein & Ben‐Zion Zilberfarb, 2023. "The closer we get, the better we are?," Economic Inquiry, Western Economic Association International, vol. 61(2), pages 364-376, April.
    60. Falck, E. & Hoffmann, M. & Hürtgen, P., 2021. "Disagreement about inflation expectations and monetary policy transmission," Journal of Monetary Economics, Elsevier, vol. 118(C), pages 15-31.
    61. Lien, Donald & Sun, Yuchen & Zhang, Chengsi, 2021. "Uncertainty, confidence, and monetary policy in China," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 1347-1358.
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    63. Gabriel Caldas Montes & Igor Mendes Marcelino, 2023. "Uncertainties and disagreements in expectations of professional forecasters: Evidence from an inflation targeting developing country," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 937-956, July.
    64. Gaurav Kumar Singh & Tathagata Bandyopadhyay, 2024. "Determinants of disagreement: Learning from inflation expectations survey of households," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(2), pages 326-343, March.
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    66. Yongchen Zhao, 2022. "Uncertainty and disagreement of inflation expectations: Evidence from household‐level qualitative survey responses," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 810-828, July.
    67. Beckmann, Joscha & Reitz, Stefan, 2018. "Information Rigidities and Exchange Rate Expectations," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181628, Verein für Socialpolitik / German Economic Association.
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    71. Esady, Vania, 2022. "Real and nominal effects of monetary shocks under time-varying disagreement," Bank of England working papers 1007, Bank of England.

  22. Tobias Adrian & Richard K. Crump & Benjamin Mills & Emanuel Moench, 2014. "Treasury Term Premia: 1961-Present," Liberty Street Economics 20140512, Federal Reserve Bank of New York.

    Cited by:

    1. Passmore, Stuart Wayne & von Hafften, Alexander H., 2020. "Financing affordable and sustainable homeownership with Fixed-COFI mortgages," Regional Science and Urban Economics, Elsevier, vol. 80(C).

  23. Tobias Adrian & Richard K. Crump & Emanuel Moench, 2013. "Do Treasury Term Premia Rise around Monetary Tightenings?," Liberty Street Economics 20130415, Federal Reserve Bank of New York.

    Cited by:

    1. Peter Tillmann, 2020. "Monetary Policy Uncertainty and the Response of the Yield Curve to Policy Shocks," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(4), pages 803-833, June.
    2. Diego Alejandro Martínez Cruz & José Fernando Moreno Gutiérrez & Juan Sebastián Rojas Moreno, 2015. "Evolución de la relación entre bonos locales y externos del gobierno colombiano frente a choques de riesgo," Borradores de Economia 14112, Banco de la Republica.
    3. Kurt G. Lunsford, 2020. "Policy Language and Information Effects in the Early Days of Federal Reserve Forward Guidance," American Economic Review, American Economic Association, vol. 110(9), pages 2899-2934, September.
    4. Diego Alejandro Martínez Cruz & José Fernando Moreno Gutiérrez & Juan Sebastián Rojas Moreno, 2015. "Evolución de la relación entre bonos locales y externos del gobierno colombiano frente a choques de riesgo," Borradores de Economia 919, Banco de la Republica de Colombia.

  24. Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2013. "Making a Statement: How Did Professional Forecasters React to the August 2011 FOMC Statement?," Liberty Street Economics 20130107, Federal Reserve Bank of New York.

    Cited by:

    1. Lloyd, Simon P., 2020. "Estimating nominal interest rate expectations: Overnight indexed swaps and the term structure," Journal of Banking & Finance, Elsevier, vol. 119(C).
    2. Sheen, Jeffrey & Wang, Ben Zhe, 2023. "Do monetary condition news at the zero lower bound influence households’ expectations and readiness to spend?," European Economic Review, Elsevier, vol. 152(C).

  25. Michael Abrahams & Tobias Adrian & Richard K. Crump & Emanuel Moench, 2012. "Decomposing real and nominal yield curves," Staff Reports 570, Federal Reserve Bank of New York.

    Cited by:

    1. Kortela, Tomi & Nelimarkka, Jaakko, 2020. "The effects of conventional and unconventional monetary policy: Identification through the yield curve," Bank of Finland Research Discussion Papers 3/2020, Bank of Finland.
    2. Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2015. "Regression-based estimation of dynamic asset pricing models," Journal of Financial Economics, Elsevier, vol. 118(2), pages 211-244.
    3. Sushanta K Mallick & Madhusudan Mohanty & Fabrizio Zampolli, 2017. "Market volatility, monetary policy and the term premium," BIS Working Papers 606, Bank for International Settlements.
    4. Martin Kliem & Alexander Meyer-Gohde, 2018. "(Un)expected Monetary Policy Shocks and Term Premia," 2018 Meeting Papers 102, Society for Economic Dynamics.
    5. Meldrum, Andrew & Roberts-Sklar, Matt, 2015. "Long-run priors for term structure models," Bank of England working papers 575, Bank of England.
    6. Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Working Papers 75R, Brandeis University, Department of Economics and International Business School, revised Jul 2016.
    7. Mirco Rubin & Dario Ruzzi, 2020. "Equity Tail Risk in the Treasury Bond Market," Papers 2007.05933, arXiv.org.
    8. Jonathan Hambur & Richard Finlay, 2018. "Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia," RBA Research Discussion Papers rdp2018-02, Reserve Bank of Australia.
    9. Richard K. Crump & Stefano Eusepi & Marc Giannoni & Ayşegül Şahin, 2019. "A Unified Approach to Measuring u," NBER Working Papers 25930, National Bureau of Economic Research, Inc.
    10. Michael D. Bauer & Aeimit K. Lakdawala & Philippe Mueller, 2021. "Market-Based Monetary Policy Uncertainty," Working Paper Series 2019-12, Federal Reserve Bank of San Francisco.
    11. Iryna Kaminska & Gabriele Zinna, 2014. "Official Demand for U.S. Debt: Implications for U.S. Real Interest Rates," IMF Working Papers 2014/066, International Monetary Fund.
    12. Peter Tillmann, 2020. "Monetary Policy Uncertainty and the Response of the Yield Curve to Policy Shocks," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(4), pages 803-833, June.
    13. Marcello Pericoli, 2019. "An assessment of recent trends in market-based expected iflation in the euro area," Questioni di Economia e Finanza (Occasional Papers) 542, Bank of Italy, Economic Research and International Relations Area.
    14. Emi Nakamura & Jón Steinsson, 2013. "High Frequency Identification of Monetary Non-Neutrality: The Information Effect," NBER Working Papers 19260, National Bureau of Economic Research, Inc.
    15. Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2016. "The term structure of expectations and bond yields," Staff Reports 775, Federal Reserve Bank of New York.
    16. Juan Andrés Espinosa-Torres & Luis Fernando Melo-Velandia & José Fernando Moreno-Gutiérrez, 2015. "Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del gobierno colombiano," Borradores de Economia 903, Banco de la Republica de Colombia.
    17. Jens H. E. Christensen & Glenn D. Rudebusch, 2019. "A New Normal for Interest Rates? Evidence from Inflation-Indexed Debt," The Review of Economics and Statistics, MIT Press, vol. 101(5), pages 933-949, December.
    18. James McNeil, 2020. "Estimation of Impulse response functions with term structure local projections," Working Papers daleconwp2020-05, Dalhousie University, Department of Economics.
    19. Abraham Lioui & Andrea Tarelli, 2023. "Money Illusion and TIPS Demand," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(1), pages 171-214, February.
    20. Götz, Martin, 2018. "Financial constraints and corporate environmental responsibility," SAFE Working Paper Series 241, Leibniz Institute for Financial Research SAFE.
    21. Julie Bennett & Michael T. Owyang, 2022. "On the Relative Performance of Inflation Forecasts," Review, Federal Reserve Bank of St. Louis, vol. 104(2), pages 131-148.
    22. Jens H. E. Christensen & Mark M. Spiegel, 2021. "Central Bank Credibility During COVID-19: Evidence from Japan," Working Paper Series 2021-24, Federal Reserve Bank of San Francisco.
    23. Abrahams, Michael & Adrian, Tobias & Crump, Richard K. & Moench, Emanuel & Yu, Rui, 2016. "Decomposing real and nominal yield curves," Journal of Monetary Economics, Elsevier, vol. 84(C), pages 182-200.
    24. Baumeister, Christiane, 2021. "Measuring Market Expectations," CEPR Discussion Papers 16520, C.E.P.R. Discussion Papers.
    25. Martin M Andreasen & Jens H E Christensen & Simon Riddell, 2021. "The TIPS Liquidity Premium [Decomposing real and nominal yield curves]," Review of Finance, European Finance Association, vol. 25(6), pages 1639-1675.
    26. Goetz, Martin, 2019. "Financing conditions and toxic emissions," SAFE Working Paper Series 254, Leibniz Institute for Financial Research SAFE.
    27. Guimaraes, Rodrigo & Pinter, Gabor & Wijnandts, Jean-Charles, 2023. "The liquidity state-dependence of monetary policy transmission," Bank of England working papers 1045, Bank of England.
    28. Schupp, Fabian & Geiger, Felix, 2018. "With a little help from my friends: Survey-based derivation of euro area short rate expectations at the effective lower bound," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181529, Verein für Socialpolitik / German Economic Association.
    29. Lange, Ronald H., 2017. "The expected real yield and inflation components of the nominal yield curve," The North American Journal of Economics and Finance, Elsevier, vol. 39(C), pages 1-18.
    30. Dooruj Rambaccussing & Craig Menzies & Andrzej Kwiatkowski, 2022. "Look who’s Talking: Individual Committee members’ impact on inflation expectations," Dundee Discussion Papers in Economics 305, Economic Studies, University of Dundee.
    31. Andrea Berardi & Alberto Plazzi, 2019. "Dissecting the Yield Curve: The International Evidence," Swiss Finance Institute Research Paper Series 19-73, Swiss Finance Institute.
    32. Munch Grønlund, Asger & Jørgensen, Kasper & Schupp, Fabian, 2024. "Measuring market-based core inflation expectations," Working Paper Series 2908, European Central Bank.
    33. Adam Golinski & Peter Spencer, 2019. "Estimating the term structure with linear regressions: Getting to the roots of the problem," Discussion Papers 19/05, Department of Economics, University of York.
    34. Samuel G Hanson & David O Lucca & Jonathan H Wright, 2021. "Rate-Amplifying Demand and the Excess Sensitivity of Long-Term Rates," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 136(3), pages 1719-1781.
    35. Iryna Kaminska & Gabriele Zinna, 2020. "Official Demand for U.S. Debt: Implications for U.S. Real Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(2-3), pages 323-364, March.
    36. Kaminska, Iryna & Mumtaz, Haroon & Šustek, Roman, 2021. "Monetary policy surprises and their transmission through term premia and expected interest rates," Journal of Monetary Economics, Elsevier, vol. 124(C), pages 48-65.
    37. Bujunoori, Raja Reddy & Mannil, Nithin & Tantri, Prasanna, 2024. "Does labor composition impact the transmission of monetary policy to output?," Journal of Development Economics, Elsevier, vol. 167(C).
    38. Speck, Christian, 2023. "Pricing the Bund term structure with linear regressions – without an observable short rate," Discussion Papers 08/2023, Deutsche Bundesbank.
    39. Ciccarelli, Matteo & García, Juan Angel, 2015. "International spillovers in inflation expectations," Working Paper Series 1857, European Central Bank.
    40. Sara Cecchetti & Adriana Grasso & Marcello Pericoli, 2022. "An analysis of objective inflation expectations and inflation risk premia," Temi di discussione (Economic working papers) 1380, Bank of Italy, Economic Research and International Relations Area.
    41. GONÇALVES, Sílvia & PERRON, Benoit, 2018. "Bootstrapping factor models with cross sectional dependence," Cahiers de recherche 2018-07, Universite de Montreal, Departement de sciences economiques.
    42. Martin M. Andreasen, 2019. "Explaining Bond Return Predictability in an Estimated New Keynesian Model," CREATES Research Papers 2019-11, Department of Economics and Business Economics, Aarhus University.
    43. Wang,Dieter, 2021. "Natural Capital and Sovereign Bonds," Policy Research Working Paper Series 9606, The World Bank.
    44. Christensen, Jens H.E. & Gillan, James M., 2022. "Does quantitative easing affect market liquidity?," Journal of Banking & Finance, Elsevier, vol. 134(C).
    45. Craig S. Hakkio & Andrew Lee Smith, 2017. "Bond Premiums and the Natural Real Rate of Interest," Economic Review, Federal Reserve Bank of Kansas City, issue Q I, pages 5-39.
    46. Eguren Martin, Fernando & Meldrum, Andrew & Yan, Wen, 2021. "No-Arbitrage pricing of GDP-Linked bonds," Journal of Banking & Finance, Elsevier, vol. 126(C).
    47. Kaminska, Iryna & Liu, Zhuoshi & Relleen, Jon & Vangelista, Elisabetta, 2018. "What do the prices of UK inflation-linked securities say on inflation expectations, risk premia and liquidity risks?," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 76-96.
    48. Andras Lengyel, 2022. "Treasury Supply Shocks and the Term Structure of Interest Rates in the UK," MNB Working Papers 2022/6, Magyar Nemzeti Bank (Central Bank of Hungary).
    49. Kaminska, Iryna & Mumtaz, Haroon & Sustek, Roman, 2021. "Monetary policy surprises and their transmission through term premia and expected interest rates," Bank of England working papers 914, Bank of England, revised 28 Apr 2021.
    50. Oleksandr Zholud & Volodymyr Lepushynskyi & Sergiy Nikolaychuk, 2019. "The Effectiveness of the Monetary Transmission Mechanism in Ukraine since the Transition to Inflation Targeting," Visnyk of the National Bank of Ukraine, National Bank of Ukraine, issue 247, pages 19-37.
    51. Lemke, Wolfgang & Werner, Thomas, 2017. "Dissecting long-term Bund yields in the run-up to the ECB's Public Sector Purchase Programme," Working Paper Series 2106, European Central Bank.
    52. Kano, Takashi & Wada, Kenji, 2017. "The first arrow hitting the currency target: A long-run risk perspective," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 337-352.
    53. Maryam Movahedifar & Hossein Hassani & Masoud Yarmohammadi & Mahdi Kalantari & Rangan Gupta, 2021. "A robust approach for outlier imputation: Singular Spectrum Decomposition," Working Papers 202164, University of Pretoria, Department of Economics.
    54. Huang, Xiaoyong & Jia, Fei & Xu, Xiangyun & Yu shi,, 2019. "The threshold effect of market sentiment and inflation expectations on gold price," Resources Policy, Elsevier, vol. 62(C), pages 77-83.
    55. Meldrum, Andrew & Raczko, Marek & Spencer, Peter, 2018. "The information in the joint term structures of bond yields," Bank of England working papers 772, Bank of England.
    56. Mitsuru Katagiri, 2022. "Equilibrium Yield Curve, the Phillips Curve, and Monetary Policy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(8), pages 2235-2272, December.
    57. Christensen, Jens H.E. & Spiegel, Mark M., 2022. "Monetary reforms and inflation expectations in Japan: Evidence from inflation-indexed bonds," Journal of Econometrics, Elsevier, vol. 231(2), pages 410-431.
    58. Remy Beauregard & Jens H. E. Christensen & Eric Fischer & Simon Zhu, 2021. "Inflation Expectations and Risk Premia in Emerging Bond Markets: Evidence from Mexico," Staff Reports 961, Federal Reserve Bank of New York.
    59. Andrés Schneider, 2022. "Risk‐Sharing and the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 77(4), pages 2331-2374, August.
    60. Alex Hsu & Erica X. N. Li & Francisco Palomino, 2021. "Real and Nominal Equilibrium Yield Curves," Management Science, INFORMS, vol. 67(2), pages 1138-1158, February.
    61. Mirco Rubin & Dario Ruzzi, 2020. "Equity tail risk in the treasury bond market," Temi di discussione (Economic working papers) 1311, Bank of Italy, Economic Research and International Relations Area.
    62. Berardi, Andrea, 2023. "Term premia and short rate expectations in the euro area," Journal of Empirical Finance, Elsevier, vol. 74(C).
    63. Martin M. Andreasen & Jens H.E. Christensen & Simon Riddell, 2017. "The TIPS Liquidity Premium," CREATES Research Papers 2017-27, Department of Economics and Business Economics, Aarhus University.
    64. Mitsuru Katagiri, 2018. "Equilibrium Yield Curve, the Phillips Curve, and Monetary Policy," IMF Working Papers 2018/242, International Monetary Fund.
    65. Kazuhiro Hiraki & Wataru Hirata, 2020. "Market-based Long-term Inflation Expectations in Japan: A Refinement on Breakeven Inflation Rates," Bank of Japan Working Paper Series 20-E-5, Bank of Japan.
    66. Boeckx, Jef & Iania, Leonardo & Wauters, Joris, 2023. "Macroeconomic drivers of Inflation Expectations and Inflation Risk Premia," LIDAM Discussion Papers LFIN 2023003, Université catholique de Louvain, Louvain Finance (LFIN).
    67. Januj Juneja, 2018. "Empirical performance of Gaussian affine dynamic term structure models in the presence of autocorrelation misspecification bias," Review of Quantitative Finance and Accounting, Springer, vol. 50(3), pages 695-715, April.
    68. Martin M. Andreasen & Jens H. E. Christensen & Simon Riddell, 2020. "The TIPS Liquidity Premium," Working Paper Series 2017-11, Federal Reserve Bank of San Francisco.
    69. Aguilar-Argaez Ana María & Diego-Fernández Forseck María & Elizondo Rocío & Roldán-Peña Jessica, 2020. "Term Premium Dynamics and its Determinants: The Mexican Case," Working Papers 2020-18, Banco de México.
    70. Hammoudeh, Shawkat & Reboredo, Juan C., 2018. "Oil price dynamics and market-based inflation expectations," Energy Economics, Elsevier, vol. 75(C), pages 484-491.
    71. Gabriele Zinna, 2014. "Price pressures in the UK index-linked market: an empirical investigation," Temi di discussione (Economic working papers) 968, Bank of Italy, Economic Research and International Relations Area.
    72. Ibarra-Ramírez Raúl, 2021. "The Yield Curve as a Predictor of Economic Activity in Mexico: The Role of the Term Premium," Working Papers 2021-07, Banco de México.
    73. Alex Aronovich & Andrew C. Meldrum, 2021. "High-Frequency Estimates of the Natural Real Rate and Inflation Expectations," Finance and Economics Discussion Series 2021-034, Board of Governors of the Federal Reserve System (U.S.).
    74. Argyropoulos, Efthymios & Tzavalis, Elias, 2021. "The influence of real interest rates and risk premium effects on the ability of the nominal term structure to forecast inflation," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 785-796.
    75. Suh, Sangwon & Kim, Daehwan, 2021. "Inflation targeting and expectation anchoring: Evidence from developed and emerging market economies," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    76. Roman Sustek, 2021. "Yield curve and the business cycle in conventional times," Discussion Papers 2122, Centre for Macroeconomics (CFM).
    77. Iryna Kaminska & Haroon Mumtaz & Roman Sustek, 2020. "Monetary policy surprises and their transmission through term premia and expected interest rates," Discussion Papers 2024, Centre for Macroeconomics (CFM).

  26. Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2011. "A Look at the Accuracy of Policy Expectations," Liberty Street Economics 20110822, Federal Reserve Bank of New York.

    Cited by:

    1. Shuo Cao & Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2020. "Fundamental Disagreement about Monetary Policy and the Term Structure of Interest Rates," Staff Reports 934, Federal Reserve Bank of New York.
    2. Richard K. Crump & Stefano Eusepi & Emanuel Moench & Bruce Preston, 2021. "The Term Structure of Expectations," Staff Reports 992, Federal Reserve Bank of New York.

  27. Matias D. Cattaneo & Richard K. Crump & Michael Jansson, 2011. "Generalized Jackknife Estimators of Weighted Average Derivatives," CREATES Research Papers 2011-12, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Matias D. Cattaneo & Max H. Farrell & Michael Jansson & Ricardo Masini, 2022. "Higher-order Refinements of Small Bandwidth Asymptotics for Density-Weighted Average Derivative Estimators," Papers 2301.00277, arXiv.org, revised Feb 2024.
    2. Dennis Kristensen & Andrew Ang, 2009. "Testing Conditional Factor Models," CREATES Research Papers 2009-09, Department of Economics and Business Economics, Aarhus University.
    3. Kotlyarova, Yulia & Schafgans, Marcia M.A. & Zinde-Walsh, Victoria, 2021. "Rates of expansions for functional estimators," LSE Research Online Documents on Economics 113436, London School of Economics and Political Science, LSE Library.
    4. Matsushita, Yukitoshi & Otsu, Taisuke, 2018. "Likelihood inference on semiparametric models: average derivative and treatment effect," LSE Research Online Documents on Economics 85870, London School of Economics and Political Science, LSE Library.
    5. Matias D. Cattaneo & Michael Jansson & Xinwei Ma, 2018. "Two-Step Estimation and Inference with Possibly Many Included Covariates," Papers 1807.10100, arXiv.org.
    6. Sebastian Calonico & Matias D. Cattaneo & Max H. Farrell, 2018. "On the Effect of Bias Estimation on Coverage Accuracy in Nonparametric Inference," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 113(522), pages 767-779, April.
    7. Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2011. "Semiparametric Estimation with Generated Covariates," IZA Discussion Papers 6084, Institute of Labor Economics (IZA).
    8. Cizek, Pavel & Sadikoglu, Serhan, 2022. "Nonseparable Panel Models with Index Structure and Correlated Random Effects," Discussion Paper 2022-009, Tilburg University, Center for Economic Research.
    9. Nagasawa, Kenichi, 2020. "Identification and Estimation of Group-Level Partial Effects," The Warwick Economics Research Paper Series (TWERPS) 1243, University of Warwick, Department of Economics.
    10. Max H. Farrell, 2013. "Robust Inference on Average Treatment Effects with Possibly More Covariates than Observations," Papers 1309.4686, arXiv.org, revised Feb 2018.
    11. Matias D. Cattaneo & Michael Jansson, 2018. "Kernel†Based Semiparametric Estimators: Small Bandwidth Asymptotics and Bootstrap Consistency," Econometrica, Econometric Society, vol. 86(3), pages 955-995, May.
    12. Ruijun Bu & Jihyun Kim & Bin Wang, 2020. "Uniform and Lp Convergences of Nonparametric Estimation for Diffusion Models," Working Papers 202021, University of Liverpool, Department of Economics.
    13. Jia Li & Dacheng Xiu, 2016. "Generalized Method of Integrated Moments for High‐Frequency Data," Econometrica, Econometric Society, vol. 84, pages 1613-1633, July.
    14. Yukitoshi Matsushita & Taisuke Otsu, 2019. "Jackknife, small bandwidth and high-dimensional asymptotics," STICERD - Econometrics Paper Series 605, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    15. Čížek, Pavel & Lei, Jinghua, 2018. "Identification and estimation of nonseparable single-index models in panel data with correlated random effects," Journal of Econometrics, Elsevier, vol. 203(1), pages 113-128.
    16. Rothe, Christoph & Firpo, Sergio, 2013. "Semiparametric Estimation and Inference Using Doubly Robust Moment Conditions," IZA Discussion Papers 7564, Institute of Labor Economics (IZA).
    17. Matias D. Cattaneo & Michael Jansson, 2019. "Average Density Estimators: Efficiency and Bootstrap Consistency," Papers 1904.09372, arXiv.org, revised Dec 2020.
    18. Harold D. Chiang & Bing Yang Tan, 2020. "Empirical likelihood and uniform convergence rates for dyadic kernel density estimation," Papers 2010.08838, arXiv.org, revised May 2022.
    19. Sadikoglu, Serhan, 2019. "Essays in econometric theory," Other publications TiSEM 99d83644-f9dc-49e3-a4e1-5, Tilburg University, School of Economics and Management.
    20. Max H. Farrell & Tengyuan Liang & Sanjog Misra, 2020. "Deep Learning for Individual Heterogeneity: An Automatic Inference Framework," Papers 2010.14694, arXiv.org, revised Jul 2021.
    21. Matias D. Cattaneo & Michael Jansson, 2014. "Bootstrapping Kernel-Based Semiparametric Estimators," CREATES Research Papers 2014-25, Department of Economics and Business Economics, Aarhus University.

  28. Matias D. Cattaneo & Richard K. Crump & Michael Jansson, 2010. "Bootstrapping Density-Weighted Average Derivatives," CREATES Research Papers 2010-23, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Kotlyarova, Yulia & Schafgans, Marcia M.A. & Zinde-Walsh, Victoria, 2021. "Rates of expansions for functional estimators," LSE Research Online Documents on Economics 113436, London School of Economics and Political Science, LSE Library.
    2. Matias D. Cattaneo & Michael Jansson & Xinwei Ma, 2018. "Two-Step Estimation and Inference with Possibly Many Included Covariates," Papers 1807.10100, arXiv.org.
    3. Paulo Parente & Richard J. Smith, 2019. "Quasi-maximum likelihood and the kernel block bootstrap for nonlinear dynamic models," CeMMAP working papers CWP60/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    4. Yulia Kotlyarova & Marcia Schafgans & Victoria Zinde-Walsh, 2011. "Adapting Kernel Estimation to Uncertain Smoothness," Working Papers daleconwp2011-01, Dalhousie University, Department of Economics.
    5. Clara Lía Machado & Carlos León & Miguel Sarmiento & Freddy Cepeda & Orlando Chipatecua & Jorge cely, 2010. "Riesgo Sistémico y Estabilidad del Sistema de Pagos de Alto Valor en Colombia: Análisis bajo Topología de Redes y Simulación de Pagos," Borradores de Economia 627, Banco de la Republica de Colombia.
    6. Clara Lia Machado & Carlos León & Miguel Sarmiento & Orlando Chipatecua, 2010. "Riesgo Sistémico y Estabilidad del Sistema de Pagos de Alto Valor en Colombia: Análisis bajo Topología de Redes y Simulación de Pagos," Borradores de Economia 7669, Banco de la Republica.
    7. Paulo M.D.C. Parente & Richard J. Smith, 2018. "Generalised Empirical Likelihood Kernel Block Bootstrapping," Working Papers REM 2018/55, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    8. Konrad Menzel, 2021. "Bootstrap With Cluster‐Dependence in Two or More Dimensions," Econometrica, Econometric Society, vol. 89(5), pages 2143-2188, September.
    9. Clara Machado & Carlos León & Miguel Sarmiento & Freddy Cepeda & Orlando Chipatecua & Jorge Cely, 2011. "Riesgo Sistémico Y Estabilidad Del Sistema De Pagos De Alto Valor En Colombia: Análisis Bajo," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 29(65), pages 106-175, June.
    10. Robert Griffiths & Richard Barron & Michelle Gleeson & Mark Danese & Anthony O’Hagan & Victoria Chia & Jason Legg & Gary Lyman, 2012. "Granulocyte-Colony Stimulating Factor Use and Medical Costs after Initial Adjuvant Chemotherapy in Older Patients with Early-Stage Breast Cancer," PharmacoEconomics, Springer, vol. 30(2), pages 103-118, February.

  29. Richard Crump & Gopi Shah Goda & Kevin Mumford, 2010. "Fertility and the Personal Exemption: Comment," NBER Working Papers 15984, National Bureau of Economic Research, Inc.

    Cited by:

    1. Riphahn, Regina T. & Wiynck, Frederik, 2017. "Fertility Effects of Child Benefits," IZA Discussion Papers 10757, Institute of Labor Economics (IZA).
    2. Sara LaLumia & James M. Sallee & Nicholas Turner, 2015. "New Evidence on Taxes and the Timing of Birth," American Economic Journal: Economic Policy, American Economic Association, vol. 7(2), pages 258-293, May.
    3. Ankel-Peters, Jörg & Fiala, Nathan & Neubauer, Florian, 2023. "Is Economics Self-Correcting? Replications in the American Economic Review," I4R Discussion Paper Series 68, The Institute for Replication (I4R).
    4. Choo, Dahae & Jales, Hugo, 2021. "Childbearing and the distribution of the reservation price of fertility: The case of the Korean baby bonus program," Journal of Asian Economics, Elsevier, vol. 77(C).
    5. Rannveig Kaldager Hart & Taryn A. Galloway, 2023. "Universal Transfers, Tax Breaks and Fertility: Evidence from a Regional Reform in Norway," Population Research and Policy Review, Springer;Southern Demographic Association (SDA), vol. 42(3), pages 1-32, June.
    6. Silveus, Neil & Stoddard, Christiana, 2020. "Identifying the causal effect of income on religiosity using the Earned Income Tax Credit," Journal of Economic Behavior & Organization, Elsevier, vol. 178(C), pages 903-924.
    7. Sara LaLumia & James M. Sallee, 2011. "The Value of Honesty: Empirical Estimates from the Case of the Missing Children," NBER Working Papers 17247, National Bureau of Economic Research, Inc.
    8. Wookun Kim, 2023. "Baby Bonus, Fertility, and Missing Women," Departmental Working Papers 2308, Southern Methodist University, Department of Economics.
    9. Lucia Granelli, 2016. "Family Tax Policy in a Model with Endogenous Fertility à la Barro-Becker," LIDAM Discussion Papers IRES 2016010, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    10. Lee, Gi-Eu & Chou, Chang-Erh, 2020. "The Ex Ante Price Information Effect on Water Conservation: A Case Study of Taipei’s Water Tariff Adjustment," 2020 Annual Meeting, July 26-28, Kansas City, Missouri 304253, Agricultural and Applied Economics Association.
    11. Richard Crump & Gopi Shah Goda & Kevin Mumford, 2010. "Fertility and the Personal Exemption: Comment," NBER Working Papers 15984, National Bureau of Economic Research, Inc.
    12. Taryn Ann Galloway & Rannveig Kaldager Hart, 2015. "Effects of income and the cost of children on fertility. Quasi-experimental evidence from Norway," Discussion Papers 828, Statistics Norway, Research Department.
    13. Ortigueira, Salvador & Siassi, Nawid, 2021. "On the Optimal Reform of Income Support for Single Parents," ECON WPS - Working Papers in Economic Theory and Policy 05/2021, TU Wien, Institute of Statistics and Mathematical Methods in Economics, Economics Research Unit.
    14. Elmallakh, Nelly, 2021. "Fertility, Family Policy, and Labor Supply: Quasi-Experimental Evidence from France," GLO Discussion Paper Series 984, Global Labor Organization (GLO).
    15. Dong, Xiaoqi & Liang, Yinhe & Zhang, Jiawei, 2023. "Fertility responses to the relaxation of migration restrictions: Evidence from the Hukou reform in China," China Economic Review, Elsevier, vol. 81(C).
    16. Lucia Granelli, 2017. "Family Tax Policy with Heterogeneous Altruistic Households," LIDAM Discussion Papers IRES 2017019, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    17. Wookun Kim, 2020. "Baby Bonus, Fertility, and Missing Women," Departmental Working Papers 2011, Southern Methodist University, Department of Economics.
    18. Pinto,Maria Florencia & Posadas,Josefina & Shapira,Gil, 2021. "Financial Incentives, Fertility, and Son Preference in Armenia," Policy Research Working Paper Series 9705, The World Bank.
    19. Anthony A. Noce & Dhimtri Qirjo & Namini De Silva, 2016. "Enticing the Stork: Can we Evaluate Pro-Natal Policies Before Having Children?," Economic Affairs, Wiley Blackwell, vol. 36(2), pages 184-202, June.
    20. Bishop Kelly C. & Mac Donald Diana E., 2022. "The Effect of Paying Parents to Adopt: Evidence from Minnesota's Foster-Care System," Working Papers 2022-01, Banco de México.

  30. Matias D. Cattaneo & Richard K. Crump & Michael Jansson, 2009. "Robust Data-Driven Inference for Density-Weighted Average Derivatives," CREATES Research Papers 2009-46, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Hiroaki Kaido, 2014. "Asymptotically efficient estimation of weighted average derivatives with an interval censored variable," CeMMAP working papers 03/14, Institute for Fiscal Studies.
    2. Matias D. Cattaneo & Max H. Farrell & Michael Jansson & Ricardo Masini, 2022. "Higher-order Refinements of Small Bandwidth Asymptotics for Density-Weighted Average Derivative Estimators," Papers 2301.00277, arXiv.org, revised Feb 2024.
    3. Matias D. Cattaneo & Michael Jansson & Whitney K. Newey, 2015. "Alternative Asymptotics and the Partially Linear Model with Many Regressors," Papers 1505.08120, arXiv.org.
    4. Matsushita, Yukitoshi & Otsu, Taisuke, 2018. "Likelihood inference on semiparametric models: average derivative and treatment effect," LSE Research Online Documents on Economics 85870, London School of Economics and Political Science, LSE Library.
    5. Matias D. Cattaneo & Richard K. Crump & Michael Jansson, 2013. "Rejoinder," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 108(504), pages 1265-1268, December.
    6. Matias D. Cattaneo & Michael Jansson & Xinwei Ma, 2018. "Two-Step Estimation and Inference with Possibly Many Included Covariates," Papers 1807.10100, arXiv.org.
    7. Alexandre Belloni & Victor Chernozhukov & Denis Chetverikov & Ivan Fernandez-Val, 2016. "Conditional quantile processes based on series or many regressors," CeMMAP working papers CWP46/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    8. Cattaneo, Matias D & Crump, Richard K & Jansson, Michael, 2014. "Small Bandwidth Asymptotics For Density-Weighted Average Derivatives," Department of Economics, Working Paper Series qt3jd237cg, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    9. Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Ernst Schaumburg, 2020. "Characteristic-Sorted Portfolios: Estimation and Inference," The Review of Economics and Statistics, MIT Press, vol. 102(3), pages 531-551, July.
    10. Hao Dong & Taisuke Otsu & Luke Taylor, 2019. "Average derivative estimation under measurement error," STICERD - Econometrics Paper Series 602, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    11. Atchadé, Yves F. & Cattaneo, Matias D., 2014. "A martingale decomposition for quadratic forms of Markov chains (with applications)," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 646-677.
    12. Dennis Kristensen, 2009. "Semiparametric modelling and estimation (in Russian)," Quantile, Quantile, issue 7, pages 53-83, September.
    13. Donald W.K. Andrews & Xiaoxia Shi, 2011. "Nonparametric Inference Based on Conditional Moment Inequalities," Cowles Foundation Discussion Papers 1840R2, Cowles Foundation for Research in Economics, Yale University, revised Oct 2013.
    14. Yukitoshi Matsushita & Taisuke Otsu, 2019. "Jackknife, small bandwidth and high-dimensional asymptotics," STICERD - Econometrics Paper Series 605, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    15. Valeri Voev, 2009. "On the Economic Evaluation of Volatility Forecasts," CREATES Research Papers 2009-56, Department of Economics and Business Economics, Aarhus University.
    16. Ulrich K. Müller & Yulong Wang, 2017. "Fixed- Asymptotic Inference About Tail Properties," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(519), pages 1334-1343, July.
    17. Yukitoshi Matsushita & Taisuke Otsu, 2018. "Likelihood Inference on Semiparametric Models: Average Derivative and Treatment Effect," The Japanese Economic Review, Springer, vol. 69(2), pages 133-155, June.

  31. Hotz, V. Joseph & Crump, Richard K. & Mitnik, Oscar A. & Imbens, Guido, 2009. "Dealing with Limited Overlap in Estimation of Average Treatment Effects," Scholarly Articles 3007645, Harvard University Department of Economics.

    Cited by:

    1. Javier E. Báez & Adriana Camacho, 2011. "Assessing the Long-term Effects of Conditional Cash Transfers on Human Capital: Evidence from Colombia," Documentos CEDE 8900, Universidad de los Andes, Facultad de Economía, CEDE.
    2. Donna Feir & Kelly Foley & Maggie E. C. Jones, 2021. "The Distributional Impacts of Active Labor Market Programs for Indigenous Populations," AEA Papers and Proceedings, American Economic Association, vol. 111, pages 216-220, May.
    3. Esaka, Taro, 2013. "Evaluating the effect of de facto pegs on currency crises," Journal of Policy Modeling, Elsevier, vol. 35(6), pages 943-963.
    4. Alexandra Semrad, 2015. "Modern secondary education and economic performance: the introduction of the Gewerbeschule and Realschule in nineteenth-century Bavaria," Economic History Review, Economic History Society, vol. 68(4), pages 1306-1338, November.
    5. Xu, Yuting & Huang, Xianjin & Bao, Helen X.H. & Ju, Xiang & Zhong, Taiyang & Chen, Zhigang & Zhou, Yan, 2018. "Rural land rights reform and agro-environmental sustainability: Empirical evidence from China," Land Use Policy, Elsevier, vol. 74(C), pages 73-87.
    6. Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2009. "Inference on Counterfactual Distributions," Papers 0904.0951, arXiv.org, revised Sep 2013.
    7. Bladimir Carrillo & Jose Feres, 2019. "Provider Supply, Utilization, and Infant Health: Evidence from a Physician Distribution Policy," American Economic Journal: Economic Policy, American Economic Association, vol. 11(3), pages 156-196, August.
    8. Huber, Martin & Solovyeva, Anna, 2018. "Direct and indirect effects under sample selection and outcome attrition," FSES Working Papers 496, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.
    9. Fernando A. B. Colugnati & Sergio Firpo & Paula F. Drummond Castro & Juan E. Sepulveda & Sergio L. M. Salles-Filho, 2014. "A propensity score approach in the impact evaluation on scientific production in Brazilian biodiversity research: the BIOTA Program," Scientometrics, Springer;Akadémiai Kiadó, vol. 101(1), pages 85-107, October.
    10. Marta Santamaría & Jaume Ventura & Ugur Yesilbayraktar, 2020. "Borders within Europe," Working Papers 1229, Barcelona School of Economics.
    11. Scholl, Lynn & Martínez, Daniel & Mitnik, Oscar A. & Oviedo, Daniel & Yáñez-Pagans, Patricia, 2018. "A Rapid Road to Employment?: The Impacts of a Bus Rapid Transit System in Lima," IDB Publications (Working Papers) 9452, Inter-American Development Bank.
    12. Timothy B. Armstrong & Michal Kolesar, 2014. "A Simple Adjustment for Bandwidth Snooping," Cowles Foundation Discussion Papers 1961R2, Cowles Foundation for Research in Economics, Yale University, revised Oct 2016.
    13. Hällsten, Martin, 2012. "Is it ever too late to study? The economic returns on late tertiary degrees in Sweden," Economics of Education Review, Elsevier, vol. 31(1), pages 179-194.
    14. Bazzi, Samuel & Sumarto, Sudarno & Suryahadi, Asep, 2015. "It's all in the timing: Cash transfers and consumption smoothing in a developing country," Journal of Economic Behavior & Organization, Elsevier, vol. 119(C), pages 267-288.
    15. Heiler, Phillip & Kazak, Ekaterina, 2021. "Valid inference for treatment effect parameters under irregular identification and many extreme propensity scores," Journal of Econometrics, Elsevier, vol. 222(2), pages 1083-1108.
    16. Martin Huber & Michael Lechner & Conny Wunsch, 2010. "How to control for many covariates? Reliable estimators based on the propensity score," University of St. Gallen Department of Economics working paper series 2010 2010-30, Department of Economics, University of St. Gallen.
    17. Dettmann, Eva & Günther, Jutta, 2009. "Subsidized Vocational Training: Stepping Stone or Trap? An Evaluation Study for East Germany," IWH Discussion Papers 21/2009, Halle Institute for Economic Research (IWH).
    18. Andrea Repetto & Francisco Henriquez & Bernardo Lara & Alejandro Mizala, 2011. "Effective Schools Do Exist: Low Income Children's Academic Performance in Chile," Working Papers wp_010, Adolfo Ibáñez University, School of Government.
    19. Miquel-Àngel Garcia-López & Albert Solé-Ollé & Elisabet Viladecans-Marsal, 2014. "Do land use policies follow road construction?," Working Papers 2014/2, Institut d'Economia de Barcelona (IEB).
    20. Galina Besstremyannaya, 2014. "The efficiency of labor matching and remuneration reforms: a panel data quantile regression approach with endogenous treatment variables," Working Papers w0206, Center for Economic and Financial Research (CEFIR).
    21. Gonzalez, Felipe & Prem, Mounu & von Dessauer, Cristine, 2023. "Empowerment or Indoctrination? Women Centers Under Dictatorship," SocArXiv 64mf9, Center for Open Science.
    22. Olga Namen & Mounu Prem & Juan F. Vargas, 2019. "The human capital peace dividend," Documentos de Trabajo 17353, The Latin American and Caribbean Economic Association (LACEA).
    23. Felipe González & Mounu Prem, 2019. "Losing Your Dictator: Firms During Political Transition," Working Papers ClioLab 27, EH Clio Lab. Instituto de Economía. Pontificia Universidad Católica de Chile.
    24. Sanglestsawai, Santi & Rejesus, Roderick M. & Yorobe, Jose M., 2014. "Do lower yielding farmers benefit from Bt corn? Evidence from instrumental variable quantile regressions," Food Policy, Elsevier, vol. 44(C), pages 285-296.
    25. Brenøe, Anne Ardila & Canaan, Serena & Harmon, Nikolaj & Royer, Heather, 2019. "Is Parental Leave Costly for Firms and Coworkers?," IZA Discussion Papers 12870, Institute of Labor Economics (IZA).
    26. Mora-Garcia, Claudio A & Prem, Mounu & Rodriguez-Lesmes, Paul & Vargas, Juan F., 2024. "Health Workforce Reallocation in the Aftermath of Conflict: Evidence from Colombia," Documentos de Trabajo 21124, Universidad del Rosario.
    27. Heid, Benedikt & Márquez-Ramos, Laura, 2023. "International environmental agreements and imperfect enforcement: Evidence from CITES," Journal of Environmental Economics and Management, Elsevier, vol. 118(C).
    28. Tarjei Havnes & Magne Mogstad, 2009. "No Child Left Behind. Universal Child Care and Children's Long-Run Outcomes," Discussion Papers 582, Statistics Norway, Research Department.
    29. Black, Dan A. & Joo, Joonhwi & LaLonde, Robert & Smith, Jeffrey A. & Taylor, Evan J., 2022. "Simple Tests for Selection: Learning More from Instrumental Variables," Labour Economics, Elsevier, vol. 79(C).
    30. Tarek Azzam & Michael Bates & David Fairris, 2020. "Do Learning Communities Increase First Year College Retention? Testing Sample Selection and External Validity of Randomized Control Trials," Working Papers 202022, University of California at Riverside, Department of Economics, revised Jul 2020.
    31. Michael LeGower & Randall Walsh, 2014. "Promise Scholarship Programs as Place-Making Policy: Evidence from School Enrollment and Housing Prices," NBER Working Papers 20056, National Bureau of Economic Research, Inc.
    32. Hasan, Syed & Shakur, Shamim & Breunig, Robert, 2021. "Exchange rates and expenditure of households with foreign-born members: Evidence from Australia," Journal of Economic Behavior & Organization, Elsevier, vol. 188(C), pages 977-997.
    33. Carolina Bernal & Mónica Ortiz & Mounu Prem & Juan F. Vargas, 2022. "Peaceful entry: Entrepreneurship dynamics during Colombia’s peace agreement," Documentos de Trabajo 19939, The Latin American and Caribbean Economic Association (LACEA).
    34. Gary King & Christopher Lucas & Richard A. Nielsen, 2017. "The Balance‐Sample Size Frontier in Matching Methods for Causal Inference," American Journal of Political Science, John Wiley & Sons, vol. 61(2), pages 473-489, April.
    35. Miguel Cantillo, 2015. "Dynamic Investment with Adverse Selection and Moral Hazard," Working Papers 201501, Universidad de Costa Rica, revised Mar 2015.
    36. Raul Silveira Neto & Klebson Moura, 2015. "Commuting Time and Urban Violence in Brazil," ERSA conference papers ersa15p757, European Regional Science Association.
    37. Bernard Black & José-Antonio Espín-Sánchez & Eric French & Kate Litvak, 2017. "The Long-Term Effect of Health Insurance on Near-Elderly Health and Mortality," American Journal of Health Economics, MIT Press, vol. 3(3), pages 281-311, Summer.
    38. Hill, Matthew J. & Maestas, Nicole & Mullen, Kathleen J., 2016. "Employer accommodation and labor supply of disabled workers," Labour Economics, Elsevier, vol. 41(C), pages 291-303.
    39. Miyoshi, Chikage & Rubio Molina-Prados, Jesus, 2022. "Measuring the impact of long-haul low-cost carriers on lowering fares: A quasi-experimental design to assess the pre-COVID market," Transport Policy, Elsevier, vol. 128(C), pages 52-64.
    40. Huan Li & Neha Khanna & Martina Vidovic, 2018. "The effects of third party certification on voluntary self-regulation of accidents in the U.S. chemical industry," Journal of Regulatory Economics, Springer, vol. 53(3), pages 327-356, June.
    41. Timothy B. Armstrong & Michal Koles'r, 2017. "Finite-Sample Optimal Estimation and Inference on Average Treatment Effects Under Unconfoundedness," Cowles Foundation Discussion Papers 2115, Cowles Foundation for Research in Economics, Yale University.
    42. Tamara Bischof & Boris Kaiser, 2019. "Who Cares When You Close Down? The Effects of Primary Care Practice Closures on Patients," Diskussionsschriften dp1907, Universitaet Bern, Departement Volkswirtschaft.
    43. Bellmann, Lutz & Caliendo, Marco & Tübbicke, Stefan, 2017. "The Post-Reform Effectiveness of the New German Start-Up Subsidy for the Unemployed," IZA Discussion Papers 11055, Institute of Labor Economics (IZA).
    44. Marco Caliendo & Steffen Künn, 2010. "Start-up Subsidies for the Unemployed: Long-Term Evidence and Effect Heterogeneity," Discussion Papers of DIW Berlin 985, DIW Berlin, German Institute for Economic Research.
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    311. Deininger, Klaus & Liu, Yanyan, 2013. "Economic and Social Impacts of an Innovative Self-Help Group Model in India," World Development, Elsevier, vol. 43(C), pages 149-163.
    312. Backes, Ben & Cowan, James, 2019. "Is the pen mightier than the keyboard? The effect of online testing on measured student achievement," Economics of Education Review, Elsevier, vol. 68(C), pages 89-103.
    313. Paul Ferraro & Merlin Hanauer, 2011. "Protecting Ecosystems and Alleviating Poverty with Parks and Reserves: ‘Win-Win’ or Tradeoffs?," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 48(2), pages 269-286, February.

  32. Mitnik, Oscar K. & Imbens, Guido & Hotz, V. Joseph & Crump, Richard K., 2008. "Nonparametric Tests for Treatment Effect Heterogeneity," Scholarly Articles 3039049, Harvard University Department of Economics.

    Cited by:

    1. Richard K. Crump & V. Joseph Hotz & Guido W. Imbens & Oscar A. Mitnik, 2004. "Dealing with Limited Overlap in Estimation of Average Treatment Effects," Working Papers 0716, University of Miami, Department of Economics, revised 12 Jun 2007.
    2. Timothy B. Armstrong & Shu Shen, 2013. "Inference on Optimal Treatment Assignments," Cowles Foundation Discussion Papers 1927R, Cowles Foundation for Research in Economics, Yale University, revised Apr 2014.
    3. Bedoya Arguelles,Guadalupe & Bittarello,Luca & Davis,Jonathan Martin Villars & Mittag,Nikolas Karl & Bedoya Arguelles,Guadalupe & Bittarello,Luca & Davis,Jonathan Martin Villars & Mittag,Nikolas Karl, 2017. "Distributional impact analysis: toolkit and illustrations of impacts beyond the average treatment effect," Policy Research Working Paper Series 8139, The World Bank.
    4. Tobias Adrian & Richard K. Crump & Erik Vogt, 2019. "Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds," Journal of Finance, American Finance Association, vol. 74(4), pages 1931-1973, August.
    5. Marusca De Castris & Guido Pellegrini, 2015. "Caratteristiche delle imprese ed eterogeneit? degli effetti degli incentivi alla r&s," SCIENZE REGIONALI, FrancoAngeli Editore, vol. 2015(3 Suppl.), pages 61-79.
    6. Brigham R. Frandsen & Lars J. Lefgren, 2021. "Partial identification of the distribution of treatment effects with an application to the Knowledge is Power Program (KIPP)," Quantitative Economics, Econometric Society, vol. 12(1), pages 143-171, January.
    7. Sokbae Lee & Yoon-Jae Whang, 2009. "Nonparametric Tests of Conditional Treatment Effects," Cowles Foundation Discussion Papers 1740, Cowles Foundation for Research in Economics, Yale University.
    8. Cockx, Bart & Lechner, Michael & Bollens, Joost, 2020. "Priority to unemployed immigrants? A causal machine learning evaluation of training in Belgium," ROA Research Memorandum 006, Maastricht University, Research Centre for Education and the Labour Market (ROA).
    9. Pedro H. C. Sant’Anna, 2021. "Nonparametric Tests for Treatment Effect Heterogeneity With Duration Outcomes," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(3), pages 816-832, July.
    10. Sianesi, Barbara, 2017. "Evidence of randomisation bias in a large-scale social experiment: The case of ERA," Journal of Econometrics, Elsevier, vol. 198(1), pages 41-64.
    11. Lehrer, Steven F. & Pohl, R. Vincent & Song, Kyungchul, 2019. "Multiple testing and the distributional effects of accountability incentives in education," Ruhr Economic Papers 799, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    12. Tiziano Arduini & Eleonora Patacchini & Edoardo Rainone, 2014. "Identification and Estimation of Outcome Response with Heterogeneous Treatment Externalities," EIEF Working Papers Series 1407, Einaudi Institute for Economics and Finance (EIEF), revised Sep 2014.
    13. John Cai & Weinan Wang, 2022. "A Systematic Paradigm for Detecting, Surfacing, and Characterizing Heterogeneous Treatment Effects (HTE)," Papers 2211.01547, arXiv.org.
    14. Philip M. Gleason & Alexandra M. Resch & Jillian A. Berk, "undated". "Replicating Experimental Impact Estimates Using a Regression Discontinuity Approach," Mathematica Policy Research Reports c7ecf8b35c8d402491d09b2d0, Mathematica Policy Research.
    15. Pons Rotger, Gabriel & Rosholm, Michael, 2020. "The Role of Beliefs in Long Sickness Absence: Experimental Evidence from a Psychological Intervention," IZA Discussion Papers 13582, Institute of Labor Economics (IZA).
    16. Susan Athey & Guido Imbens, 2015. "Recursive Partitioning for Heterogeneous Causal Effects," Papers 1504.01132, arXiv.org, revised Dec 2015.
    17. Yanchun Jin, 2016. "Nonparametric tests for the effect of treatment on conditional variance," KIER Working Papers 948, Kyoto University, Institute of Economic Research.
    18. Dehejia, Rajeev & Pop-Eleches, Cristian & Samii, Cyrus, 2015. "From Local to Global: External Validity in a Fertility Natural Experiment," IZA Discussion Papers 9300, Institute of Labor Economics (IZA).
    19. Daniel Kaliski, 2023. "Identifying the impact of health insurance on subgroups with changing rates of diagnosis," Health Economics, John Wiley & Sons, Ltd., vol. 32(9), pages 2098-2112, September.
    20. Peng Ding & Avi Feller & Luke Miratrix, 2016. "Randomization inference for treatment effect variation," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(3), pages 655-671, June.
    21. Lu, Xun & White, Habert, 2015. "Testing For Treatment Dependence Of Effects Of A Continuous Treatment," Econometric Theory, Cambridge University Press, vol. 31(5), pages 1016-1053, October.
    22. Ana Beatriz Galvão & James Mitchell, 2024. "Communicating Data Uncertainty: Multiwave Experimental Evidence for UK GDP," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(1), pages 81-114, February.
    23. Augsburg, Britta & Bancalari, Antonella & Durrani, Zara & Vaidyanathan, Madhav & White, Zach, 2022. "When nature calls back: Sustaining behavioral change in rural Pakistan," Journal of Development Economics, Elsevier, vol. 158(C).
    24. Richard K. Crump & V. Joseph Hotz & Guido W. Imbens & Oscar A. Mitnik, 2006. "Moving the Goalposts: Addressing Limited Overlap in Estimation of Average Treatment Effects by Changing the Estimand," Working Papers 0608, University of Miami, Department of Economics.
    25. Zongwu Cai & Ying Fang & Ming Lin & Shengfang Tang, 2021. "A Nonparametric Test for Testing Heterogeneity in Conditional Quantile Treatment Effects," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202117, University of Kansas, Department of Economics, revised Aug 2021.
    26. Julius Owusu, 2023. "Randomization Inference of Heterogeneous Treatment Effects under Network Interference," Papers 2308.00202, arXiv.org, revised Jan 2024.
    27. Susan Athey & Guido Imbens, 2016. "The Econometrics of Randomized Experiments," Papers 1607.00698, arXiv.org.
    28. Albrecht, Konstanze & von Essen, Emma & Parys, Juliane & Szech, Nora, 2013. "Updating, self-confidence, and discrimination," European Economic Review, Elsevier, vol. 60(C), pages 144-169.
    29. Wooldridge, Jeffrey M. & Imbens, Guido, 2009. "Recent Developments in the Econometrics of Program Evaluation," Scholarly Articles 3043416, Harvard University Department of Economics.
    30. Sung Jae Jun & Yoonseok Lee & Youngki Shin, 2016. "Treatment Effects With Unobserved Heterogeneity: A Set Identification Approach," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(2), pages 302-311, April.
    31. Chengfeng Yu & Jiyu Yu & Da Gao, 2024. "Smart Cities and Greener Futures: Evidence from a Quasi-Natural Experiment in China’s Smart City Construction," Sustainability, MDPI, vol. 16(2), pages 1-28, January.
    32. Nathan Kallus, 2022. "Treatment Effect Risk: Bounds and Inference," Papers 2201.05893, arXiv.org, revised Jul 2022.
    33. Pender, John & Reeder, Richard, 2011. "Impacts of Regional Approaches to Rural Development: Initial Evidence on the Delta Regional Authority," Economic Research Report 262240, United States Department of Agriculture, Economic Research Service.
    34. Layla Parast & Tianxi Cai & Lu Tian, 2023. "Testing for heterogeneity in the utility of a surrogate marker," Biometrics, The International Biometric Society, vol. 79(2), pages 799-810, June.
    35. Khalil, Umair & Yıldız, Neşe, 2022. "A test of the selection on observables assumption using a discontinuously distributed covariate," Journal of Econometrics, Elsevier, vol. 226(2), pages 423-450.
    36. Seán M. Muller, 2021. "Evidence for a YETI? A Cautionary Tale from South Africa's Youth Employment Tax Incentive," Development and Change, International Institute of Social Studies, vol. 52(6), pages 1301-1342, November.
    37. Marianne P. Bitler & Jonah B. Gelbach & Hilary W. Hoynes, 2014. "Can Variation in Subgroups' Average Treatment Effects Explain Treatment Effect Heterogeneity? Evidence from a Social Experiment," NBER Working Papers 20142, National Bureau of Economic Research, Inc.
    38. Steinkraus, Arne, 2018. "Rethinking Policy Evaluation – Do Simple Neural Nets Bear Comparison with Synthetic Control Method?," EconStor Preprints 177390, ZBW - Leibniz Information Centre for Economics.
    39. Steven F. Lehrer & R. Vincent Pohl & Kyungchul Song, 2016. "Targeting Policies: Multiple Testing and Distributional Treatment Effects," NBER Working Papers 22950, National Bureau of Economic Research, Inc.
    40. Judith Favereau & Nicolas Brisset, 2016. "Randomization of What? Moving from Libertarian to "Democratic Paternalism". GREDEG Working Papers Series," Working Papers hal-02092638, HAL.
    41. Ferraro, Paul J. & Miranda, Juan José, 2013. "Heterogeneous treatment effects and mechanisms in information-based environmental policies: Evidence from a large-scale field experiment," Resource and Energy Economics, Elsevier, vol. 35(3), pages 356-379.
    42. Słoczyński, Tymon, 2012. "New Evidence on Linear Regression and Treatment Effect Heterogeneity," MPRA Paper 39524, University Library of Munich, Germany.
    43. Naureen Fatema & Shahriar Kibriya, 2018. "Givers of great dinners know few enemies: The impact of household food sufficiency and food sharing on low intensity interhousehold and community conflict in Eastern Democratic Republic of Congo," HiCN Working Papers 267, Households in Conflict Network.
    44. Andrea Mercatanti & Fan Li, 2017. "Do debit cards decrease cash demand?: causal inference and sensitivity analysis using principal stratification," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 66(4), pages 759-776, August.
    45. Nathan Kallus & Miruna Oprescu, 2022. "Robust and Agnostic Learning of Conditional Distributional Treatment Effects," Papers 2205.11486, arXiv.org, revised Feb 2023.
    46. Lépine, A. & Lagarde, M. & Le Nestour, A., 2015. "Free primary care in Zambia: an impact evaluation using a pooled synthetic control method," Health, Econometrics and Data Group (HEDG) Working Papers 15/20, HEDG, c/o Department of Economics, University of York.
    47. Vandercasteelen, Joachim & Dereje, Mekdim & Minten, Bart & Taffesse, Alemayehu Seyoum, 2013. "Scaling-up adoption of improved technologies: The impact of the promotion of row planting on farmers’ teff yields in Ethiopia:," ESSP working papers 60, International Food Policy Research Institute (IFPRI).
    48. Luo Wei & Wu Wenbo & Zhu Yeying, 2019. "Learning Heterogeneity in Causal Inference Using Sufficient Dimension Reduction," Journal of Causal Inference, De Gruyter, vol. 7(1), pages 1-14, March.
    49. Chung, EunYi & Olivares, Mauricio, 2021. "Permutation test for heterogeneous treatment effects with a nuisance parameter," Journal of Econometrics, Elsevier, vol. 225(2), pages 148-174.
    50. Fatema, Naureen & Kibriya, Shahriar, 2017. "Givers of great dinners know few enemies: The impact of household food security on micro-level communal conflict in Eastern Democratic Republic of Congo," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 258482, Agricultural and Applied Economics Association.
    51. Philip Gleason & Alexandra Resch & Jillian Berk, 2018. "RD or Not RD: Using Experimental Studies to Assess the Performance of the Regression Discontinuity Approach," Evaluation Review, , vol. 42(1), pages 3-33, February.
    52. Zhou, Niwen & Guo, Xu & Zhu, Lixing, 2024. "Significance test for semiparametric conditional average treatment effects and other structural functions," Computational Statistics & Data Analysis, Elsevier, vol. 189(C).
    53. Yuanyuan Shen & Tianxi Cai, 2016. "Identifying predictive markers for personalized treatment selection," Biometrics, The International Biometric Society, vol. 72(4), pages 1017-1025, December.
    54. Edward Feser, 2013. "Isserman’s Impact," International Regional Science Review, , vol. 36(1), pages 44-68, January.
    55. Gabriel Okasa & Kenneth A. Younge, 2022. "Sample Fit Reliability," Papers 2209.06631, arXiv.org.
    56. Huang, W. & Linton, O. & Zhang, Z., 2021. "A Unified Framework for Specification Tests of Continuous Treatment Effect Models," Cambridge Working Papers in Economics 2113, Faculty of Economics, University of Cambridge.
    57. Judith Favereau & Nicolas Brisset, 2016. "Randomization of What? Moving from Libertarian to "Democratic Paternalism"," GREDEG Working Papers 2016-34, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
    58. Ganesh Karapakula, 2023. "Stable Probability Weighting: Large-Sample and Finite-Sample Estimation and Inference Methods for Heterogeneous Causal Effects of Multivalued Treatments Under Limited Overlap," Papers 2301.05703, arXiv.org, revised Jan 2023.
    59. Nathan Kallus, 2023. "Treatment Effect Risk: Bounds and Inference," Management Science, INFORMS, vol. 69(8), pages 4579-4590, August.
    60. Onur Altindag & Theodore J. Joyce & Julie A. Reeder, 2015. "Effects of Peer Counseling to Support Breastfeeding: Assessing the External Validity of a Randomized Field Experiment," NBER Working Papers 21013, National Bureau of Economic Research, Inc.
    61. Manuel S. Santos & Juan Pablo Rincon-Zapatero, 2007. "Moving the Goalposts: Differentiability of the Value Function without Interiority Assumptions," Working Papers 0614, University of Miami, Department of Economics.
    62. Zongwu Cai & Ying Fang & Ming Lin & Shengfang Tang, 2020. "Inferences for Partially Conditional Quantile Treatment Effect Model," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202005, University of Kansas, Department of Economics, revised Feb 2020.
    63. Yu‐Chin Hsu & Shu Shen, 2021. "Testing monotonicity of conditional treatment effects under regression discontinuity designs," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(3), pages 346-366, April.
    64. Alejandro Sanchez-Becerra, 2023. "Robust inference for the treatment effect variance in experiments using machine learning," Papers 2306.03363, arXiv.org.
    65. Paul Ferraro & Merlin Hanauer, 2011. "Protecting Ecosystems and Alleviating Poverty with Parks and Reserves: ‘Win-Win’ or Tradeoffs?," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 48(2), pages 269-286, February.

  33. Matias D. Cattaneo & Richard K. Crump & Michael Jansson, 2008. "Small Bandwidth Asymptotics for Density-Weighted Average Derivatives," CREATES Research Papers 2008-24, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Hiroaki Kaido, 2014. "Asymptotically efficient estimation of weighted average derivatives with an interval censored variable," CeMMAP working papers 03/14, Institute for Fiscal Studies.
    2. Kotlyarova, Yulia & Schafgans, Marcia M.A. & Zinde-Walsh, Victoria, 2021. "Rates of expansions for functional estimators," LSE Research Online Documents on Economics 113436, London School of Economics and Political Science, LSE Library.
    3. Matias D. Cattaneo & Michael Jansson & Xinwei Ma, 2018. "Two-Step Estimation and Inference with Possibly Many Included Covariates," Papers 1807.10100, arXiv.org.
    4. Bryan S. Graham, 2020. "Sparse network asymptotics for logistic regression," Papers 2010.04703, arXiv.org.
    5. Wang, Yulong & Xiao, Zhijie, 2022. "Estimation and inference about tail features with tail censored data," Journal of Econometrics, Elsevier, vol. 230(2), pages 363-387.
    6. Hao Dong & Taisuke Otsu & Luke Taylor, 2019. "Average derivative estimation under measurement error," STICERD - Econometrics Paper Series 602, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    7. Max H. Farrell, 2013. "Robust Inference on Average Treatment Effects with Possibly More Covariates than Observations," Papers 1309.4686, arXiv.org, revised Feb 2018.
    8. Matsushita, Yukitoshi & Otsu, Taisuke, 2020. "Jackknife empirical likelihood: small bandwidth, sparse network and high-dimension asymptotic," LSE Research Online Documents on Economics 106488, London School of Economics and Political Science, LSE Library.
    9. Dennis Kristensen, 2009. "Semiparametric Modelling and Estimation: A Selective Overview," CREATES Research Papers 2009-44, Department of Economics and Business Economics, Aarhus University.
    10. Yukitoshi Matsushita & Taisuke Otsu, 2019. "Jackknife, small bandwidth and high-dimensional asymptotics," STICERD - Econometrics Paper Series 605, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    11. Stéphane Bonhomme & Martin Weidner, 2022. "Minimizing sensitivity to model misspecification," Quantitative Economics, Econometric Society, vol. 13(3), pages 907-954, July.
    12. Bryan S. Graham, 2019. "Network Data," NBER Working Papers 26577, National Bureau of Economic Research, Inc.
    13. Stéphane Bonhomme & Martin Weidner, 2020. "Minimizing Sensitivity to Model Misspecification," CeMMAP working papers CWP37/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    14. Bryan S. Graham, 2019. "Dyadic Regression," Papers 1908.09029, arXiv.org.
    15. Cattaneo, Matias D. & Crump, Richard K. & Jansson, Michael, 2010. "Robust Data-Driven Inference for Density-Weighted Average Derivatives," Journal of the American Statistical Association, American Statistical Association, vol. 105(491), pages 1070-1083.
    16. Bryan S. Graham, 2019. "Network Data," CeMMAP working papers CWP71/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    17. Jun, Sung Jae & Pinkse, Joris & Wan, Yuanyuan, 2015. "Classical Laplace estimation for n3-consistent estimators: Improved convergence rates and rate-adaptive inference," Journal of Econometrics, Elsevier, vol. 187(1), pages 201-216.

  34. Mathias D. Cattaneo & Richard K. Crump & Michael Jansson, 2007. "Optimal Inference for Instrumental Variables Regression with non-Gaussian Errors," CREATES Research Papers 2007-11, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Aviv Nevo & Adam Rosen, 2008. "Identification with imperfect instruments," CeMMAP working papers CWP16/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    2. Marmer, Vadim & Yu, Zhengfei, 2015. "Efficient Inference in the Classical IV Regression Model with Weak Identification: Asymptotic Power Against Arbitrarily Large Deviations from the Null Hypothesis," Microeconomics.ca working papers vadim_marmer-2015-17, Vancouver School of Economics, revised 02 Sep 2015.
    3. Keisuke Hirano & Jack R. Porter, 2023. "Asymptotic Representations for Sequential Decisions, Adaptive Experiments, and Batched Bandits," Papers 2302.03117, arXiv.org.
    4. Donald W.K. Andrews & Patrik Guggenberger, 2007. "Applications of Subsampling, Hybrid, and Size-Correction Methods," Cowles Foundation Discussion Papers 1608, Cowles Foundation for Research in Economics, Yale University.
    5. Kaplan, David M. & Sun, Yixiao, 2012. "Smoothed Estimating Equations For Instrumental Variables Quantile Regression," University of California at San Diego, Economics Working Paper Series qt888657tp, Department of Economics, UC San Diego.
    6. Tetsuya Kaji, 2019. "Theory of Weak Identification in Semiparametric Models," Papers 1908.10478, arXiv.org, revised Aug 2020.
    7. Keisuke Hirano & Jack R. Porter, 2015. "Location Properties of Point Estimators in Linear Instrumental Variables and Related Models," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 720-733, December.
    8. Mills, Benjamin & Moreira, Marcelo J. & Vilela, Lucas P., 2014. "Tests based on t-statistics for IV regression with weak instruments," Journal of Econometrics, Elsevier, vol. 182(2), pages 351-363.
    9. Kolesár, Michal, 2018. "Minimum distance approach to inference with many instruments," Journal of Econometrics, Elsevier, vol. 204(1), pages 86-100.
    10. Sølvsten, Mikkel, 2020. "Robust estimation with many instruments," Journal of Econometrics, Elsevier, vol. 214(2), pages 495-512.

  35. Crump, Richard K. & Hotz, V. Joseph & Imbens, Guido W. & Mitnik, Oscar A., 2006. "Moving the Goalposts: Addressing Limited Overlap in Estimation of Average Treatment Effects by Changing the Estimand," IZA Discussion Papers 2347, Institute of Labor Economics (IZA).

    Cited by:

    1. Richard K. Crump & V. Joseph Hotz & Guido W. Imbens & Oscar A. Mitnik, 2004. "Dealing with Limited Overlap in Estimation of Average Treatment Effects," Working Papers 0716, University of Miami, Department of Economics, revised 12 Jun 2007.
    2. Reiling, Rune Borgan & Salvanes, Kari Vea & Sandsør, Astrid Marie Jorde & Strøm, Bjarne, 2021. "The effect of central government grants on local educational policy," European Journal of Political Economy, Elsevier, vol. 69(C).
    3. Jeffrey Clemens, 2015. "The Minimum Wage and the Great Recession: Evidence from the Current Population Survey," NBER Working Papers 21830, National Bureau of Economic Research, Inc.
    4. Richard K. Crump & V. Joseph Hotz & Guido W. Imbens & Oscar A. Mitnik, 2006. "Nonparametric Tests for Treatment Effect Heterogeneity," NBER Technical Working Papers 0324, National Bureau of Economic Research, Inc.
    5. Shikuku, Kelvin Mashisia & Okello, Julius Juma & Wambugu, Stella & Sindi, Kirimi & Low, Jan W. & McEwan, Margaret, 2019. "Nutrition and food security impacts of quality seeds of biofortified orange-fleshed sweetpotato: Quasi-experimental evidence from Tanzania," World Development, Elsevier, vol. 124(C), pages 1-1.
    6. Timothy B. Armstrong & Michal Kolesar, 2014. "A Simple Adjustment for Bandwidth Snooping," Cowles Foundation Discussion Papers 1961R2, Cowles Foundation for Research in Economics, Yale University, revised Oct 2016.
    7. Habimana, Dominique & Haughton, Jonathan & Nkurunziza, Joseph & Haughton, Dominique Marie-Annick, 2021. "Measuring the impact of unconditional cash transfers on consumption and poverty in Rwanda," World Development Perspectives, Elsevier, vol. 23(C).
    8. Busso, Matias & Kline, Patrick, 2008. "Do Local Economic Development Programs Work? Evidence from the Federal Empowerment Zone Program," Working Papers 36, Yale University, Department of Economics.
    9. Evan Borkum & Paolo Abarcar & Laura Meyer & Matthew Spitzer, "undated". "Jordan Refugee Livelihoods Development Impact Bond Evaluation Framework," Mathematica Policy Research Reports 602dafe521fe4467854dcd45e, Mathematica Policy Research.
    10. Christiano A. Coelho & João Manoel Pinho de Mello & Leonardo Rezende, 2007. "Are Public Banks pro-Competitive? Evidence from Concentrated Local Markets in Brazil," Textos para discussão 551, Department of Economics PUC-Rio (Brazil), revised Sep 2007.
    11. Weibin Mo & Yufeng Liu, 2022. "Efficient learning of optimal individualized treatment rules for heteroscedastic or misspecified treatment‐free effect models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(2), pages 440-472, April.
    12. Foucault, Thierry & Themar, David & Sraer, David, 2008. "Individual investors and volatility," HEC Research Papers Series 899, HEC Paris.
    13. Elsayed, Ahmed & Roushdy, Rania, 2017. "Empowering Women under Social Constraints: Evidence from a Field Intervention in Rural Egypt," IZA Discussion Papers 11240, Institute of Labor Economics (IZA).
    14. Jason M. Fletcher & David E. Frisvold, 2009. "Higher Education and Health Investments: Does More Schooling Affect Preventive Health Care Use?," Journal of Human Capital, University of Chicago Press, vol. 3(2), pages 144-176.
    15. Kevin Blattler & Hannes Wallimann & Widar von Arx, 2024. "Free public transport to the destination: A causal analysis of tourists' travel mode choice," Papers 2401.14945, arXiv.org, revised Feb 2024.
    16. D'Elia, Vanesa Valeria & Grand, Mariana Conte & León, Sonia, 2020. "Bus rapid transit and property values in Buenos Aires: Combined spatial hedonic pricing and propensity score techniques," Research in Transportation Economics, Elsevier, vol. 80(C).
    17. Stefano DellaVigna & Ethan Kaplan, 2006. "The Fox News Effect: Media Bias and Voting," NBER Working Papers 12169, National Bureau of Economic Research, Inc.
    18. Richard K. Crump & V. Joseph Hotz & Guido W. Imbens & Oscar A. Mitnik, 2006. "Moving the Goalposts: Addressing Limited Overlap in Estimation of Average Treatment Effects by Changing the Estimand," Working Papers 0608, University of Miami, Department of Economics.
    19. Zhao, Zhong, 2005. "Sensitivity of Propensity Score Methods to the Specifications," IZA Discussion Papers 1873, Institute of Labor Economics (IZA).
    20. Nan L. Maxwell & Dana Rotz, 2017. "Potential Assistance for Disadvantaged Workers: Employment Social Enterprises," Journal of Labor Research, Springer, vol. 38(2), pages 145-168, June.
    21. de Brauw, Alan & Hoddinott, John, 2011. "Must conditional cash transfer programs be conditioned to be effective? The impact of conditioning transfers on school enrollment in Mexico," Journal of Development Economics, Elsevier, vol. 96(2), pages 359-370, November.
    22. Ahmed Elsayed & Soiliou Daw Namoro & Rania Roushdy, 2022. "Empowering women in conservative settings: evidence from an intervention in rural Egypt," Review of Economics of the Household, Springer, vol. 20(4), pages 1287-1322, December.
    23. Fletcher, Jason M. & Frisvold, David E., 2011. "College selectivity and young adult health behaviors," Economics of Education Review, Elsevier, vol. 30(5), pages 826-837, October.
    24. Philip J. Cook & Robert MacCoun & Clara Muschkin & Jacob Vigdor, 2008. "The negative impacts of starting middle school in sixth grade," Journal of Policy Analysis and Management, John Wiley & Sons, Ltd., vol. 27(1), pages 104-121.
    25. Dana Rotz & Nan Maxwell & Adam Dunn, "undated". "Economic Self-Sufficiency and Life Stability One Year After Starting a Social Enterprise Job," Mathematica Policy Research Reports 24697e16229b4f6b8fd5763f2, Mathematica Policy Research.
    26. Stewart, James I., 2012. "Migration to U.S. frontier cities and job opportunity, 1860–1880," Explorations in Economic History, Elsevier, vol. 49(4), pages 528-542.
    27. Deininger, Klaus & Liu, Yanyan, 2009. "Longer-term economic impacts of self-help groups in india," Policy Research Working Paper Series 4886, The World Bank.
    28. Wagstaff, Adam & Lindelow, Magnus & Gao Jun & Xu Ling & Qian Juncheng, 2007. "Extending health insurance to the rural population : an impact evaluation of China's new cooperative medical scheme," Policy Research Working Paper Series 4150, The World Bank.
    29. Stijn Vansteelandt & Oliver Dukes, 2022. "Assumption‐lean inference for generalised linear model parameters," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(3), pages 657-685, July.
    30. Wagstaff, Adam, 2007. "Health insurance for the poor : initial impacts of Vietnam's health care fund for the poor," Policy Research Working Paper Series 4134, The World Bank.
    31. Kathleen Beegle & Joachim De Weerdt & Stefan Dercon, 2007. "Orphanhood and the long-run impact on children," CSAE Working Paper Series 2007-08, Centre for the Study of African Economies, University of Oxford.
    32. Nan L. Maxwell & Dana Rotz, "undated". "Building the Employment and Economic Self-Sufficiency of the Disadvantaged: The Potential of Social Enterprises," Mathematica Policy Research Reports 37f4ab94fb044cc1945cb04dc, Mathematica Policy Research.
    33. Stijn Vansteelandt & Oliver Dukes, 2022. "Authors' reply to the Discussion of ‘Assumption‐lean inference for generalised linear model parameters’ by Vansteelandt and Dukes," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(3), pages 729-739, July.
    34. Shor, Boris & McCarty, Nolan, 2010. "The Ideological Mapping of American Legislatures," Papers 8-11-2010, Princeton University, Research Program in Political Economy.
    35. Filmer, Deon & Schady, Norbert, 2006. "Getting girls into school : evidence from a scholarship program in Cambodia," Policy Research Working Paper Series 3910, The World Bank.
    36. Chen, Shaohua & Mu, Ren & Ravallion, Martin, 2009. "Are there lasting impacts of aid to poor areas?," Journal of Public Economics, Elsevier, vol. 93(3-4), pages 512-528, April.
    37. Deininger, Klaus & Liu, Yanyan, 2009. "Economic and social impacts of self-help groups in India," Policy Research Working Paper Series 4884, The World Bank.
    38. Shikuku, Kelvin Mashisia, 2019. "Information exchange links, knowledge exposure, and adoption of agricultural technologies in northern Uganda," World Development, Elsevier, vol. 115(C), pages 94-106.
    39. Megan Sheahan & Yanyan Liu & Sudha Narayanan & Christopher B. Barrett, 2020. "Disaggregated labor supply implications of guaranteed employment in India," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2020-035, Indira Gandhi Institute of Development Research, Mumbai, India.
    40. Jason Fletcher & David Frisvold, 2014. "The long run health returns to college quality," Review of Economics of the Household, Springer, vol. 12(2), pages 295-325, June.
    41. Mohammad Mahbubur Rahman, 2014. "Estimating the Average Treatment Effect of Social Safety Net Programmes in Bangladesh," Journal of Development Studies, Taylor & Francis Journals, vol. 50(11), pages 1550-1569, November.
    42. Suzuki, Aya & Igei, Kengo, 2017. "Can Efficient Provision of Business Development Services Bring Better Results for SMEs?: Evidence from a Networking Project in Thailand," Working Papers 147, JICA Research Institute.
    43. Ravallion, Martin, 2012. "Can we trust shoestring evaluations ?," Policy Research Working Paper Series 5983, The World Bank.
    44. Allcott, Hunt & Ortega, Daniel E., 2009. "The performance of decentralized school systems : evidence from Fe y Alegría in Venezuela," Policy Research Working Paper Series 4879, The World Bank.
    45. Sudhanshu Handa & John Maluccio, 2008. "Matching the gold standard: Comparing experimental and non-experimental evaluation techniques for a geographically targeted program," Middlebury College Working Paper Series 0813, Middlebury College, Department of Economics.
    46. D’Amour, Alexander & Ding, Peng & Feller, Avi & Lei, Lihua & Sekhon, Jasjeet, 2021. "Overlap in observational studies with high-dimensional covariates," Journal of Econometrics, Elsevier, vol. 221(2), pages 644-654.
    47. Fahner, Gerald, 2012. "Estimating causal effects of credit decisions," International Journal of Forecasting, Elsevier, vol. 28(1), pages 248-260.
    48. Juan Robalino & Alexander Pfaff, 2013. "Ecopayments and Deforestation in Costa Rica: A Nationwide Analysis of PSA’s Initial Years," Land Economics, University of Wisconsin Press, vol. 89(3), pages 432-448.
    49. SUZUKI, Aya & 真野, 裕吉 & MANO, Yukichi & ABEBE, Girum, 2017. "Earnings, Savings, and Job Satisfaction in a Labor-intensive Export Sector: Evidence from the Cut Flower Industry in Ethiopia," Discussion paper series HIAS-E-55, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
    50. Kevin P. Josey & Elizabeth Juarez‐Colunga & Fan Yang & Debashis Ghosh, 2021. "A framework for covariate balance using Bregman distances," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(3), pages 790-816, September.
    51. Susan Athey & Guido Imbens & Thai Pham & Stefan Wager, 2017. "Estimating Average Treatment Effects: Supplementary Analyses and Remaining Challenges," Papers 1702.01250, arXiv.org.
    52. Onur Baser, 2007. "Propensity Score Matching with Limited Overlap," Economics Bulletin, AccessEcon, vol. 9(8), pages 1-8.
    53. Nolan McCarty & Keith T. Poole & Howard Rosenthal, 2009. "Does Gerrymandering Cause Polarization?," American Journal of Political Science, John Wiley & Sons, vol. 53(3), pages 666-680, July.
    54. Rahman, Mohammad Mahbubur, 2012. "Estimating the Effects of Social Safety Net Programmes in Bangladesh on Calorie Consumption of Poor Households," Bangladesh Development Studies, Bangladesh Institute of Development Studies (BIDS), vol. 35(2), pages 67-85, June.
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    57. Li, Lingling & Tchetgen Tchetgen, Eric & van der Vaart, Aad & Robins, James M., 2011. "Higher order inference on a treatment effect under low regularity conditions," Statistics & Probability Letters, Elsevier, vol. 81(7), pages 821-828, July.
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Articles

  1. Crump, Richard K. & Eusepi, Stefano & Tambalotti, Andrea & Topa, Giorgio, 2022. "Subjective intertemporal substitution," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 118-133.
    See citations under working paper version above.
  2. Richard K. Crump & Nikolay Gospodinov, 2022. "On the Factor Structure of Bond Returns," Econometrica, Econometric Society, vol. 90(1), pages 295-314, January.

    Cited by:

    1. Moench, Emanuel & Soofi-Siavash, Soroosh, 2022. "What moves treasury yields?," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1016-1043.
    2. Dennis Schroers, 2024. "Robust Functional Data Analysis for Stochastic Evolution Equations in Infinite Dimensions," Papers 2401.16286, arXiv.org.
    3. Pablo Guerrón-Quintana & Alexey Khazanov & Molin Zhong, 2023. "Financial and Macroeconomic Data Through the Lens of a Nonlinear Dynamic Factor Model," Finance and Economics Discussion Series 2023-027, Board of Governors of the Federal Reserve System (U.S.).

  3. Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Ernst Schaumburg, 2020. "Characteristic-Sorted Portfolios: Estimation and Inference," The Review of Economics and Statistics, MIT Press, vol. 102(3), pages 531-551, July.
    See citations under working paper version above.
  4. Tobias Adrian & Richard K. Crump & Erik Vogt, 2019. "Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds," Journal of Finance, American Finance Association, vol. 74(4), pages 1931-1973, August.
    See citations under working paper version above.
  5. Richard K. Crump & Stefano Eusepi & Marc Giannoni & Aysegul Sahin, 2019. "A Unified Approach to Measuring u," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 50(1 (Spring), pages 143-238.
    See citations under working paper version above.
  6. Andrade, Philippe & Crump, Richard K. & Eusepi, Stefano & Moench, Emanuel, 2016. "Fundamental disagreement," Journal of Monetary Economics, Elsevier, vol. 83(C), pages 106-128.
    See citations under working paper version above.
  7. Abrahams, Michael & Adrian, Tobias & Crump, Richard K. & Moench, Emanuel & Yu, Rui, 2016. "Decomposing real and nominal yield curves," Journal of Monetary Economics, Elsevier, vol. 84(C), pages 182-200.
    See citations under working paper version above.
  8. Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2015. "Regression-based estimation of dynamic asset pricing models," Journal of Financial Economics, Elsevier, vol. 118(2), pages 211-244.
    See citations under working paper version above.
  9. Cattaneo, Matias D. & Crump, Richard K. & Jansson, Michael, 2014. "Bootstrapping Density-Weighted Average Derivatives," Econometric Theory, Cambridge University Press, vol. 30(6), pages 1135-1164, December.
    See citations under working paper version above.
  10. Cattaneo, Matias D. & Crump, Richard K. & Jansson, Michael, 2014. "Small Bandwidth Asymptotics For Density-Weighted Average Derivatives," Econometric Theory, Cambridge University Press, vol. 30(1), pages 176-200, February.
    See citations under working paper version above.
  11. Matias D. Cattaneo & Richard K. Crump & Michael Jansson, 2013. "Generalized Jackknife Estimators of Weighted Average Derivatives," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 108(504), pages 1243-1256, December.
    See citations under working paper version above.
  12. Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2013. "Pricing the term structure with linear regressions," Journal of Financial Economics, Elsevier, vol. 110(1), pages 110-138.

    Cited by:

    1. Richhild Moessner, 2018. "Effects of asset purchases and financial stability measures on term premia in the euro area," National Institute of Economic and Social Research (NIESR) Discussion Papers 489, National Institute of Economic and Social Research.
    2. Rebecca Hellerstein, 2011. "Global bond risk premiums," Staff Reports 499, Federal Reserve Bank of New York.
    3. Mr. Tao Wu, 2014. "Unconventional Monetary Policy and Long-Term Interest Rates," IMF Working Papers 2014/189, International Monetary Fund.
    4. Carlo Altavilla & Domenico Giannone & Michèle Modugno, 2014. "Low Frequency Effects of Macroeconomic News on Government Bond Yields," Working Papers ECARES ECARES 2014-34, ULB -- Universite Libre de Bruxelles.
    5. Kortela, Tomi & Nelimarkka, Jaakko, 2020. "The effects of conventional and unconventional monetary policy: Identification through the yield curve," Bank of Finland Research Discussion Papers 3/2020, Bank of Finland.
    6. Tobias Adrian & Erkko Etula & Jan J. J. Groen, 2010. "Financial amplification of foreign exchange risk premia," Staff Reports 461, Federal Reserve Bank of New York.
    7. Alfaro, Rodrigo & Piña, Marco, 2023. "Estimates of the US Shadow-Rate," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(1).
    8. Zhengyang Chen, 2019. "The Long-term Rate and Interest Rate Volatility in Monetary Policy Transmission," 2019 Papers pch1858, Job Market Papers.
    9. Mr. Eugenio M Cerutti & Mr. Maurice Obstfeld & Haonan Zhou, 2019. "Covered Interest Parity Deviations: Macrofinancial Determinants," IMF Working Papers 2019/014, International Monetary Fund.
    10. Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2015. "Regression-based estimation of dynamic asset pricing models," Journal of Financial Economics, Elsevier, vol. 118(2), pages 211-244.
    11. Bandi, Federico M. & Bretscher, Lorenzo & Tamoni, Andrea, 2023. "Return predictability with endogenous growth," Journal of Financial Economics, Elsevier, vol. 150(3).
    12. Sushanta K Mallick & Madhusudan Mohanty & Fabrizio Zampolli, 2017. "Market volatility, monetary policy and the term premium," BIS Working Papers 606, Bank for International Settlements.
    13. Chunya Bu & John Rogers & Wenbin Wu, 2019. "A Unified Measure of Fed Monetary Policy Shocks," Finance and Economics Discussion Series 2019-043, Board of Governors of the Federal Reserve System (U.S.).
    14. Taylor, Alan M. & Davis, Josh & Fuenzalida, Cristian, 2019. "The Natural Rate Puzzle: Global Macro Trends and the Market-Implied r," CEPR Discussion Papers 14201, C.E.P.R. Discussion Papers.
    15. Maurice Obstfeld & Haonan Zhou, 2023. "The Global Dollar Cycle," NBER Working Papers 31004, National Bureau of Economic Research, Inc.
    16. Matthew Greenwood-Nimmo & Daan Steenkamp & Rossouw van Jaarsveld, 2022. "A banklevel analysis of interest rate passthrough in South Africa," Working Papers 11027, South African Reserve Bank.
    17. De Rezende, Rafael B. & Ristiniemi, Annukka, 2023. "A shadow rate without a lower bound constraint," Journal of Banking & Finance, Elsevier, vol. 146(C).
    18. Michael D. Bauer & Glenn D. Rudebusch, 2015. "Resolving the spanning puzzle in macro-finance term structure models," Working Paper Series 2015-1, Federal Reserve Bank of San Francisco.
    19. Tobias Adrian & Richard K. Crump & Erik Vogt, 2019. "Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds," Journal of Finance, American Finance Association, vol. 74(4), pages 1931-1973, August.
    20. Adrian, Tobias & Fleming, Michael J. & Shachar, Or & Vogt, Erik, 2017. "Market Liquidity after the Financial Crisis," CEPR Discussion Papers 12248, C.E.P.R. Discussion Papers.
    21. Christian Grisse & Silvio Schumacher, 2018. "Term structure dynamics at low and negative interest rates—evidence from Switzerland," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 154(1), pages 1-17, December.
    22. Rodrigo Vergara & Elías Albagli, 2015. "Tasas de Interés de Largo Plazo en Economías Desarrolladas: Tendencias Recientes e Implicancias de Política Monetaria en Chile," Economic Policy Papers Central Bank of Chile 52, Central Bank of Chile.
    23. Almeida, Caio & Ardison, Kym & Kubudi, Daniela, 2014. "Approximating Risk Premium on a Parametric Arbitrage-free Term Structure Model," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 34(2), November.
    24. Jonathan Hambur & Qazi Haque, 2023. "Can we use high-frequency yield data to better understand the effects of monetary policy and its communication? Yes and no!," School of Economics and Public Policy Working Papers 2023-03 Classification-E4, University of Adelaide, School of Economics and Public Policy.
    25. Lakdawala, Aeimit & Moreland, Timothy & Schaffer, Matthew, 2021. "The international spillover effects of US monetary policy uncertainty," Journal of International Economics, Elsevier, vol. 133(C).
    26. Martin Kliem & Alexander Meyer-Gohde, 2018. "(Un)expected Monetary Policy Shocks and Term Premia," 2018 Meeting Papers 102, Society for Economic Dynamics.
    27. De Pooter, Michiel & Favara, Giovanni & Modugno, Michele & Wu, Jason, 2021. "Monetary policy uncertainty and monetary policy surprises," Journal of International Money and Finance, Elsevier, vol. 112(C).
    28. Meldrum, Andrew & Roberts-Sklar, Matt, 2015. "Long-run priors for term structure models," Bank of England working papers 575, Bank of England.
    29. Adam Kucera & Evzen Kocenda & Ales Marsal, 2022. "Yield Curve Dynamics and Fiscal Policy Shocks," Working Papers IES 2022/04, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2022.
    30. Moench, Emanuel & Soofi-Siavash, Soroosh, 2022. "What moves treasury yields?," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1016-1043.
    31. Halberstadt, Arne, 2023. "Decomposing the yield curve with linear regressions and survey information," The Quarterly Review of Economics and Finance, Elsevier, vol. 91(C), pages 25-39.
    32. Mr. Phurichai Rungcharoenkitkul, 2011. "Risk Sharing and Financial Contagion in Asia: An Asset Price Perspective," IMF Working Papers 2011/242, International Monetary Fund.
    33. Erkko Etula, 2013. "Broker-Dealer Risk Appetite and Commodity Returns," Journal of Financial Econometrics, Oxford University Press, vol. 11(3), pages 486-521, June.
    34. Pegoraro, F. & Siegel, A. F. & Tiozzo Pezzoli, L., 2014. "Specification Analysis of International Treasury Yield Curve Factors," Working papers 490, Banque de France.
    35. Mirco Rubin & Dario Ruzzi, 2020. "Equity Tail Risk in the Treasury Bond Market," Papers 2007.05933, arXiv.org.
    36. Görtz, Christoph & Yeromonahos, Mallory, 2022. "Asymmetries in risk premia, macroeconomic uncertainty and business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
    37. Hager, Diego & Nitschka, Thomas, 2022. "The Impact of COVID-19 and other Crises on the Responses of Swiss Bond Yields and Stock Prices to ECB Policy Surprises," VfS Annual Conference 2022 (Basel): Big Data in Economics 264018, Verein für Socialpolitik / German Economic Association.
    38. Albagli, Elias & Ceballos, Luis & Claro, Sebastian & Romero, Damian, 2019. "Channels of US monetary policy spillovers to international bond markets," Journal of Financial Economics, Elsevier, vol. 134(2), pages 447-473.
    39. Januj Juneja, 2015. "An evaluation of alternative methods used in the estimation of Gaussian term structure models," Review of Quantitative Finance and Accounting, Springer, vol. 44(1), pages 1-24, January.
    40. Hitesh Doshi & Kris Jacobs & Rui Liu, 2021. "Information in the Term Structure: A Forecasting Perspective," Management Science, INFORMS, vol. 67(8), pages 5255-5277, August.
    41. Peter Hooper & Frederic S. Mishkin & Amir Sufi, 2019. "Prospects for Inflation in a High Pressure Economy: Is the Phillips Curve Dead or is It Just Hibernating?," NBER Working Papers 25792, National Bureau of Economic Research, Inc.
    42. Tobias Adrian & Daniel M. Covitz & J. Nellie Liang, 2014. "Financial Stability Monitoring," FEDS Notes 2014-08-04, Board of Governors of the Federal Reserve System (U.S.).
    43. Michael D. Bauer & Glenn D. Rudebusch, 2019. "Interest Rates Under Falling Stars," Working Paper Series 2017-16, Federal Reserve Bank of San Francisco.
    44. Phurichai Rungcharoenkitkul & Fabian Winkler, 2022. "The Natural Rate of Interest Through a Hall of Mirrors," Finance and Economics Discussion Series 2022-010, Board of Governors of the Federal Reserve System (U.S.).
    45. Robin Greenwood & Samuel G. Hanson & Dimitri Vayanos, 2016. "Forward Guidance in the Yield Curve: Short Rates versus Bond Supply," Central Banking, Analysis, and Economic Policies Book Series, in: Elías Albagli & Diego Saravia & Michael Woodford (ed.),Monetary Policy through Asset Markets: Lessons from Unconventional Measures and Implications for an Integrated World, edition 1, volume 24, chapter 2, pages 011-062, Central Bank of Chile.
    46. Jonathan Hambur & Richard Finlay, 2018. "Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia," RBA Research Discussion Papers rdp2018-02, Reserve Bank of Australia.
    47. Petter Eilif de Lange & Morten Risstad & Kristian Semmen & Sjur Westgaard, 2023. "Term Premia in Norwegian Interest Rate Swaps," JRFM, MDPI, vol. 16(3), pages 1-19, March.
    48. Creal, Drew D. & Wu, Jing Cynthia, 2015. "Estimation of affine term structure models with spanned or unspanned stochastic volatility," Journal of Econometrics, Elsevier, vol. 185(1), pages 60-81.
    49. Dedola, Luca & Georgiadis, Georgios & Gräb, Johannes & Mehl, Arnaud, 2018. "Does a big bazooka matter? Central bank balance-sheet policies and exchange rates," Working Paper Series 2197, European Central Bank.
    50. Schrimpf, Paul & Kearns, Jonathan & Ferrari, Massimo, 2017. "Monetary policy's rising FX impact in the era of ultra-low rates," CEPR Discussion Papers 11918, C.E.P.R. Discussion Papers.
    51. Moessner, Richhild & de Haan, Jakob, 2022. "Effects of monetary policy announcements on term premia in the euro area during the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 44(C).
    52. Katagiri, Mitsuru & Takahashi, Koji, 2023. "Do term premiums matter? Transmission via exchange rate dynamics," Journal of International Money and Finance, Elsevier, vol. 139(C).
    53. Camelia Minoiu & Andrés Schneider & Min Wei, 2023. "Why Does the Yield Curve Predict GDP Growth? The Role of Banks," FRB Atlanta Working Paper 2023-14, Federal Reserve Bank of Atlanta.
    54. Russell Barnett & Konrad Zmitrowicz, 2018. "Assessing the Impact of Demand Shocks on the US Term Premium," Discussion Papers 18-7, Bank of Canada.
    55. Peter Tillmann, 2020. "Monetary Policy Uncertainty and the Response of the Yield Curve to Policy Shocks," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(4), pages 803-833, June.
    56. De Graeve, Ferre & Queijo von Heideken, Virginia, 2013. "Identifying Fiscal Inflation," Working Paper Series 273, Sveriges Riksbank (Central Bank of Sweden).
    57. Kaszab, Lorant & Marsal, Ales, 2013. "Fiscal Policy and the Nominal Term Premium," Cardiff Economics Working Papers E2013/13, Cardiff University, Cardiff Business School, Economics Section.
    58. Asis, Gonzalo & Chari, Anusha & Haas, Adam, 2021. "In search of distress risk in emerging markets," Journal of International Economics, Elsevier, vol. 131(C).
    59. Mitsuru Katagiri & Koji Takahashi, 2017. "Do Term Premiums Matter? Transmission via Exchange Rate Dynamics," Bank of Japan Working Paper Series 17-E-7, Bank of Japan.
    60. Frank Kleibergen & Lingwei Kong, 2023. "Identification Robust Inference for the Risk Premium in Term Structure Models," Papers 2307.12628, arXiv.org.
    61. Marcello Pericoli, 2019. "An assessment of recent trends in market-based expected iflation in the euro area," Questioni di Economia e Finanza (Occasional Papers) 542, Bank of Italy, Economic Research and International Relations Area.
    62. Juan Andrés Espinosa Torres & Luis Fernando Melo Velandia & José Fernando Moreno Gutiérrez, 2014. "Estimación de la prima por vencimiento de los TES en pesos del gobierno colombiano," Borradores de Economia 12333, Banco de la Republica.
    63. Tobias Adrian & Erkko Etula & Hyun Song Shin, 2009. "Risk appetite and exchange Rates," Staff Reports 361, Federal Reserve Bank of New York.
    64. Markus Leippold & Felix Matthys, 2022. "Economic Policy Uncertainty and the Yield Curve [Pricing the term structure with linear regressions]," Review of Finance, European Finance Association, vol. 26(4), pages 751-797.
    65. Gregor Boehl & Gavin Goy & Felix Strobel, 2020. "A Structural Investigation of Quantitative Easing," Working Papers 691, DNB.
    66. Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2016. "The term structure of expectations and bond yields," Staff Reports 775, Federal Reserve Bank of New York.
    67. Michael Callaghan & Enzo Cassino & Tugrul Vehbi & Benjamin Wong, 2019. "Opening the toolbox: how does the Reserve Bank analyse the world?," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 82, pages 1-14, April.
    68. Michele Cavallo & Marco Del Negro & W. Scott Frame & Jamie Grasing & Benjamin A. Malin & Carlo Rosa, 2018. "Fiscal Implications of the Federal Reserve’s Balance Sheet Normalization," FEDS Notes 2017-01-09, Board of Governors of the Federal Reserve System (U.S.).
    69. Elías Albagli & Danilo Leiva-Leon & Diego Saravia, 2016. "U.S. Monetary Spillovers to Latin America: The Role of Long-term Interest Rates," Central Banking, Analysis, and Economic Policies Book Series, in: Elías Albagli & Diego Saravia & Michael Woodford (ed.),Monetary Policy through Asset Markets: Lessons from Unconventional Measures and Implications for an Integrated World, edition 1, volume 24, chapter 9, pages 285-307, Central Bank of Chile.
    70. Maciej Stefański, 2021. "Macroeconomic Effects of Quantitative Easing Using Mid-sized Bayesian Vector Autoregressions," KAE Working Papers 2021-068, Warsaw School of Economics, Collegium of Economic Analysis.
    71. Fricke, Christoph, 2012. "Expected and unexpected bond excess returns: Macroeconomic and market microstructure effects," Hannover Economic Papers (HEP) dp-493, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    72. Dongho Song, 2017. "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," The Review of Financial Studies, Society for Financial Studies, vol. 30(8), pages 2761-2817.
    73. Andrea Berardi & Michael Markovich & Alberto Plazzi & Andrea Tamoni, 2021. "Mind the (Convergence) Gap: Bond Predictability Strikes Back!," Management Science, INFORMS, vol. 67(12), pages 7888-7911, December.
    74. Brand, Claus & Goy, Gavin & Lemke, Wolfgang, 2021. "Natural rate chimera and bond pricing reality," Working Paper Series 2612, European Central Bank.
    75. Ruch,Franz Ulrich, 2020. "Prospects, Risks, and Vulnerabilities in Emerging and Developing Economies : Lessons from the Past Decade," Policy Research Working Paper Series 9181, The World Bank.
    76. Juan Andrés Espinosa-Torres & Luis Fernando Melo-Velandia & José Fernando Moreno-Gutiérrez, 2015. "Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del gobierno colombiano," Borradores de Economia 903, Banco de la Republica de Colombia.
    77. Juan Andrés Espinosa Torres & Luis Fernando Melo Velandia & José Fernando Moreno Gutiérrez, 2014. "Estimación de la prima por vencimiento de los TES en pesos del gobierno colombiano," Borradores de Economia 854, Banco de la Republica de Colombia.
    78. Charles T. Carlstrom & Timothy S. Fuerst & Matthias Paustian, 2017. "Targeting Long Rates in a Model with Segmented Markets," American Economic Journal: Macroeconomics, American Economic Association, vol. 9(1), pages 205-242, January.
    79. De Backer, Bruno & Dewachter, Hans & Iania, Leonardo, 2021. "Macrofinancial information on the post- COVID-19 economic recovery: will it be V, U or L-shaped?," LIDAM Discussion Papers LFIN 2021002, Université catholique de Louvain, Louvain Finance (LFIN).
    80. Bruna, Karel & Tran, Quang Van, 2020. "The central banks’ ability to control variability of money market interest rates: The case of inflation targeting countries," Journal of Economic Behavior & Organization, Elsevier, vol. 176(C), pages 384-402.
    81. José Renato Haas Ornelas & Roberto Baltieri Mauad, 2017. "Volatility Risk Premia and Future Commodity Returns," Working Papers Series 455, Central Bank of Brazil, Research Department.
    82. Elizondo Rocío, 2023. "The Three Intelligible Factors of the Yield Curve in Mexico," Working Papers 2023-13, Banco de México.
    83. Eser, Fabian & Lemke, Wolfgang & Nyholm, Ken & Vladu, Andreea, 2020. "Tracing the impact of the ECB's asset purchase programme on the yield curve," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224540, Verein für Socialpolitik / German Economic Association.
    84. Kolasa, Marcin & Wesołowski, Grzegorz, 2020. "International spillovers of quantitative easing," Journal of International Economics, Elsevier, vol. 126(C).
    85. Ellison, Martin & Tischbirek, Andreas, 2018. "Beauty Contests and the Term Structure," CEPR Discussion Papers 12762, C.E.P.R. Discussion Papers.
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  13. Cattaneo, Matias D. & Crump, Richard K. & Jansson, Michael, 2012. "Optimal inference for instrumental variables regression with non-Gaussian errors," Journal of Econometrics, Elsevier, vol. 167(1), pages 1-15.
    See citations under working paper version above.
  14. Richard Crump & Gopi Shah Goda & Kevin J. Mumford, 2011. "Fertility and the Personal Exemption: Comment," American Economic Review, American Economic Association, vol. 101(4), pages 1616-1628, June.
    See citations under working paper version above.
  15. Cattaneo, Matias D. & Crump, Richard K. & Jansson, Michael, 2010. "Robust Data-Driven Inference for Density-Weighted Average Derivatives," Journal of the American Statistical Association, American Statistical Association, vol. 105(491), pages 1070-1083.
    See citations under working paper version above.
  16. Richard K. Crump & V. Joseph Hotz & Guido W. Imbens & Oscar A. Mitnik, 2009. "Dealing with limited overlap in estimation of average treatment effects," Biometrika, Biometrika Trust, vol. 96(1), pages 187-199.
    See citations under working paper version above.
  17. Richard K. Crump & V. Joseph Hotz & Guido W. Imbens & Oscar A. Mitnik, 2008. "Nonparametric Tests for Treatment Effect Heterogeneity," The Review of Economics and Statistics, MIT Press, vol. 90(3), pages 389-405, August.
    See citations under working paper version above.
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