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Emanuel Moench

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

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:
  1. Moench, Emanuel, 2008. "Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach," Journal of Econometrics, Elsevier, vol. 146(1), pages 26-43, September.

    Mentioned in:

    1. > Econometrics > Time Series Models > Dynamic Factor Models > Structural Factor Models

Working papers

  1. Moench, Emanuel & Soofi Siavash, Soroosh, 2022. "What Moves Treasury Yields?," CEPR Discussion Papers 15978, C.E.P.R. Discussion Papers.

    Cited by:

    1. Linas Jurkšas & Rokas Kaminskas & Deimantė Vasiliauskaitė, 2024. "ECB monetary policy communication events: Do they move euro area yields?," Bulletin of Economic Research, Wiley Blackwell, vol. 76(2), pages 596-625, April.
    2. Marco Bernardini & Antonio M. Conti, 2023. "Announcement and implementation effects of central bank asset purchases," Temi di discussione (Economic working papers) 1435, Bank of Italy, Economic Research and International Relations Area.
    3. Sihvonen, Markus, 2021. "Yield curve momentum," Bank of Finland Research Discussion Papers 15/2021, Bank of Finland.

  2. Moench, Emanuel & Hoffmann, Mathias & Pavlova, Lora & Schultefrankenfeld, Guido, 2022. "Would Households Understand Average Inflation Targeting?," CEPR Discussion Papers 16786, C.E.P.R. Discussion Papers.

    Cited by:

    1. Yamin Ahmad & James Murray, 2023. "Implications for determinacy with average inflation targeting," Economics Bulletin, AccessEcon, vol. 43(1), pages 510-517.
    2. Szwacka-Mokrzycka Joanna & Marzena Lemanowicz, 2023. "The Influence of Inflation on the Economic Situation of Households in Poland," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 119-132.
    3. Lena Dräger & Michael J. Lamla, 2024. "Consumers' macroeconomic expectations," Journal of Economic Surveys, Wiley Blackwell, vol. 38(2), pages 427-451, April.
    4. Muhammed Bulutay, 2024. "Better than Perceived? Correcting Misperceptions about Central Bank Inflation Forecasts," Berlin School of Economics Discussion Papers 0034, Berlin School of Economics.
    5. Lena Dräger, 2023. "Central Bank Communication with the General Public," CESifo Working Paper Series 10713, CESifo.
    6. Coleman, Winnie & Nautz, Dieter, 2023. "Inflation target credibility in times of high inflation," Economics Letters, Elsevier, vol. 222(C).
    7. Moritz Grebe & Peter Tillmann, 2022. "Household Expectations and Dissent Among Policymakers," MAGKS Papers on Economics 202226, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    8. Grebe, Moritz & Tillmann, Peter, 2022. "Household expectations and dissent among policymakers," IMFS Working Paper Series 169, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    9. Hoffmann, Mathias & Mönch, Emanuel & Pavlova, Lora & Schultefrankenfeld, Guido, 2023. "Forceful or persistent: Wow the ECB's new inflation target affects households' inflation expectations," Discussion Papers 27/2023, Deutsche Bundesbank.
    10. Stéphane Dupraz & Hervé Le Bihan & Julien Matheron, 2022. "Make-up Strategies with Finite Planning Horizons but Forward-Looking Asset Prices," Working Papers 2218, Banco de España.
    11. Dobrew, Michael & Gerke, Rafael & Kienzler, Daniel & Schwemmer, Alexander, 2023. "Monetary policy rules under bounded rationality," Discussion Papers 18/2023, Deutsche Bundesbank.
    12. Ehrmann, Michael & Georgarakos, Dimitris & Kenny, Geoff, 2023. "Credibility gains from communicating with the public: evidence from the ECB’s new monetary policy strategy," Working Paper Series 2785, European Central Bank.
    13. Giang Nghiem & Lena Dräger & Ami Dalloul, 2024. "Anchoring Households’ Inflation Expectations When Inflation Is High," CESifo Working Paper Series 11042, CESifo.
    14. Ahmad, Yamin & Murray, James, 2022. "Implications for Determinacy with Average Inflation Targeting," MPRA Paper 113119, University Library of Munich, Germany.
    15. Niizeki, Takeshi, 2023. "Trust in the central bank and inflation expectations: Experimental evidence," Economics Letters, Elsevier, vol. 231(C).
    16. Dräger, Lena & Lamla, Michael J., 2023. "Consumers' Macroeconomic Expectations," Hannover Economic Papers (HEP) dp-714, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.

  3. Moench, Emanuel & Jank, Stephan & Schneider, Michael, 2022. "Safe asset shortage and collateral reuse," CEPR Discussion Papers 16439, C.E.P.R. Discussion Papers.

    Cited by:

    1. Baltzer, Markus & Schlepper, Kathi & Speck, Christian, 2022. "The Eurosystem's asset purchase programmes, securities lending and Bund specialness," Discussion Papers 39/2022, Deutsche Bundesbank.
    2. Johannes Brumm & Michael Grill & Felix Kubler & Karl Schmedders, 2017. "Re-Use of Collateral: Leverage, Volatility, and Welfare," Swiss Finance Institute Research Paper Series 17-04, Swiss Finance Institute.
    3. Justus Inhoffen & Iman van Lelyveld, 2023. "Safe Asset Scarcity and Re-use in the European Repo Market," Working Papers 787, DNB.
    4. Julliard, Christian & Pinter, Gabor & Todorov, Karamfil & Yuan, Kathy, 2022. "What drives repo haircuts? Evidence from the UK market," Bank of England working papers 985, Bank of England.
    5. Valseth, Siri, 2023. "Repo market frictions and intermediation in electronic bond markets," UiS Working Papers in Economics and Finance 2023/1, University of Stavanger.

  4. 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. Schmeling, Maik & Schrimpf, Andreas & Steffensen, Sigurd A.M., 2022. "Monetary policy expectation errors," Journal of Financial Economics, Elsevier, vol. 146(3), pages 841-858.
    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).

  5. Cecion, Martina & Coenen, Günter & Gerke, Rafael & Le Bihan, Hervé & Motto, Roberto & Aguilar, Pablo & Ajevskis, Viktors & Giesen, Sebastian & Albertazzi, Ugo & Gilbert, Niels & Al-Haschimi, Alexander, 2021. "The ECB’s price stability framework: past experience, and current and future challenges," Occasional Paper Series 269, European Central Bank.

    Cited by:

    1. Dobrew, Michael & Gerke, Rafael & Giesen, Sebastian & Röttger, Joost, 2023. "Make-up strategies with incomplete markets and bounded rationality," Discussion Papers 01/2023, Deutsche Bundesbank.
    2. Martina Cecioni & Adriana Grasso & Alessandro Notarpietro & Massimiliano Pisani, 2021. "Revisiting monetary policy objectives and strategies: international experience and challenges from the ELB," Questioni di Economia e Finanza (Occasional Papers) 660, Bank of Italy, Economic Research and International Relations Area.
    3. Ignazio Visco, 2023. "Inflation Expectations and Monetary Policy in the Euro Area," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 51(2), pages 111-129, September.
    4. Corbisiero, Giuseppe & Lawton, Neil, 2021. "The ECB’s Review of its Monetary Policy Strategy," Quarterly Bulletin Articles, Central Bank of Ireland, pages 70-103, October.
    5. Gerdesmeier, Dieter & Reimers, Hans-Eggert & Roffia, Barbara, 2023. "Investigating the inflation-output-nexus for the euro area: Old questions and new results," Wismar Discussion Papers 01/2023, Hochschule Wismar, Wismar Business School.
    6. Hans-Eggert Reimers & Dieter Gerdesmeier & Barbara Roffia, 2023. "Investigating the Inflation–Output Nexus for the Euro Area: Old Questions and New Results," Economies, MDPI, vol. 11(11), pages 1-15, October.
    7. BENIGNO, Pierpaolo & CANOFARI, Paola & DI BARTOLOMEO, Giovanni & MESSORI, Marcello, 2023. "The ECB’s new inflation target from a short- and long-term perspective," Working Papers 2023006, University of Antwerp, Faculty of Business and Economics.
    8. Gerke, Rafael & Kienzler, Daniel & Scheer, Alexander, 2022. "On the macroeconomic effects of reinvestments in asset purchase programmes," Discussion Papers 47/2022, Deutsche Bundesbank.
    9. Stéphane Dupraz & Hervé Le Bihan & Julien Matheron, 2022. "Make-up Strategies with Finite Planning Horizons but Forward-Looking Asset Prices," Working Papers 2218, Banco de España.
    10. 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.
    11. Gerke, Rafael & Kienzler, Daniel & Scheer, Alexander, 2021. "Unconventional monetary policies at the effective lower bound," Technical Papers 03/2021, Deutsche Bundesbank.
    12. Dobrew, Michael & Gerke, Rafael & Kienzler, Daniel & Schwemmer, Alexander, 2023. "Monetary policy rules under bounded rationality," Discussion Papers 18/2023, Deutsche Bundesbank.
    13. Debrun, Xavier & Masuch, Klaus & Ferrero, Guiseppe & Vansteenkiste, Isabel & Ferdinandusse, Marien & von Thadden, Leopold & Hauptmeier, Sebastian & Alloza, Mario & Derouen, Chloé & Bańkowski, Krzyszto, 2021. "Monetary-fiscal policy interactions in the euro area," Occasional Paper Series 273, European Central Bank.
    14. Dobrew, Michael & Gerke, Rafael & Giesen, Sebastian & Röttger, Joost, 2021. "A comparison of monetary policy rules in a HANK model," Technical Papers 02/2021, Deutsche Bundesbank.
    15. Edouard Djeutem & Mario He & Abeer Reza & Yang Zhang, 2022. "Household Heterogeneity and the Performance of Monetary Policy Frameworks," Staff Working Papers 22-12, Bank of Canada.
    16. Lucian Briciu & Stefan Hohberger & Luca Onorante & Beatrice Pataracchia & Marco Ratto & Lukas Vogel, 2023. "The ECB Strategy Review - Implications for the Space of Monetary Policy," European Economy - Discussion Papers 193, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    17. Eleni Argiri & Ifigeneia Skotida, 2021. "The 2021 review of the monetary policy strategy of the Eurosystem: an economy of forces," Economic Bulletin, Bank of Greece, issue 54, pages 23-57, December.
    18. Gerke, Rafael & Giesen, Sebastian & Kienzler, Daniel & Röttger, Joost & Scheer, Alexander, 2021. "A comparison of monetary policy rules in an estimated TANK model," Technical Papers 05/2021, Deutsche Bundesbank.

  6. Drudi, Francesco & Moench, Emanuel & Holthausen, Cornelia & Weber, Pierre-François & Ferrucci, Gianluigi & Setzer, Ralph & Adao, Bernardino & Dées, Stéphane & Alogoskoufis, Spyros & Téllez, Mar Delgad, 2021. "Climate change and monetary policy in the euro area," Occasional Paper Series 271, European Central Bank.

    Cited by:

    1. Aghion, Philippe & Boneva, Lena & Breckenfelder, Johannes & Laeven, Luc & Olovsson, Conny & Popov, Alexander & Rancoita, Elena, 2022. "Financial Markets and Green Innovation," Working Paper Series 2686, European Central Bank.
    2. Ferrari Minesso, Massimo & Pagliari, Maria Sole, 2023. "No country is an island. International cooperation and climate change," Journal of International Economics, Elsevier, vol. 145(C).
    3. Senni, Chiara Colesanti & Pagliari, Maria Sole & van 't Klooster, Jens, 2023. "The CO2 content of the TLTRO III scheme and its greening," LSE Research Online Documents on Economics 120562, London School of Economics and Political Science, LSE Library.
    4. Kotz, Maximilian & Kuik, Friderike & Lis, Eliza & Nickel, Christiane, 2023. "The impact of global warming on inflation: averages, seasonality and extremes," Working Paper Series 2821, European Central Bank.
    5. Waffenschmidt, Brigitte, 2021. "Nachhaltigkeit: Modewort oder Erwartung der Generation Y an ihre Arbeitgeber," EconStor Research Reports 246810, ZBW - Leibniz Information Centre for Economics.
    6. Ciccarelli, Matteo & Kuik, Friderike & Martínez Hernández, Catalina, 2023. "The asymmetric effects of weather shocks on euro area inflation," Working Paper Series 2798, European Central Bank.
    7. Langot, François & Malmberg, Selma & Tripier, Fabien & Hairault, Jean-Olivier, 2023. "The Macroeconomic and Redistributive Effects of Shielding Consumers from Rising Energy Prices: the French Experiment," CEPREMAP Working Papers (Docweb) 2305, CEPREMAP.
    8. Goryunov Eugeny, 2021. "Долгосрочные Вызовы Для Российской Монетарной Политики: Климатические Изменения, Демография И Введение Цифрового Рубля," Russian Economic Development (in Russian), Gaidar Institute for Economic Policy, issue 11, pages 9-13, November.
    9. Chaitat Jirophat & Pym Manopimoke & Suparit Suwanik, 2022. "The Macroeconomic Effects of Climate Shocks in Thailand," PIER Discussion Papers 188, Puey Ungphakorn Institute for Economic Research.
    10. Breckenfelder, Johannes & Maćkowiak, Bartosz & Marqués-Ibáñez, David & Olovsson, Conny & Popov, Alexander & Porcellacchia, Davide & Schepens, Glenn, 2023. "The climate and the economy," Working Paper Series 2793, European Central Bank.
    11. Paola D'Orazio & Jessica Reale & Anh Duy Pham, 2023. "Climate-induced liquidity crises: interbank exposures and macroprudential implications," Chemnitz Economic Papers 059, Department of Economics, Chemnitz University of Technology.
    12. Eleni Argiri & Ifigeneia Skotida, 2021. "The 2021 review of the monetary policy strategy of the Eurosystem: an economy of forces," Economic Bulletin, Bank of Greece, issue 54, pages 23-57, December.
    13. Lukas Folkens & Petra Schneider, 2022. "Responsible Carbon Resource Management through Input-Oriented Cap and Trade (IOCT)," Sustainability, MDPI, vol. 14(9), pages 1-17, May.
    14. Alogoskoufis, Spyros & Dunz, Nepomuk & Emambakhsh, Tina & Hennig, Tristan & Kaijser, Michiel & Kouratzoglou, Charalampos & Muñoz, Manuel A. & Parisi, Laura & Salleo, Carmelo, 2021. "ECB’s economy-wide climate stress test," Occasional Paper Series 281, European Central Bank.
    15. Goryunov Eugeny, 2021. "Long-term Challenges for the Monetary Policy in Russia: Climate Change, Demographics and Digital Rouble Adoption [Долгосрочные Вызовы Для Российской Монетарной Политики: Климатические Изменения, Де," Russian Economic Development, Gaidar Institute for Economic Policy, issue 11, pages 9-13, November.

  7. , & Stein, Tobias, 2021. "Equity premium predictability over the business cycle," CEPR Discussion Papers 16357, C.E.P.R. Discussion Papers.

    Cited by:

    1. Florens Odendahl & Barbara Rossi & Tatevik Sekhposyan, 2021. "Evaluating Forecast Performance with State Dependence," Working Papers 1295, Barcelona School of Economics.
    2. Boucher, C. & Jasinski, A. & Tokpavi, S., 2023. "Conditional mean reversion of financial ratios and the predictability of returns," Journal of International Money and Finance, Elsevier, vol. 137(C).
    3. Chatelais, Nicolas & Stalla-Bourdillon, Arthur & Chinn, Menzie D., 2023. "Forecasting real activity using cross-sectoral stock market information," Journal of International Money and Finance, Elsevier, vol. 131(C).
    4. Nicolas Chatelais & Arthur Stalla-Bourdillon & Menzie D. Chinn, 2022. "Macroeconomic Forecasting using Filtered Signals from a Stock Market Cross Section," NBER Working Papers 30305, National Bureau of Economic Research, Inc.
    5. Díaz, Juan D. & Hansen, Erwin & Cabrera, Gabriel, 2023. "Gold risk premium estimation with machine learning methods," Journal of Commodity Markets, Elsevier, vol. 31(C).

  8. Assenmacher, Katrin & Glöckler, Gabriel & Holton, Sarah & Trautmann, Peter & Ioannou, Demosthenes & Mee, Simon & Alonso, Conception & Argiri, Eleni & Arigoni, Filippo & Bakk-Simon, Klára & Bergbauer, , 2021. "Clear, consistent and engaging: ECB monetary policy communication in a changing world," Occasional Paper Series 274, European Central Bank.

    Cited by:

    1. Beck, Günter W. & Carstensen, Kai & Menz, Jan-Oliver & Schnorrenberger, Richard & Wieland, Elisabeth, 2024. "Nowcasting consumer price inflation using high-frequency scanner data: evidence from Germany," Working Paper Series 2930, European Central Bank.
    2. Ehrmann, Michael & Holton, Sarah & Kedan, Danielle & Phelan, Gillian, 2022. "Monetary policy communication – past ECB policymakers commend Bank’s progress and call for more," Research Bulletin, European Central Bank, vol. 93.
    3. Herzog, Bodo, 2023. "How credible is average and symmetric inflation targeting in an episode of high inflation?," Economic Analysis and Policy, Elsevier, vol. 80(C), pages 1750-1761.
    4. Angino, Siria & Robitu, Robert, 2023. "One question at a time! A text mining analysis of the ECB Q&A session," Working Paper Series 2852, European Central Bank.

  9. 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. 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.
    2. 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.
    3. 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.
    4. Christiane Baumeister, 2021. "Measuring Market Expectations," Working Papers 202163, University of Pretoria, Department of Economics.
    5. Ricardo Reis, 2020. "The People versus the Markets: A Parsimonious Model of Inflation Expectations," Discussion Papers 2033, Centre for Macroeconomics (CFM).

  10. Barbu, Alexandru & Fricke, Christoph & ,, 2020. "Procyclical Asset Management and Bond Risk Premia," CEPR Discussion Papers 15123, C.E.P.R. Discussion Papers.

    Cited by:

    1. Fricke, Daniel, 2021. "Synthetic Leverage and Fund Risk-Taking," ESRB Working Paper Series 126, European Systemic Risk Board.
    2. Leonardo Quero Virla, 2023. "An empirical characterization of volatility in the German stock market," SN Business & Economics, Springer, vol. 3(7), pages 1-19, July.
    3. Ryan, Ellen, 2022. "Are fund managers rewarded for taking cyclical risks?," Working Paper Series 2652, European Central Bank.
    4. Ryan, Ellen, 2022. "Are fund managers rewarded for taking cyclical risks?," ESRB Working Paper Series 134, European Systemic Risk Board.
    5. Virla, Leonardo Quero, 2021. "An empirical characterization of volatility dynamics in the DAX," IPE Working Papers 167/2021, Berlin School of Economics and Law, Institute for International Political Economy (IPE).

  11. Carvalho, Carlos & Eusepi, Stefano & , & Preston, Bruce, 2019. "Anchored Inflation Expectations," CEPR Discussion Papers 13900, C.E.P.R. Discussion Papers.
    • Carlos Carvalho & Stefano Eusepi & Emanuel Moench & Bruce Preston, 2020. "Anchored inflation expectations," CAMA Working Papers 2020-25, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

    Cited by:

    1. Tatsushi Okuda & Tomohiro Tsuruga, 2021. "Inflation Expectations and Central Bank Communication with Unknown Prior," IMES Discussion Paper Series 21-E-07, Institute for Monetary and Economic Studies, Bank of Japan.
    2. 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.
    3. Han, Zhao, 2021. "Low-frequency fiscal uncertainty," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 639-657.
    4. Oleksiy Kryvtsov & Luba Petersen, 2019. "Central Bank Communication That Works: Lessons from Lab Experiments," Staff Working Papers 19-21, Bank of Canada.
    5. Bems, Rudolfs & Caselli, Francesca & Grigoli, Francesco & Gruss, Bertrand, 2021. "Expectations' anchoring and inflation persistence," Journal of International Economics, Elsevier, vol. 132(C).
    6. 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.
    7. Corsello, Francesco & Neri, Stefano & Tagliabracci, Alex, 2021. "Anchored or de-anchored? That is the question," European Journal of Political Economy, Elsevier, vol. 69(C).
    8. Andrade, Philippe & Gautier, Erwan & Mengus, Eric, 2023. "What matters in households’ inflation expectations?," Journal of Monetary Economics, Elsevier, vol. 138(C), pages 50-68.
    9. Sarantis Tsiaplias, 2021. "Consumer inflation expectations, income changes and economic downturns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(6), pages 784-807, September.
    10. Coleman, Winnie & Nautz, Dieter, 2020. "The credibility of the ECB's inflation target in times of Corona: New evidence from an online survey," Discussion Papers 2020/11, Free University Berlin, School of Business & Economics.
    11. 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.
    12. Hoffmann, Mathias & Moench, Emanuel & Pavlova, Lora & Schultefrankenfeld, Guido, 2022. "Would households understand average inflation targeting?," Journal of Monetary Economics, Elsevier, vol. 129(S), pages 52-66.
    13. Lucio Gobbi & Ronny Mazzocchi & Roberto Tamborini, 2024. "When Should Central Banks Fear Inflation Expectations?," CESifo Working Paper Series 10966, CESifo.
    14. Gáti, Laura, 2022. "Monetary policy & anchored expectations: an endogenous gain learning model," Working Paper Series 2685, European Central Bank.
    15. Javier García-Cicco, 2021. "Alternative Monetary-Policy Instruments and Limited Credibility: An Exploration," BCRA Working Paper Series 202191, Central Bank of Argentina, Economic Research Department.
    16. Aguiar-Conraria, Luís & Martins, Manuel M.F. & Soares, Maria Joana, 2023. "The Phillips curve at 65: Time for time and frequency," Journal of Economic Dynamics and Control, Elsevier, vol. 151(C).
    17. Ethan Ilzetzki, 2024. "Fiscal Events and Anchored Inflation Expectations," Discussion Papers 2410, Centre for Macroeconomics (CFM).
    18. Coenen, Günter & Montes-Galdón, Carlos & Saint Guilhem, Arthur & Hutchinson, John & Motto, Roberto, 2022. "Rate forward guidance in an environment of large central bank balance sheets: a Eurosystem stock-taking assessment," Occasional Paper Series 290, European Central Bank.
    19. Stephane Dupraz & Magali Marx, 2023. "Anchoring Boundedly Rational Expectations," Working papers 936, Banque de France.
    20. Diegel, Max & Nautz, Dieter, 2021. "Long-term inflation expectations and the transmission of monetary policy shocks: Evidence from a SVAR analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 130(C).
    21. Koester, Gerrit & Lis, Eliza & Nickel, Christiane & Osbat, Chiara & Smets, Frank, 2021. "Understanding low inflation in the euro area from 2013 to 2019: cyclical and structural drivers," Occasional Paper Series 280, European Central Bank.
    22. Justin Svec & Daniel L. Tortorice, 2022. "Asserting Independence: Optimal Monetary Policy When the Central Bank and Political Authority Disagree," Working Papers 2201, College of the Holy Cross, Department of Economics.
    23. Alexandre Carrier & Kostas Mavromatis, 2024. "Optimal normalization policy under behavioral expectations," Working Papers 800, DNB.
    24. Eusepi, Stefano & Gibbs, Chris & Preston, Bruce, 2021. "Forward guidance with unanchored expectations," Bank of Finland Research Discussion Papers 11/2021, Bank of Finland.

  12. David O. Lucca & Emanuel Moench, 2018. "The Pre-FOMC Announcement Drift: More Recent Evidence," Liberty Street Economics 20181116a, Federal Reserve Bank of New York.

    Cited by:

    1. Grace Xing Hu & Jun Pan & Jiang Wang & Haoxiang Zhu, 2019. "Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns," NBER Working Papers 25817, National Bureau of Economic Research, Inc.

  13. Adrian, Tobias & , & Shin, Hyun Song, 2016. "Dynamic Leverage Asset Pricing," CEPR Discussion Papers 11466, C.E.P.R. Discussion Papers.

    Cited by:

    1. Dr. Angela Abbate & Sandra Eickmeier & Esteban Prieto, 2020. "Financial shocks and inflation dynamics," Working Papers 2020-13, Swiss National Bank.
    2. Baltzer, Markus & Koehl, Alexandra & Reitz, Stefan, 2019. "Procyclical leverage in Europe and its role in asset pricing," Discussion Papers 10/2019, Deutsche Bundesbank.
    3. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
    4. Aramonte, Sirio & Szerszeń, Paweł J., 2020. "Cross-market liquidity and dealer profitability: Evidence from the bond and CDS markets," Journal of Financial Markets, Elsevier, vol. 51(C).
    5. Moritz Schularick & Bjorn Richter & Alan Taylor & Oscar Jorda, 2017. "Bank Capital Redux: Solvency, Liquidity, and Crisis," 2017 Meeting Papers 843, Society for Economic Dynamics.
    6. Leyla Jianyu Han & Kenneth Kasa, 2019. "Ambiguity and Information Processing in a Model of Intermediary Asset Pricing," Discussion Papers dp19-04, Department of Economics, Simon Fraser University.
    7. Reitz, Stefan & Umlandt, Dennis, 2019. "Foreign exchange dealer asset pricing," Discussion Papers 39/2019, Deutsche Bundesbank.
    8. Libo Yin, 2022. "The role of intermediary capital risk in predicting oil volatility," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 401-416, January.
    9. Istiak, Khandokar, 2019. "The nature of shadow bank leverage shocks on the macroeconomy," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    10. Mihai, Marius M., 2022. "The commercial bank leverage factor in U.S. asset prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 156-171.
    11. Zhiguo He & Bryan Kelly & Asaf Manela, 2016. "Intermediary Asset Pricing: New Evidence from Many Asset Classes," NBER Working Papers 21920, National Bureau of Economic Research, Inc.
    12. Cincinelli, Peter & Pellini, Elisabetta & Urga, Giovanni, 2021. "Leverage and systemic risk pro-cyclicality in the Chinese financial system," International Review of Financial Analysis, Elsevier, vol. 78(C).
    13. Gambacorta, Leonardo & Shin, Hyun Song, 2018. "Why bank capital matters for monetary policy," Journal of Financial Intermediation, Elsevier, vol. 35(PB), pages 17-29.
    14. Xisong Jin & Francisco Nadal De Simone, 2015. "Investment funds? vulnerabilities: A tail-risk dynamic CIMDO approach," BCL working papers 95, Central Bank of Luxembourg.
    15. Feng He & Libo Yin, 2021. "Shocks to the equity capital ratio of financial intermediaries and the predictability of stock return volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(6), pages 945-962, September.
    16. Nadal De Simone, Francisco, 2021. "Measuring the deadly embrace: Systemic and sovereign risks," Research in International Business and Finance, Elsevier, vol. 56(C).

  14. 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. 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.
    2. 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.
    3. 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.
    4. Marco Del Negro & Domenico Giannone & Marc P. Giannoni & Andrea Tambalotti, 2017. "Safety, Liquidity, and the Natural Rate of Interest," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 48(1 (Spring), pages 235-316.
    5. Michael D. Bauer & Glenn D. Rudebusch, 2017. "Interest Rates Under Falling Stars," CESifo Working Paper Series 6571, CESifo.
    6. Schupp, Fabian, 2020. "The (ir)relevance of the nominal lower bound for real yield curve analysis," Discussion Papers 32/2020, Deutsche Bundesbank.
    7. Ethan Struby, 2018. "Macroeconomic Disagreement in Treasury Yields," Working Papers 2018-04, Carleton College, Department of Economics.
    8. 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.
    9. Kliem, Martin & Meyer-Gohde, Alexander, 2017. "(Un)expected monetary policy shocks and term premia," Discussion Papers 30/2017, Deutsche Bundesbank.
    10. Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2018. "Global trends in interest rates," Staff Reports 866, Federal Reserve Bank of New York.
    11. NAKAJIMA, Jouchi, 2023. "Estimating trend inflation in a regime-switching Phillips curve," Discussion Paper Series 750, Institute of Economic Research, Hitotsubashi University.
    12. 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.
    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. 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.
    15. 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. 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.

  15. 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. Baltzer, Markus & Koehl, Alexandra & Reitz, Stefan, 2019. "Procyclical leverage in Europe and its role in asset pricing," Discussion Papers 10/2019, Deutsche Bundesbank.
    2. Gabor Pinter, 2018. "Macroeconomic Shocks and Risk Premia," Discussion Papers 1812, Centre for Macroeconomics (CFM).
    3. 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).
    4. 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).
    5. Sakemoto, Ryuta, 2019. "Currency carry trades and the conditional factor model," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 198-208.
    6. Cai, Zongwu & Juhl, Ted, 2023. "The distribution of rolling regression estimators," Journal of Econometrics, Elsevier, vol. 235(2), pages 1447-1463.
    7. 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.
    8. Valentin Haddad & Serhiy Kozak & Shrihari Santosh, 2017. "Predicting Relative Returns," NBER Working Papers 23886, National Bureau of Economic Research, Inc.
    9. 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.
    10. 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.
    11. 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.
    12. J. Benson Durham, 2013. "Arbitrage-free models of stocks and bonds," Staff Reports 656, Federal Reserve Bank of New York.
    13. 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.
    14. Adrian, Tobias & Vogt, Erik & Stackman, Daniel, 2019. "Global Price of Risk and Stabilization Policies," CEPR Discussion Papers 13435, C.E.P.R. Discussion Papers.
    15. Liao Zhu & Robert A. Jarrow & Martin T. Wells, 2021. "Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 11(04), pages 1-30, December.
    16. 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.
    17. Josh Davis & Cristian Fuenzalida & Alan M. Taylor, 2019. "The Natural Rate Puzzle: Global Macro Trends and the Market-Implied r," NBER Working Papers 26560, National Bureau of Economic Research, Inc.
    18. 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.
    19. Matias D. Cattaneo & Richard K. Crump & Weining Wang, 2023. "Beta-Sorted Portfolios," Staff Reports 1068, Federal Reserve Bank of New York.
    20. Adrian, Tobias & , & Shin, Hyun Song, 2016. "Dynamic Leverage Asset Pricing," CEPR Discussion Papers 11466, C.E.P.R. Discussion Papers.
    21. 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.
    22. Bruce E. Hansen, 2018. "Johansen’s Reduced Rank Estimator Is GMM," Econometrics, MDPI, vol. 6(2), pages 1-9, May.
    23. Peter Van Tassel, 2017. "Global Variance Term Premia and Intermediary Risk Appetite," 2017 Meeting Papers 149, Society for Economic Dynamics.
    24. Nikolay Gospodinov, 2017. "Asset Co-movements: Features and Challenges," FRB Atlanta Working Paper 2017-11, Federal Reserve Bank of Atlanta.
    25. 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).
    26. Joseph, Byrne & Sakemoto, Ryuta, 2020. "The Conditional Risk and Return Trade-Off on Currency Portfolios," MPRA Paper 99497, University Library of Munich, Germany.
    27. Stefan Behrendt, 2017. "Low Long-Term Interest Rates - An alternative View," Jena Economics Research Papers 2017-001, Friedrich-Schiller-University Jena.
    28. Claudio Borio & Piti Disyatat & Phurichai Rungcharoenkitkul, 2019. "What anchors for the natural rate of interest?," BIS Working Papers 777, Bank for International Settlements.
    29. Smith, Simon C. & Timmermann, Allan, 2022. "Have risk premia vanished?," Journal of Financial Economics, Elsevier, vol. 145(2), pages 553-576.
    30. Ludovit Odor & Pavol Povala, 2016. "Risk Premiums in Slovak Government Bonds," Discussion Papers Discussion Paper No. 3/20, Council for Budget Responsibility.
    31. 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.
    32. Uddin, Ajim & Tao, Xinyuan & Yu, Dantong, 2023. "Attention based dynamic graph neural network for asset pricing," Global Finance Journal, Elsevier, vol. 58(C).
    33. Liao Zhu, 2021. "The Adaptive Multi-Factor Model and the Financial Market," Papers 2107.14410, arXiv.org, revised Aug 2021.

  16. 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. Pedersen, Michael, 2019. "Anomalies in macroeconomic prediction errors–evidence from Chilean private forecasters," International Journal of Forecasting, Elsevier, vol. 35(3), pages 1100-1107.
    2. Buss, Adrian & Dumas, Bernard & Uppal, Raman & Vilkov, Grigory, 2016. "The intended and unintended consequences of financial-market regulations: A general equilibrium analysis," SAFE Working Paper Series 124, Leibniz Institute for Financial Research SAFE.
    3. 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.
    4. 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.
    5. Hoffmann, Mathias & Hürtgen, Patrick, 2016. "Inflation expectations, disagreement, and monetary policy," Economics Letters, Elsevier, vol. 146(C), pages 59-63.
    6. 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.
    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.

  17. Weiling Liu & Emanuel Moench, 2014. "What predicts U.S. recessions?," Staff Reports 691, Federal Reserve Bank of New York.

    Cited by:

    1. Luca Brugnolini, 2018. "Forecasting Deflation Probability in the EA: A Combinatoric Approach," CBM Working Papers WP/01/2018, Central Bank of Malta.
    2. Hashmat Khan & Santosh Upadhayaya, 2017. "Does Business Confidence Matter for Investment?," Carleton Economic Papers 17-13, Carleton University, Department of Economics, revised 20 Mar 2019.
    3. Pierdzioch Christian & Gupta Rangan, 2020. "Uncertainty and Forecasts of U.S. Recessions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(4), pages 1-20, September.
    4. Goodhead, Robert & Parle, Conor, 2019. "Predicting Recessions in the Euro Area: A Factor Approach," Economic Letters 2/EL/19, Central Bank of Ireland.
    5. Christiansen, Charlotte & Eriksen, Jonas N. & Møller, Stig V., 2019. "Negative house price co-movements and US recessions," Regional Science and Urban Economics, Elsevier, vol. 77(C), pages 382-394.
    6. Huang, Yu-Fan & Startz, Richard, 2020. "Improved recession dating using stock market volatility," International Journal of Forecasting, Elsevier, vol. 36(2), pages 507-514.
    7. Claudio Borio & Mathias Drehmann & Dora Xia, 2018. "The financial cycle and recession risk," BIS Quarterly Review, Bank for International Settlements, December.
    8. Sergey V. Smirnov & Nikolai V. Kondrashov & Anna V. Petronevich, 2016. "Dating Cyclical Turning Points for Russia: Formal Methods and Informal Choices," HSE Working papers WP BRP 122/EC/2016, National Research University Higher School of Economics.
    9. Kajal Lahiri & Cheng Yang, 2022. "ROC approach to forecasting recessions using daily yield spreads," Business Economics, Palgrave Macmillan;National Association for Business Economics, vol. 57(4), pages 191-203, October.
    10. Galvao, Ana Beatriz & Owyang, Michael, 2020. "Forecasting Low Frequency Macroeconomic Events with High Frequency Data," EMF Research Papers 38, Economic Modelling and Forecasting Group.
    11. Michael Puglia & Adam Tucker, 2020. "Machine Learning, the Treasury Yield Curve and Recession Forecasting," Finance and Economics Discussion Series 2020-038, Board of Governors of the Federal Reserve System (U.S.).
    12. Min Jeong Kim & Dohyoung Kwon, 2023. "Dynamic asset allocation strategy: an economic regime approach," Journal of Asset Management, Palgrave Macmillan, vol. 24(2), pages 136-147, March.
    13. Dongfeng Chang & Ryan S. Mattson & Biyan Tang, 2019. "The Predictive Power of the User Cost Spread for Economic Recession in China and the US," IJFS, MDPI, vol. 7(2), pages 1-12, June.
    14. Knut Are Aastveit & André K. Anundsen & Eyo I. Herstad, 2017. "Residential investment and recession predictability," Working Paper 2017/24, Norges Bank.
    15. Marius M. Mihai, 2020. "Do credit booms predict US recessions?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(6), pages 887-910, September.
    16. van Os, Bram & van Dijk, Dick, 2024. "Accelerating peak dating in a dynamic factor Markov-switching model," International Journal of Forecasting, Elsevier, vol. 40(1), pages 313-323.
    17. Davig, Troy & Hall, Aaron Smalter, 2019. "Recession forecasting using Bayesian classification," International Journal of Forecasting, Elsevier, vol. 35(3), pages 848-867.
    18. Massimo Ferrari Minesso & Laura Lebastard & Helena Mezo, 2023. "Text-Based Recession Probabilities," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 71(2), pages 415-438, June.
    19. Martins, Manuel M.F. & Verona, Fabio, 2021. "Bond vs. bank finance and the Great Recession," Finance Research Letters, Elsevier, vol. 39(C).
    20. Karsten Müller, 2022. "German forecasters’ narratives: How informative are German business cycle forecast reports?," Empirical Economics, Springer, vol. 62(5), pages 2373-2415, May.
    21. Christian Pierdzioch & Monique B. Reid & Rangan Gupta, 2014. "On the Directional Accuracy of Inflation Forecasts: Evidence from South African Survey Data," Working Papers 201463, University of Pretoria, Department of Economics.
    22. Heinrich, Markus, 2020. "Does the Current State of the Business Cycle matter for Real-Time Forecasting? A Mixed-Frequency Threshold VAR approach," EconStor Preprints 219312, ZBW - Leibniz Information Centre for Economics.
    23. Tim Meyer, 2019. "On the Directional Accuracy of United States Housing Starts Forecasts: Evidence from Survey Data," The Journal of Real Estate Finance and Economics, Springer, vol. 58(3), pages 457-488, April.
    24. Harold M. Hastings & Tai Young-Taft & Thomas Wang, 2019. "When to Ease Off the Brakes--and Hopefully Prevent Recessions," Economics Working Paper Archive wp_929, Levy Economics Institute.
    25. Heiberger, Raphael H., 2018. "Predicting economic growth with stock networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 489(C), pages 102-111.
    26. Vasilios Plakandaras & Juncal Cunado & Rangan Gupta & Mark E. Wohar, 2016. "Do Leading Indicators Forecast U.S. Recessions? A Nonlinear Re-Evaluation Using Historical Data," Working Papers 201685, University of Pretoria, Department of Economics.
    27. Bluwstein, Kristina & Buckmann, Marcus & Joseph, Andreas & Kapadia, Sujit & Şimşek, Özgür, 2023. "Credit growth, the yield curve and financial crisis prediction: Evidence from a machine learning approach," Journal of International Economics, Elsevier, vol. 145(C).
    28. Cem Çakmakli & Hamza Dem I˙rcani & Sumru Altug, 2021. "Modelling of Economic and Financial Conditions for Real‐Time Prediction of Recessions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(3), pages 663-685, June.
    29. Lauri Nevasalmi, 2022. "Recession forecasting with high‐dimensional data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 752-764, July.
    30. Nguena, Christian-Lambert & Kodila-Tedika, Oasis, 2020. "On Recessive and Expansionary Impact of Financial Development: Empirical Evidence," GLO Discussion Paper Series 555, Global Labor Organization (GLO).
    31. Hwang, Youngjin, 2019. "Forecasting recessions with time-varying models," Journal of Macroeconomics, Elsevier, vol. 62(C).
    32. Claudio Morana, 2021. "A new macro-financial condition index for the euro area," Working Paper series 21-07, Rimini Centre for Economic Analysis, revised Sep 2021.
    33. Kazutaka Kurasawa, 2017. "Forecasting US recession with the economic policy uncertainty indexes of policy categories," Economics and Business Letters, Oviedo University Press, vol. 6(4), pages 100-109.
    34. Mirko Abbritti & Juan Equiza & Antonio Moreno & Tommaso Trani, 2024. "Downturns and changes in the yield slope," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(3), pages 673-701, April.
    35. Vrontos, Spyridon D. & Galakis, John & Vrontos, Ioannis D., 2021. "Modeling and predicting U.S. recessions using machine learning techniques," International Journal of Forecasting, Elsevier, vol. 37(2), pages 647-671.
    36. Mönch, Emanuel & Stein, Tobias, 2021. "Equity premium predictability over the business cycle," Discussion Papers 25/2021, Deutsche Bundesbank.
    37. Maas, Benedikt, 2019. "Nowcasting and forecasting US recessions: Evidence from the Super Learner," MPRA Paper 96408, University Library of Munich, Germany.
    38. Jörg Döpke & Ulrich Fritsche & Christian Pierdzioch, 2015. "Predicting Recessions With Boosted Regression Trees," Working Papers 2015-004, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    39. Seulki Chung, 2023. "Real-time Prediction of the Great Recession and the Covid-19 Recession," Papers 2310.08536, arXiv.org, revised May 2024.
    40. Stein, Tobias, 2024. "Forecasting the equity premium with frequency-decomposed technical indicators," International Journal of Forecasting, Elsevier, vol. 40(1), pages 6-28.
    41. Homburg, Stefan, 2017. "A Study in Monetary Macroeconomics," OUP Catalogue, Oxford University Press, number 9780198807537.
    42. Jörg Döpke & Ulrich Fritsche & Karsten Müller, 2018. "Has Macroeconomic Forecasting changed after the Great Recession? - Panel-based Evidence on Accuracy and Forecaster Behaviour from Germany," Macroeconomics and Finance Series 201803, University of Hamburg, Department of Socioeconomics.
    43. Zihao Wang & Kun Li & Steve Q. Xia & Hongfu Liu, 2021. "Economic Recession Prediction Using Deep Neural Network," Papers 2107.10980, arXiv.org.
    44. Christian-Lambert Nguena & Oasis Kodila-Tedika, 2023. "Zu rezessiven und expansiven Auswirkungen der Finanzentwicklung: empirische Beweise [On recessive and expansionary impact of financial development: empirical evidence]," Post-Print hal-04228903, HAL.
    45. Han, Yang & Jiao, Anqi & Ma, Jun, 2021. "The predictive power of Nelson–Siegel factor loadings for the real economy," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 95-127.
    46. Christian-Lambert Nguena, Oasis Kodila-Tedika, 2023. "On recessive and expansionary impact of financial development: empirical evidence," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 20(1), pages 97-130, June.
    47. Martin Iseringhausen & Ms. Mwanza Nkusu & Wellian Wiranto, 2019. "Repeated Use of IMF-Supported Programs: Determinants and Forecasting," IMF Working Papers 2019/245, International Monetary Fund.
    48. Bram van Os & Dick van Dijk, 2020. "Accelerating Peak Dating in a Dynamic Factor Markov-Switching Model," Tinbergen Institute Discussion Papers 20-057/VI, Tinbergen Institute, revised 14 Dec 2020.
    49. Diptes C. P. Bhimjee, 2022. "Adaptive Early Warning Systems: An Axiomatic Approach," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 11(2), pages 145-164.
    50. Qin Zhang & He Ni & Hao Xu, 2023. "Forecasting models for the Chinese macroeconomy in a data‐rich environment: Evidence from large dimensional approximate factor models with mixed‐frequency data," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(1), pages 719-767, March.
    51. Luca Brugnolini & Giuseppe Ragusa, 2022. "Euro Area Deflationary Pressure Index," Computational Economics, Springer;Society for Computational Economics, vol. 60(3), pages 883-900, October.
    52. Gonzalo, Jesús & Pitarakis, Jean-Yves, 2020. "Out of sample predictability in predictive regressions with many predictor candidates," UC3M Working papers. Economics 31554, Universidad Carlos III de Madrid. Departamento de Economía.
    53. Hansen, Anne Lundgaard, 2024. "Predicting recessions using VIX–yield curve cycles," International Journal of Forecasting, Elsevier, vol. 40(1), pages 409-422.
    54. Jaehyuk Choi & Desheng Ge & Kyu Ho Kang & Sungbin Sohn, 2023. "Yield spread selection in predicting recession probabilities," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1772-1785, November.
    55. Borio, Claudio & Drehmann, Mathias & Xia, Fan Dora, 2020. "Forecasting recessions: the importance of the financial cycle," Journal of Macroeconomics, Elsevier, vol. 66(C).
    56. Claudio Borio & Mathias Drehmann & Dora Xia Author-X-Name_First: Dora, 2019. "Predicting recessions: financial cycle versus term spread," BIS Working Papers 818, Bank for International Settlements.
    57. Mikhail E. MAMONOV, Anna A. PESTOVA, Vera PANKOVA, Renat Akhmetov, 2020. "Digital Transformation of Capital Market Infrastructure [Цифровая Трансформация Инфраструктуры Рынка Капитала]," Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 5, pages 130-159, November.

  18. 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. 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.
    3. Michael D. Bauer & Carolin Pflueger & Adi Sunderam, 2023. "Perceptions about Monetary Policy," Working Paper Series 2023-31, Federal Reserve Bank of San Francisco.
    4. Glas, Alexander & Heinisch, Katja, 2021. "Conditional macroeconomic forecasts: Disagreement, revisions and forecast errors," IWH Discussion Papers 7/2021, Halle Institute for Economic Research (IWH).
    5. Cordeiro, Yara de Almeida Campos & Gaglianone, Wagner Piazza & Issler, João Victor, 2016. "Inattention in individual expectations," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 776, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    6. Glas, Alexander & Heinisch, Katja, 2023. "Conditional macroeconomic survey forecasts: Revisions and errors," Journal of International Money and Finance, Elsevier, vol. 138(C).
    7. 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.
    8. Pedersen, Michael, 2019. "Anomalies in macroeconomic prediction errors–evidence from Chilean private forecasters," International Journal of Forecasting, Elsevier, vol. 35(3), pages 1100-1107.
    9. Philippe Andrade & Gaetano Gaballo & Eric Mengus & Benoît Mojon, 2019. "Forward Guidance and Heterogeneous Beliefs," American Economic Journal: Macroeconomics, American Economic Association, vol. 11(3), pages 1-29, July.
    10. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2017. "The transmission of monetary policy shocks," Bank of England working papers 657, Bank of England.
    11. Elisabeth Falck & Mathias Hoffmann & Patrick Hürtgen, 2018. "Disagreement and Monetary Policy," 2018 Meeting Papers 655, Society for Economic Dynamics.
    12. Conrad, Christian & Lahiri, Kajal, 2023. "Heterogeneous expectations among professional forecasters," ZEW Discussion Papers 23-062, ZEW - Leibniz Centre for European Economic Research.
    13. 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.
    14. 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.
    15. Giacomini, Raffaella & Skreta, Vasiliki & Turen, Javier, 2016. "Models, inattention and expectation updates," LSE Research Online Documents on Economics 86245, London School of Economics and Political Science, LSE Library.
    16. Stefano Eusepi & Giorgio Topa & Andrea Tambalotti & Richard Crump, 2016. "Subjective Intertemporal Substitution," 2016 Meeting Papers 83, Society for Economic Dynamics.
    17. 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.
    18. Bartosz Maćkowiak & Filip Matějka & Mirko Wiederholt, 2023. "Rational Inattention: A Review," SciencePo Working papers Main hal-03878692, HAL.
    19. Richard K. Crump & Stefano Eusepi & Emanuel Moench & Bruce Preston, 2021. "The Term Structure of Expectations," Staff Reports 992, Federal Reserve Bank of New York.
    20. Tsiaplias, Sarantis, 2020. "Time-Varying Consumer Disagreement and Future Inflation," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
    21. 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.
    22. Buss, Adrian & Dumas, Bernard & Uppal, Raman & Vilkov, Grigory, 2016. "The intended and unintended consequences of financial-market regulations: A general equilibrium analysis," SAFE Working Paper Series 124, Leibniz Institute for Financial Research SAFE.
    23. 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.
    24. 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.
    25. Chini, Emilio Zanetti, 2023. "Can we estimate macroforecasters’ mis-behavior?," Journal of Economic Dynamics and Control, Elsevier, vol. 149(C).
    26. Andrade, Philippe & Gautier, Erwan & Mengus, Eric, 2023. "What matters in households’ inflation expectations?," Journal of Monetary Economics, Elsevier, vol. 138(C), pages 50-68.
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    39. 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.
    40. 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.
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    42. 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.
    43. 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.
    44. 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.
    45. Jonas Dovern & Matthias Hartmann, 2017. "Forecast performance, disagreement, and heterogeneous signal-to-noise ratios," Empirical Economics, Springer, vol. 53(1), pages 63-77, August.
    46. 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.
    47. 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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    49. An, Zidong & Zheng, Xinye, 2023. "Diligent forecasters can make accurate predictions despite disagreeing with the consensus," Economic Modelling, Elsevier, vol. 125(C).
    50. Glas, Alexander, 2020. "Five dimensions of the uncertainty–disagreement linkage," International Journal of Forecasting, Elsevier, vol. 36(2), pages 607-627.
    51. Šauer, Radek, 2016. "The imperfect-common-knowledge Phillips curve: Calvo versus Rotemberg," Discussion Papers 50/2016, Deutsche Bundesbank.
    52. Hoffmann, Mathias & Hürtgen, Patrick, 2016. "Inflation expectations, disagreement, and monetary policy," Economics Letters, Elsevier, vol. 146(C), pages 59-63.
    53. 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).
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  19. 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).

  20. 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, 2018. "Monetary Policy Uncertainty and the Response of the Yield Curve to Policy Shocks," GRU Working Paper Series GRU_2018_004, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    2. 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.
    3. 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.
    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.

  21. 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. 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).
    2. Lloyd, S. P., 2017. "Estimating Nominal Interest Rate Expectations: Overnight Indexed Swaps and the Term Structure," Cambridge Working Papers in Economics 1734, Faculty of Economics, University of Cambridge.

  22. 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. 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.
    2. 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.
    3. 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.
    4. Richard K. Crump & Stefano Eusepi & Marc Giannoni & Ayşegül Şahin, 2019. "A unified approach to measuring u," Staff Reports 889, Federal Reserve Bank of New York.
    5. James McNeil, 2020. "Estimation of Impulse response functions with term structure local projections," Working Papers daleconwp2020-05, Dalhousie University, Department of Economics.
    6. 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.
    7. Aeimit Lakdawala & Michael Bauer & Philippe Mueller, 2019. "Market-Based Monetary Policy Uncertainty," 2019 Meeting Papers 1403, Society for Economic Dynamics.
    8. Timmermann, Allan & Pettenuzzo, Davide & Gargano, Antonio, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," CEPR Discussion Papers 10104, C.E.P.R. Discussion Papers.
    9. 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.
    10. Emi Nakamura & Jón Steinsson, 2018. "High-Frequency Identification of Monetary Non-Neutrality: The Information Effect," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 133(3), pages 1283-1330.
    11. Speck, Christian, 2023. "Pricing the Bund term structure with linear regressions – without an observable short rate," Discussion Papers 08/2023, Deutsche Bundesbank.
    12. Wang,Dieter, 2021. "Natural Capital and Sovereign Bonds," Policy Research Working Paper Series 9606, The World Bank.
    13. Eguren Martin, Fernando & Meldrum, Andrew & Yan, Wen, 2021. "No-Arbitrage pricing of GDP-Linked bonds," Journal of Banking & Finance, Elsevier, vol. 126(C).
    14. 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.
    15. 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.
    16. 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.
    17. 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.
    18. Juan Andrés Espinosa-Torres & Luis Fernando Melo-Velandia & José Fernando Moreno-Gutiérrez, 2017. "Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del Gobierno colombiano," Revista Desarrollo y Sociedad, Universidad de los Andes,Facultad de Economía, CEDE, vol. 78, February.
    19. Mitsuru Katagiri, 2018. "Equilibrium Yield Curve, the Phillips Curve, and Monetary Policy," IMF Working Papers 2018/242, International Monetary Fund.
    20. Peter Tillmann, 2018. "Monetary Policy Uncertainty and the Response of the Yield Curve to Policy Shocks," GRU Working Paper Series GRU_2018_004, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    21. 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.
    22. Hammoudeh, Shawkat & Reboredo, Juan C., 2018. "Oil price dynamics and market-based inflation expectations," Energy Economics, Elsevier, vol. 75(C), pages 484-491.
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    24. 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.
    25. Geiger, Felix & Schupp, Fabian, 2018. "With a little help from my friends: Survey-based derivation of euro area short rate expectations at the effective lower bound," Discussion Papers 27/2018, Deutsche Bundesbank.
    26. Jef Boeckx & Leonardo Iania & Joris Wauters, 2024. "Macroeconomic drivers of inflation expectations and inflation risk premia," Working Paper Research 446, National Bank of Belgium.
    27. Kliem, Martin & Meyer-Gohde, Alexander, 2017. "(Un)expected monetary policy shocks and term premia," Discussion Papers 30/2017, Deutsche Bundesbank.
    28. 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.
    29. Sushanta K Mallick & Madhusudan Mohanty & Fabrizio Zampolli, 2017. "Market volatility, monetary policy and the term premium," BIS Working Papers 606, Bank for International Settlements.
    30. 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.
    31. 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.
    32. 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.
    33. 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.
    34. 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.
    35. 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.
    36. 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.
    37. 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.
    38. 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.
    39. GONÇALVES, Sílvia & PERRON, Benoit, 2018. "Bootstrapping factor models with cross sectional dependence," Cahiers de recherche 2018-07, Universite de Montreal, Departement de sciences economiques.
    40. 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.
    41. 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.
    42. 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.
    43. Jens H. E. Christensen & Glenn D. Rudebusch, 2018. "A New Normal for Interest Rates? Evidence from Inflation-Indexed Debt," Working Paper Series 2017-07, Federal Reserve Bank of San Francisco.
    44. 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.
    45. 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.
    46. 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.
    47. 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.
    48. Meldrum, Andrew & Raczko, Marek & Spencer, Peter, 2023. "The information in joint term structures of bond yields," Journal of International Money and Finance, Elsevier, vol. 134(C).
    49. 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).
    50. 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.
    51. Götz, Martin, 2018. "Financial constraints and corporate environmental responsibility," SAFE Working Paper Series 241, Leibniz Institute for Financial Research SAFE.
    52. Goetz, Martin, 2019. "Financing conditions and toxic emissions," SAFE Working Paper Series 254, Leibniz Institute for Financial Research SAFE.
    53. 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.
    54. Christiane Baumeister, 2021. "Measuring Market Expectations," Working Papers 202163, University of Pretoria, Department of Economics.
    55. 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).
    56. Christensen, Jens H.E. & Gillan, James M., 2022. "Does quantitative easing affect market liquidity?," Journal of Banking & Finance, Elsevier, vol. 134(C).
    57. 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).
    58. 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.
    59. 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.
    60. 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.
    61. 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.
    62. 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.
    63. 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.
    64. Roman Sustek, 2021. "Yield curve and the business cycle in conventional times," Discussion Papers 2122, Centre for Macroeconomics (CFM).
    65. Meldrum, Andrew & Roberts-Sklar, Matt, 2015. "Long-run priors for term structure models," Bank of England working papers 575, Bank of England.
    66. Mirco Rubin & Dario Ruzzi, 2020. "Equity Tail Risk in the Treasury Bond Market," Papers 2007.05933, arXiv.org.
    67. Munch Grønlund, Asger & Jørgensen, Kasper & Schupp, Fabian, 2024. "Measuring market-based core inflation expectations," Working Paper Series 2908, European Central Bank.
    68. Ciccarelli, Matteo & García, Juan Angel, 2015. "International spillovers in inflation expectations," Working Paper Series 1857, European Central Bank.
    69. 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.
    70. 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.
    71. 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.
    72. Berardi, Andrea, 2023. "Term premia and short rate expectations in the euro area," Journal of Empirical Finance, Elsevier, vol. 74(C).
    73. 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.
    74. 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.
    75. 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.).
    76. 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.
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  23. Eric Ghysels & Casidhe Horan & Emanuel Moench, 2012. "Forecasting through the rear-view mirror: data revisions and bond return predictability," Staff Reports 581, Federal Reserve Bank of New York.

    Cited by:

    1. Andrii Babii & Eric Ghysels & Jonas Striaukas, 2022. "Machine Learning Time Series Regressions With an Application to Nowcasting," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(3), pages 1094-1106, June.
    2. Moench, Emanuel & Soofi-Siavash, Soroosh, 2022. "What moves treasury yields?," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1016-1043.
    3. Louis R. Piccotti, 2022. "Portfolio returns and consumption growth covariation in the frequency domain, real economic activity, and expected returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(3), pages 513-549, September.
    4. Giovannelli, Alessandro & Massacci, Daniele & Soccorsi, Stefano, 2021. "Forecasting stock returns with large dimensional factor models," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 252-269.
    5. Michael Pfarrhofer, 2024. "Forecasts with Bayesian vector autoregressions under real time conditions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(3), pages 771-801, April.
    6. Robert J. Hodrick & Tuomas Tomunen, 2018. "Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications," NBER Working Papers 25092, National Bureau of Economic Research, Inc.
    7. Sarun Kamolthip, 2021. "Macroeconomic forecasting with LSTM and mixed frequency time series data," Papers 2109.13777, arXiv.org.
    8. Feng Zhao & Guofu Zhou & Xiaoneng Zhu, 2021. "Unspanned Global Macro Risks in Bond Returns," Management Science, INFORMS, vol. 67(12), pages 7825-7843, December.
    9. Mehmet Balcilar & Rangan Gupta & Shixuan Wang & Mark E. Wohar, 2019. "Oil Price Uncertainty and Movements in the US Government Bond Risk Premia," Working Papers 201919, University of Pretoria, Department of Economics.
    10. Strohsal, Till & Wolf, Elias, 2020. "Data revisions to German national accounts: Are initial releases good nowcasts?," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1252-1259.
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    116. Georgios Chortareas & Menelaos Karanasos & Emmanouil Noikokyris, 2019. "Quantitative Easing And The Uk Stock Market: Does The Bank Of England Information Dissemination Strategy Matter?," Economic Inquiry, Western Economic Association International, vol. 57(1), pages 569-583, January.
    117. Neugebauer, Frederik, 2019. "ECB Announcements and Stock Market Volatility," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203554, Verein für Socialpolitik / German Economic Association.
    118. Cieslak, Anna & Pang, Hao, 2020. "Common shocks in stocks and bonds," CEPR Discussion Papers 14708, C.E.P.R. Discussion Papers.
    119. Songrun He & Asaf Manela & Omri Ross & Victor von Wachter, 2022. "Fundamentals of Perpetual Futures," Papers 2212.06888, arXiv.org, revised Jul 2023.
    120. Apergis, Nicholas, 2019. "The impact of fracking activities on Oklahoma's housing prices: A panel cointegration analysis," Energy Policy, Elsevier, vol. 128(C), pages 94-101.
    121. Erkko Etula & Kalle Rinne & Matti Suominen & Lauri Vaittinen, 2020. "Dash for Cash: Monthly Market Impact of Institutional Liquidity Needs," The Review of Financial Studies, Society for Financial Studies, vol. 33(1), pages 75-111.
    122. Yun, Jaesun & Kwon, Kyung Yoon, 2023. "Biweekly performance of low-risk anomalies over the FOMC cycle," Finance Research Letters, Elsevier, vol. 58(PC).
    123. Fernandez-Perez, Adrian & Frijns, Bart & Tourani-Rad, Alireza, 2017. "When no news is good news – The decrease in investor fear after the FOMC announcement," Journal of Empirical Finance, Elsevier, vol. 41(C), pages 187-199.
    124. Farshid Abdi & Botao Wu, 2018. "Informed Corporate Credit Market Before Monetary Policy Surprises: Explaining Pre-FOMC Stock Market Movements," Working Papers on Finance 1828, University of St. Gallen, School of Finance.
    125. Samuel Hanson & Jeremy C. Stein, 2012. "Monetary policy and long-term real rates," Finance and Economics Discussion Series 2012-46, Board of Governors of the Federal Reserve System (U.S.).
    126. Robert Czech & Gábor Pintér, 2020. "Informed Trading and the Dynamics of Client-Dealer Connections in Corporate Bond Markets," Discussion Papers 2032, Centre for Macroeconomics (CFM).
    127. Guo, Haifeng & Hung, Chi-Hsiou D. & Kontonikas, Alexandros, 2021. "Investor sentiment and the pre-FOMC announcement drift," Finance Research Letters, Elsevier, vol. 38(C).
    128. Anna Cieslak & Andreas Schrimpf, 2018. "Non-Monetary News in Central Bank Communication," NBER Working Papers 25032, National Bureau of Economic Research, Inc.
    129. Cheema, Arbab K. & Eshraghi, Arman & Wang, Qingwei, 2023. "Macroeconomic news and price synchronicity," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 390-412.
    130. Marek Jarocinski & Peter Karadi, 2017. "Central Bank Information Shocks," 2017 Meeting Papers 1193, Society for Economic Dynamics.
    131. Lili Dai & Jerry T. Parwada & Donald W. Winchester & Bohui Zhang, 2022. "The more we know, the less we agree: A test of the trading horizon heterogeneity theory," The Financial Review, Eastern Finance Association, vol. 57(1), pages 45-67, February.
    132. Chao Ying, 2020. "The Pre-FOMC Announcement Drift and Private Information: Kyle Meets Macro-Finance," 2020 Papers pyi149, Job Market Papers.
    133. Lou, Dong & Polk, Christopher & Skouras, Spyros, 2019. "A tug of war: Overnight versus intraday expected returns," Journal of Financial Economics, Elsevier, vol. 134(1), pages 192-213.
    134. Parnes, Dror, 2024. "Copper-to-gold ratio as a leading indicator for the 10-Year Treasury yield," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
    135. Bekjarovski, Filip, 2019. "Active investing," Other publications TiSEM 7636da9d-f63e-451a-ba78-d, Tilburg University, School of Economics and Management.
    136. Johnson, James A. & Medeiros, Marcelo C. & Paye, Bradley S., 2022. "Jumps in stock prices: New insights from old data," Journal of Financial Markets, Elsevier, vol. 60(C).
    137. Moench, Emanuel & Stein, Tobias, 2019. "Comment on “Monetary Policy Communication, Policy Slope, and the Stock Market” by Andreas Neuhierl and Michael Weber," Journal of Monetary Economics, Elsevier, vol. 108(C), pages 156-161.
    138. Schott, Peter & Greenland, Anew & Ion, Mihai & Lopresti, John, 2022. "Using Equity Market Reactions to Infer Exposure to Trade Liberalization," CEPR Discussion Papers 17387, C.E.P.R. Discussion Papers.
    139. Wang, Wenzhao & Su, Chen & Duxbury, Darren, 2022. "The conditional impact of investor sentiment in global stock markets: A two-channel examination," Journal of Banking & Finance, Elsevier, vol. 138(C).
    140. Guo, Haifeng & Hung, Chi-Hsiou D. & Kontonikas, Alexandros, 2022. "The Fed and the stock market: A tale of sentiment states," Journal of International Money and Finance, Elsevier, vol. 128(C).
    141. Karau, Sören, 2021. "Monetary policy and Bitcoin," Discussion Papers 41/2021, Deutsche Bundesbank.
    142. Chong, Terence Tai Leung & Wu, Zhang & Liu, Yuchen, 2019. "Market Reaction to iPhone Rumors," MPRA Paper 92014, University Library of Munich, Germany.
    143. Bollerslev, Tim & Li, Jia & Li, Qiyuan, 2024. "Optimal nonparametric range-based volatility estimation," Journal of Econometrics, Elsevier, vol. 238(1).
    144. Adlai Fisher & Charles Martineau & Jinfei Sheng, 2022. "Macroeconomic Attention and Announcement Risk Premia," The Review of Financial Studies, Society for Financial Studies, vol. 35(11), pages 5057-5093.
    145. Aït-Sahalia, Yacine & Xiu, Dacheng, 2016. "Increased correlation among asset classes: Are volatility or jumps to blame, or both?," Journal of Econometrics, Elsevier, vol. 194(2), pages 205-219.
    146. Chan, Kam Fong & Marsh, Terry, 2021. "Asset prices, midterm elections, and political uncertainty," Journal of Financial Economics, Elsevier, vol. 141(1), pages 276-296.
    147. Roland Füss & Ferdinand Mager & Michael Stein & Lu Zhao, 2018. "Financial crises, price discovery, and information transmission: a high-frequency perspective," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(4), pages 333-365, November.
    148. Zhang, Chu & Zhao, Shen, 2023. "The macroeconomic announcement premium and information environment," Journal of Monetary Economics, Elsevier, vol. 139(C), pages 55-73.
    149. Croce, Mariano & Farroni, Paolo & Wolfskeil, Isabella, 2020. "When the Markets Get COVID: COntagion, Viruses, and Information Diffusion," CEPR Discussion Papers 14674, C.E.P.R. Discussion Papers.
    150. Rövekamp, Ingmar, 2019. "US Monetary Policy and the Stability of Currency Pegs," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203525, Verein für Socialpolitik / German Economic Association.
    151. Ryu, Doojin & Webb, Robert I. & Yu, Jinyoung, 2022. "Foreign institutions and the behavior of liquidity following macroeconomic announcements," Finance Research Letters, Elsevier, vol. 50(C).
    152. Cieslak, Anna & Pang, Hao, 2021. "Common shocks in stocks and bonds," Journal of Financial Economics, Elsevier, vol. 142(2), pages 880-904.
    153. Lutz, Chandler, 2015. "The impact of conventional and unconventional monetary policy on investor sentiment," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 89-105.
    154. James Ming Chen, 2017. "Econophysics and Capital Asset Pricing," Quantitative Perspectives on Behavioral Economics and Finance, Palgrave Macmillan, number 978-3-319-63465-4, February.
    155. Kurov, Alexander & Wolfe, Marketa Halova & Gilbert, Thomas, 2021. "The disappearing pre-FOMC announcement drift," Finance Research Letters, Elsevier, vol. 40(C).
    156. Donato Masciandaro & Davide Romelli & Gaia Rubera, 2023. "Monetary policy and financial markets: evidence from Twitter traffic," Trinity Economics Papers TEP1023, Trinity College Dublin, Department of Economics.
    157. Ziemowit Bednarek & Jacqueline Doremus & Sarah Stith, 2021. "U.S. Cannabis Laws Projected to Cost Generic and Brand Pharmaceutical Firms Billions," Working Papers 2102, California Polytechnic State University, Department of Economics.
    158. Finta, Marinela Adriana, 2021. "Japanese monetary policy and its impact on stock market implied volatility during pleasant and unpleasant weather," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
    159. Lee, Suzanne S. & Wang, Minho, 2020. "Tales of tails: Jumps in currency markets," Journal of Financial Markets, Elsevier, vol. 48(C).
    160. Gallo, Lindsey A. & Hann, Rebecca N. & Li, Congcong, 2016. "Aggregate earnings surprises, monetary policy, and stock returns," Journal of Accounting and Economics, Elsevier, vol. 62(1), pages 103-120.
    161. Carlos Madeira & Joao Madeira, 2015. "Dissent in FOMC Meeting and the Announcement Drift," Working Papers Central Bank of Chile 749, Central Bank of Chile.
    162. Sun, Licheng & Najand, Mohammad & Shen, Jiancheng, 2016. "Stock return predictability and investor sentiment: A high-frequency perspective," Journal of Banking & Finance, Elsevier, vol. 73(C), pages 147-164.
    163. Jung, Alexander, 2023. "US monetary policy spillovers to European banks," Working Paper Series 2876, European Central Bank.
    164. Wang, Chen & Zhao, Kevin, 2024. "Pre-Refunding Announcement Gains in U.S. Treasurys," SocArXiv xucf8, Center for Open Science.
    165. Andrew Detzel, 2017. "Monetary Policy Surprises, Investment Opportunities, And Asset Prices," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 40(3), pages 315-348, September.
    166. Katsuya Ito & Ryuta Sakemoto, 2020. "Direct Estimation of Lead–Lag Relationships Using Multinomial Dynamic Time Warping," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(3), pages 325-342, September.
    167. Širůček, Martin, 2015. "Kauzalní vztah peněžní nabídky a amerického akciového trhu [Money supply and US stock market causality]," MPRA Paper 66357, University Library of Munich, Germany, revised 30 Aug 2015.
    168. Houssam Bouzgarrou & Tarek Chebbi, 2016. "The reaction of sovereign CDS spread volatilities to news announcements," Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 347-360, September.
    169. Annette Vissing-Jorgensen & Adair Morse & Anna Cieslak, 2015. "Stock returns over the FOMC cycle," 2015 Meeting Papers 1197, Society for Economic Dynamics.
    170. Fischer, Thomas G., 2018. "Reinforcement learning in financial markets - a survey," FAU Discussion Papers in Economics 12/2018, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    171. Emiliano A. Carlevaro & Leandro M. Magnusson, 2020. "The (in)stability of stock returns and monetary policy interdependence in the US," Economics Discussion / Working Papers 20-27, The University of Western Australia, Department of Economics.
    172. Roevekamp, Ingmar, 2021. "The impact of US monetary policy on managed exchange rates and currency peg regimes," Journal of International Money and Finance, Elsevier, vol. 110(C).

  26. Tobias Adrian & Emanuel Moench & Hyun Song Shin, 2010. "Financial intermediation, asset prices, and macroeconomic dynamics," Staff Reports 422, Federal Reserve Bank of New York.

    Cited by:

    1. Franzoni, Francesco & Ben-David, Itzhak & Moussawi, Rabih & Sedunov, John, 2019. "The Granular Nature of Large Institutional Investors," CEPR Discussion Papers 13427, C.E.P.R. Discussion Papers.
    2. Nina Boyarchenko & Tobias Adrian, 2015. "Intermediary Balance Sheets," 2015 Meeting Papers 239, Society for Economic Dynamics.
    3. Allard, Anne-Florence & Iania, Leonardo & Smedts, Kristien, 2020. "Stock-bond return correlations: Moving away from "one-frequency-fits-all" by extending the DCC-MIDAS approach," LIDAM Reprints LFIN 2020005, Université catholique de Louvain, Louvain Finance (LFIN).
    4. Nitschka, Thomas, 2011. "Banking sectors' international interconnectedness: Implications for consumption risk sharing in Europe," VfS Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis 48684, Verein für Socialpolitik / German Economic Association.
    5. Kollmann, Robert & Zeugner, Stefan, 2012. "Leverage as a predictor for real activity and volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1267-1283.
    6. Baltzer, Markus & Koehl, Alexandra & Reitz, Stefan, 2019. "Procyclical leverage in Europe and its role in asset pricing," Discussion Papers 10/2019, Deutsche Bundesbank.
    7. Yunus Aksoy & Henriqu S Basso, 2012. "Liquidity, Term Spreads and Monetary Policy," Birkbeck Working Papers in Economics and Finance 1211, Birkbeck, Department of Economics, Mathematics & Statistics.
    8. Adrian, Tobias & Liang, Nellie, 2016. "Monetary Policy, Financial Conditions, and Financial Stability," CEPR Discussion Papers 11394, C.E.P.R. Discussion Papers.
    9. Vassalli, Matilde & Trecroci, Carmine, 2013. "Funding Conditions, Asset Prices and Macroeconomic Dynamics: Some U.S. Evidence," EconStor Preprints 191941, ZBW - Leibniz Information Centre for Economics.
    10. Kai Li & Chenjie Xu, 2023. "Asset pricing with a financial sector," Financial Management, Financial Management Association International, vol. 52(1), pages 67-95, March.
    11. Pierluigi Balduzzi & Emanuele Brancati & Fabio Schiantarelli, 2013. "Financial Markets, Banks' Cost of Funding, and Firms' Decisions: Lessons from Two Crises," Boston College Working Papers in Economics 824, Boston College Department of Economics, revised 12 Aug 2016.
    12. Tobias Adrian & Nina Boyarchenko & Hyun Song Shin, 2015. "On the scale of financial intermediaries," Staff Reports 743, Federal Reserve Bank of New York.
    13. Rodrigo Sekkel, 2014. "Balance Sheets of Financial Intermediaries: Do They Forecast Economic Activity?," Staff Working Papers 14-40, Bank of Canada.
    14. Benjamin Nelson & Gabor Pinter & Konstantinos Theodoridis, 2018. "Do contractionary monetary policy shocks expand shadow banking?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(2), pages 198-211, March.
    15. Tobias Adrian & Evan Friedman & Tyler Muir, 2015. "The cost of capital of the financial sector," Staff Reports 755, Federal Reserve Bank of New York.
    16. Tobias Adrian & Hyun Song Shin, 2009. "Prices and Quantities in the Monetary Policy Transmission Mechanism," International Journal of Central Banking, International Journal of Central Banking, vol. 5(4), pages 131-142, December.
    17. Sousa, João & Sousa, Ricardo M., 2013. "Asset returns under model uncertainty: evidence from the euro area, the U.S. and the U.K," Working Paper Series 1575, European Central Bank.
    18. Roberto Santis, 2015. "Quantity theory is alive: the role of international portfolio shifts," Empirical Economics, Springer, vol. 49(4), pages 1401-1430, December.
    19. Chava, Sudheer & Gallmeyer, Michael & Park, Heungju, 2015. "Credit conditions and stock return predictability," Journal of Monetary Economics, Elsevier, vol. 74(C), pages 117-132.
    20. Martin Feldkircher & Florian Huber, 2016. "Unconventional US Monetary Policy: New Tools, Same Channels?," Department of Economics Working Papers wuwp222, Vienna University of Economics and Business, Department of Economics.
    21. Jaewoo Kim & Bryce Schonberger & Charles Wasley & Hunter Land, 2020. "Intertemporal variation in the information content of aggregate earnings and its effect on the aggregate earnings-return relation," Review of Accounting Studies, Springer, vol. 25(4), pages 1410-1443, December.
    22. Adam Ashcraft & Nicolae Gârleanu & Lasse Heje Pedersen, 2010. "Two Monetary Tools: Interest Rates and Haircuts," NBER Working Papers 16337, National Bureau of Economic Research, Inc.
    23. Sousa, João & Sousa, Ricardo M., 2017. "Predicting risk premium under changes in the conditional distribution of stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 50(C), pages 204-218.
    24. Damar, H. Evren & Meh, Césaire A. & Terajima, Yaz, 2013. "Leverage, balance-sheet size and wholesale funding," Journal of Financial Intermediation, Elsevier, vol. 22(4), pages 639-662.
    25. Mr. John C Bluedorn & Mr. Jörg Decressin & Mr. Marco Terrones, 2013. "Do Asset Price Drops Foreshadow Recessions?," IMF Working Papers 2013/203, International Monetary Fund.
    26. Simon Gilchrist & Egon ZakrajŠEk, 2013. "The Impact of the Federal Reserve's Large-Scale Asset Purchase Programs on Corporate Credit Risk," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(s2), pages 29-57, December.
    27. Jon Danielsson & Hyun Song Shin & Jean-Pierre Zigrand, 2011. "Balance Sheet Capacity and Endogenous Risk," FMG Discussion Papers dp665, Financial Markets Group.
    28. Ames, Matthew & Bagnarosa, Guillaume & Matsui, Tomoko & Peters, Gareth W. & Shevchenko, Pavel V., 2020. "Which risk factors drive oil futures price curves?," Energy Economics, Elsevier, vol. 87(C).
    29. Cesa-Bianchi, Ambrogio, 2013. "Housing cycles and macroeconomic fluctuations: A global perspective," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 215-238.
    30. Timmer, Yannick, 2018. "Cyclical investment behavior across financial institutions," ESRB Working Paper Series 77, European Systemic Risk Board.
    31. Tobias Adrian & Paolo Colla & Hyun Song Shin, 2013. "Which Financial Frictions? Parsing the Evidence from the Financial Crisis of 2007 to 2009," NBER Macroeconomics Annual, University of Chicago Press, vol. 27(1), pages 159-214.
    32. João Sousa & Ricardo M. Sousa, 2011. "Asset Returns Under Model Uncertainty: Eveidence from the euro area, the U.K and the U.S," NIPE Working Papers 21/2011, NIPE - Universidade do Minho.
    33. Michael Bleaney & Paul Mizen & Veronica Veleanu, 2012. "Bond Spreads as Predictors of Economic Activity in Eight European Economies," Discussion Papers 12/11, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
    34. Stefan Gissler, 2015. "A margin call gone wrong: Credit, stock prices, and Germany's Black Friday 1927," Finance and Economics Discussion Series 2015-54, Board of Governors of the Federal Reserve System (U.S.).
    35. Alexi Savov & Alan Moreira, 2014. "The Macroeconomics of Shadow Banking," 2014 Meeting Papers 254, Society for Economic Dynamics.
    36. Kenneth J. Singleton, 2014. "Investor Flows and the 2008 Boom/Bust in Oil Prices," Management Science, INFORMS, vol. 60(2), pages 300-318, February.
    37. Mehmet Benturk & Marshall J. Burak, 2018. "Modelling Haircuts: Evidence from NYSE Stocks," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 8(4), pages 1-6.
    38. 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.
    39. Tobias Adrian & Nina Boyarchenko, 2013. "Intermediary Leverage Cycles and Financial Stability," Liberty Street Economics 20131120, Federal Reserve Bank of New York.
    40. Jacobs, Heiko, 2015. "What explains the dynamics of 100 anomalies?," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 65-85.
    41. Zia Abbas & Syed Faizan Iftikhar & Shaista Alam, 2019. "Does bank capital affect the monetary policy transmission mechanism? A case study of Emerging Market Economies (EMEs)," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(02), pages 1-20, June.
    42. Wang, Hao & Xu, Ning & Yin, Haiyan & Ji, Hao, 2022. "The dynamic impact of monetary policy on financial stability in China after crises," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
    43. Haakon Kavli & Nicola Viegi, 2017. "Are Determinants of Portfolio Flows Always the Same? - South African Results from a Time Varying Parameter Var Model," South African Journal of Economics, Economic Society of South Africa, vol. 85(1), pages 3-27, March.
    44. Tobias Adrian & Erkko Etula, 2010. "Funding liquidity risk and the cross-section of stock returns," Staff Reports 464, Federal Reserve Bank of New York.
    45. Michael Bleaney & Paul Mizen & Veronica Veleanu, 2013. "Bond Spreads and Economic Activity in Eight European Economies," Discussion Papers 2013/09, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
    46. Yunus Aksoy & Henrique S. Basso, 2015. "Securitization and asset prices," Working Papers 1526, Banco de España.
    47. Bruce Mizrach, 2012. "Comment on "Endogenous and Systemic Risk"," NBER Chapters, in: Quantifying Systemic Risk, pages 94-105, National Bureau of Economic Research, Inc.
    48. Adrian, Tobias & , & Shin, Hyun Song, 2016. "Dynamic Leverage Asset Pricing," CEPR Discussion Papers 11466, C.E.P.R. Discussion Papers.
    49. Adrian, Tobias & Etula, Erkko & Groen, Jan J.J., 2011. "Financial amplification of foreign exchange risk premia," European Economic Review, Elsevier, vol. 55(3), pages 354-370, April.
    50. Zhi, Bangdong & Wang, Xiaojun & Xu, Fangming, 2020. "Impawn rate optimisation in inventory financing: A canonical vine copula-based approach," International Journal of Production Economics, Elsevier, vol. 227(C).
    51. Cincinelli, Peter & Pellini, Elisabetta & Urga, Giovanni, 2021. "Leverage and systemic risk pro-cyclicality in the Chinese financial system," International Review of Financial Analysis, Elsevier, vol. 78(C).
    52. Pavlopoulos, Athanasios & Magnis, Chris & Iatridis, George Emmanuel, 2019. "Integrated reporting: An accounting disclosure tool for high quality financial reporting," Research in International Business and Finance, Elsevier, vol. 49(C), pages 13-40.
    53. Thomas A. Lubik & Pierre-Daniel G. Sarte & Felipe Schwartzman, 2014. "What Inventory Behavior Tells Us About How Business Cycles Have Changed," Working Paper 14-6, Federal Reserve Bank of Richmond.
    54. Hui Chen & Scott Joslin & Sophie X. Ni, 2019. "Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets," NBER Working Papers 25573, National Bureau of Economic Research, Inc.
    55. Gieck, Jana & Traczyk, Adam, 2013. "Unconventional Monetary Policy and bank supervision," MPRA Paper 62014, University Library of Munich, Germany.
    56. Schuster, Philipp & Uhrig-Homburg, Marliese, 2015. "Limits to arbitrage and the term structure of bond illiquidity premiums," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 143-159.
    57. J. Scott Davis, 2010. "The adverse feedback loop and the effects of risk in both the real and financial sectors," Globalization Institute Working Papers 66, Federal Reserve Bank of Dallas.
    58. Trevor Serrao & Luca Benzoni & Marco Bassetto, 2017. "The Interplay Between Financial Conditions and Monetary Policy Shocks," 2017 Meeting Papers 1124, Society for Economic Dynamics.
    59. Bradley Jones, 2015. "Asset Bubbles: Re-thinking Policy for the Age of Asset Management," IMF Working Papers 2015/027, International Monetary Fund.
    60. Marc Anderes, 2021. "Housing Demand Shocks and Households Balance Sheets," KOF Working papers 21-492, KOF Swiss Economic Institute, ETH Zurich.

  27. Tobias Adrian & Emanuel Moench & Hyun Song Shin, 2010. "Macro risk premium and intermediary balance sheet quantities," Staff Reports 428, Federal Reserve Bank of New York.

    Cited by:

    1. Duchi, Fabio & Elbourne, Adam, 2016. "Credit supply shocks in the Netherlands," Journal of Macroeconomics, Elsevier, vol. 50(C), pages 51-71.
    2. Mittnik, Stefan & Semmler, Willi, 2013. "The real consequences of financial stress," Journal of Economic Dynamics and Control, Elsevier, vol. 37(8), pages 1479-1499.
    3. Robin Greenwood & Samuel G. Hanson, 2011. "Issuer Quality and the Credit Cycle," NBER Working Papers 17197, National Bureau of Economic Research, Inc.
    4. Mishkin, Frederic S., 2017. "Rethinking monetary policy after the crisis," Journal of International Money and Finance, Elsevier, vol. 73(PB), pages 252-274.
    5. Christian R. Proaño & Christian Schoder & Willi Semmler, 2013. "Financial Stress, Sovereign Debt and Economic Activity in Industrialized Countries: Evidence from Nonlinear Dynamic Panels," Working Papers 1304, New School for Social Research, Department of Economics.
    6. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
    7. Joerg Schmidt, 2018. "Unconventional Monetary Policy and Bank Risk-Taking in the Euro Area," MAGKS Papers on Economics 201824, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    8. Robin Greenwood & Samuel G. Hanson, 2013. "Issuer Quality and Corporate Bond Returns," The Review of Financial Studies, Society for Financial Studies, vol. 26(6), pages 1483-1525.
    9. Marcus Miller & Lei Zhang, 2015. "The Hedgehog and the Fox: From DSGE to Macro-Pru," Manchester School, University of Manchester, vol. 83, pages 31-55, September.
    10. Jéfferson Colombo & Peter Wanke & Jorge Antunes & Abul Kalam Azad, 2022. "Unveiling endogeneity between competition and efficiency in European banks: a robust econometric-neural network approach," SN Business & Economics, Springer, vol. 2(3), pages 1-46, March.
    11. Frauke Schleer & Willi Semmler, 2014. "Financial Sector and Output Dynamics in the Euro Area: Non-linearities Reconsidered," SCEPA working paper series. 2014-5, Schwartz Center for Economic Policy Analysis (SCEPA), The New School.
    12. Weiling Liu & Emanuel Moench, 2014. "What predicts U.S. recessions?," Staff Reports 691, Federal Reserve Bank of New York.
    13. Joon-Ho Hahm & Frederic S. Mishkin & Hyun Song Shin & Kwanho Shin, 2011. "Macroprudential policies in open emerging economies," Proceedings, Federal Reserve Bank of San Francisco, issue Nov, pages 63-114.
    14. Proaño Acosta, Christian & Lojak, Benjamin, 2020. "Monetary policy with a state-dependent inflation target in a behavioral two-country monetary union model," BERG Working Paper Series 161, Bamberg University, Bamberg Economic Research Group.
    15. Jan Bruha, 2011. "Retail Credit Premiums and Macroeconomic Developments," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2010/2011, chapter 0, pages 133-140, Czech National Bank.
    16. Mittnik, Stefan & Semmler, Willi, 2018. "Overleveraging, Financial Fragility, And The Banking–Macro Link: Theory And Empirical Evidence," Macroeconomic Dynamics, Cambridge University Press, vol. 22(1), pages 4-32, January.
    17. Semmler, Willi & Chen, Pu, 2014. "Financial stress, regime switching and macrodynamics: Theory and empirics for the US, the EU and non-EU countries," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 8, pages 1-42.
    18. Matthew Plosser, 2014. "Bank heterogeneity and capital allocation: evidence from \\"fracking\\" shocks," Staff Reports 693, Federal Reserve Bank of New York.
    19. Fischer, Thomas & Riedler, Jesper, 2012. "Prices, debt and market structure in an agent-based model of the financial market," ZEW Discussion Papers 12-045, ZEW - Leibniz Centre for European Economic Research.
    20. Chiarella, Carl & Flaschel, Peter & Hartmann, Florian & Proaño, Christian R., 2012. "Stock market booms, endogenous credit creation and the implications of broad and narrow banking for macroeconomic stability," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 410-423.
    21. Schleer, Frauke & Semmler, Willi, 2014. "Financial sector-output dynamics in the euro area: Non-linearities reconsidered," ZEW Discussion Papers 13-068 [rev.], ZEW - Leibniz Centre for European Economic Research.
    22. Fredric Mishkin, 2011. "How Should Central Banks Respond to Asset-Price Bubbles? The 'Lean' versus 'Clean' Debate After the GFC," RBA Bulletin (Print copy discontinued), Reserve Bank of Australia, pages 59-70, June.
    23. Afanasyeva, Elena, 2013. "Atypical behavior of credit: Evidence from a monetary VAR," IMFS Working Paper Series 70, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    24. Colleen Baker & Christine M. Cumming & Julapa Jagtiani, 2017. "The Impacts Of Financial Regulations: Solvency And Liquidity In The Post-Crisis Period," Working Papers 17-10, Federal Reserve Bank of Philadelphia.
    25. Elias Dinopoulos & Wolf-Heimo Grieben & Fuat Sener, 2012. "The Conundrum of Recovery Policies: Growth or Jobs?," Working Paper Series of the Department of Economics, University of Konstanz 2012-03, Department of Economics, University of Konstanz.
    26. Scheffknecht, Lukas & Geiger, Felix, 2011. "A behavioral macroeconomic model with endogenous boom-bust cycles and leverage dynamcis," FZID Discussion Papers 37-2011, University of Hohenheim, Center for Research on Innovation and Services (FZID).
    27. David Finck & Paul Rudel, 2023. "Do credit supply shocks have asymmetric effects?," Empirical Economics, Springer, vol. 64(4), pages 1559-1597, April.
    28. Emanuel Kohlscheen & Ken Miyajima, 2015. "The transmission of monetary policy in EMEs in a changing financial environment: a longitudinal analysis," BIS Working Papers 495, Bank for International Settlements.
    29. Mr. Ananthakrishnan Prasad & Mr. Selim A Elekdag & Mr. Phakawa Jeasakul & Romain Lafarguette & Mr. Adrian Alter & Alan Xiaochen Feng & Changchun Wang, 2019. "Growth at Risk: Concept and Application in IMF Country Surveillance," IMF Working Papers 2019/036, International Monetary Fund.
    30. Proaño, Christian R. & Lojak, Benjamin, 2020. "Animal spirits, risk premia and monetary policy at the zero lower bound," Journal of Economic Behavior & Organization, Elsevier, vol. 171(C), pages 221-233.
    31. Timmer, Yannick, 2018. "Cyclical investment behavior across financial institutions," ESRB Working Paper Series 77, European Systemic Risk Board.
    32. Tobias Adrian & Paolo Colla & Hyun Song Shin, 2013. "Which Financial Frictions? Parsing the Evidence from the Financial Crisis of 2007 to 2009," NBER Macroeconomics Annual, University of Chicago Press, vol. 27(1), pages 159-214.
    33. Mr. Itai Agur, 2018. "Monetary and Macroprudential Policy Coordination Among Multiple Equilibria," IMF Working Papers 2018/235, International Monetary Fund.
    34. Adrian, Tobias & Vogt, Erik & Stackman, Daniel, 2019. "Global Price of Risk and Stabilization Policies," CEPR Discussion Papers 13435, C.E.P.R. Discussion Papers.
    35. Fabio Fornari & Livio Stracca, 2012. "What does a financial shock do? First international evidence [Financial intermediaries, financial stability and monetary policy]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 27(71), pages 407-445.
    36. Tobias Adrian & Adam B. Ashcraft, 2012. "Shadow Banking Regulation," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 99-140, October.
    37. Marco Del Negro & Gauti Eggertsson & Andrea Ferrero & Nobuhiro Kiyotaki, 2017. "The Great Escape? A Quantitative Evaluation of the Fed's Liquidity Facilities," American Economic Review, American Economic Association, vol. 107(3), pages 824-857, March.
    38. Anton Korinek & Jonathan Kreamer, 2014. "The redistributive effects of financial deregulation: wall street versus main street," BIS Working Papers 468, Bank for International Settlements.
    39. Wojnilower, Joshua, 2018. "On credit and output: Is the supply of credit relevant?," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 38-56.
    40. Valentin Haddad, 2012. "Concentrated Ownership and Equilibrium Asset Prices," 2012 Meeting Papers 902, Society for Economic Dynamics.
    41. Guangye Cao & Taeyoung Doh & Daniel Molling, 2015. "Should monetary policy monitor risk premiums in financial markets?," Macro Bulletin, Federal Reserve Bank of Kansas City, pages 1-2, February.
    42. Fricke, Christoph & Menkhoff, Lukas, 2015. "Financial conditions, macroeconomic factors and disaggregated bond excess returns," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 80-94.
    43. Itai Agur & Maria Demertzis, 2018. "Will macroprudential policy counteract monetary policy’s effects on financial stability?," Working Papers 23907, Bruegel.
    44. Tobias Adrian & Fernando M. Duarte & Federico Grinberg & Tommaso Mancini-Griffoli, 2019. "Monetary policy and financial conditions: a cross-country study," Staff Reports 890, Federal Reserve Bank of New York.
    45. Charles R. Bean & Matthias Paustian & Adrian Penalver & Tim Taylor, 2010. "Monetary policy after the fall," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 267-328.
    46. Fricke, Christoph & Menkhoff, Lukas, 2014. "Financial conditions, macroeconomic factors and (un)expected bond excess returns," Discussion Papers 35/2014, Deutsche Bundesbank.
    47. Jian Luo & Xiaoxia Ye & May Hu, 2016. "Counter-Credit-Risk Yield Spreads: A Puzzle in China's Corporate Bond Market," International Review of Finance, International Review of Finance Ltd., vol. 16(2), pages 203-241, June.
    48. Miller, Marcus, 2014. "Macroeconomics after the crisis ? hedgehog or fox?," CEPR Discussion Papers 9974, C.E.P.R. Discussion Papers.
    49. Agur, Itai & Demertzis, Maria, 2012. "Excessive bank risk taking and monetary policy," Working Paper Series 1457, European Central Bank.
    50. Willi Semmler & Stefan Mittnik, 2012. "Estimating a Banking-Macro Model for Europe Using a Multi-Regime VAR," EcoMod2012 4122, EcoMod.
    51. Emanuele De Meo & Giacomo Tizzanini, 2021. "GDP‐network CoVaR: A tool for assessing growth‐at‐risk," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 50(2), July.
    52. Mr. Itai Agur & Mr. Sunil Sharma, 2013. "Rules, Discretion, and Macro-Prudential Policy," IMF Working Papers 2013/065, International Monetary Fund.
    53. Xu Feng & Xiaowen An & Yahui An & Yajun Xiao, 2024. "Shadow Funding and Economic Growth: Evidence from China," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(2-3), pages 589-611, March.
    54. Winter, Christoph & Kraus, Beatrice, 2016. "Do Tax Changes Affect Credit Markets and Financial Frictions? Evidence from Credit Spreads," VfS Annual Conference 2016 (Augsburg): Demographic Change 145636, Verein für Socialpolitik / German Economic Association.
    55. Manfred Kremer, 2016. "Macroeconomic effects of financial stress and the role of monetary policy: a VAR analysis for the euro area," International Economics and Economic Policy, Springer, vol. 13(1), pages 105-138, January.
    56. Wolfram Berger & Friedrich Kissmer, 2013. "Monetary Policy and Asset Prices: When Cleaning Up Hits the Zero Lower Bound," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 149(III), pages 291-312, September.
    57. Thomas A. Lubik & Pierre-Daniel G. Sarte & Felipe Schwartzman, 2014. "What Inventory Behavior Tells Us About How Business Cycles Have Changed," Working Paper 14-6, Federal Reserve Bank of Richmond.
    58. Elena Afanasyeva, 2020. "Can Forecast Errors Predict Financial Crises? Exploring the Properties of a New Multivariate Credit Gap," Finance and Economics Discussion Series 2020-045, Board of Governors of the Federal Reserve System (U.S.).
    59. Stefan Mittnik & Willi Semmler, 2011. "The Instability of the Banking Sector and Macrodynamics: Theory and Empirics," DEGIT Conference Papers c016_080, DEGIT, Dynamics, Economic Growth, and International Trade.
    60. Flaschel, Peter & Hartmann, Florian & Malikane, Christopher & Semmler, Willi, 2010. "Broad Banking, Financial Markets and the Return of the Narrow Banking Idea," The Journal of Economic Asymmetries, Elsevier, vol. 7(2), pages 105-137.
    61. Michael Woodford, 2011. "Pośrednictwo finansowe i analiza makroekonomiczna," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 11-12, pages 109-139.

  28. Carlos Carvalho & Nicholas Klagge & Emanuel Moench, 2009. "The persistent effects of a false news shock," Staff Reports 374, Federal Reserve Bank of New York.

    Cited by:

    1. Peress, Joël, 2013. "The Media and the Diffusion of Information in Financial Markets: Evidence from Newspaper Strikes," CEPR Discussion Papers 9653, C.E.P.R. Discussion Papers.
    2. Yuriy Gorodnichenko & Tho Pham & Oleksandr Talavera, 2021. "The Voice of Monetary Policy," Discussion Papers 21-02, Department of Economics, University of Birmingham.
    3. Arcuri, Maria Cristina & Gandolfi, Gino & Russo, Ivan, 2023. "Does fake news impact stock returns? Evidence from US and EU stock markets," Journal of Economics and Business, Elsevier, vol. 125.
    4. Akyildirim, Erdinc & Corbet, Shaen & O'Connell, John F. & Sensoy, Ahmet, 2021. "The influence of aviation disasters on engine manufacturers: An analysis of financial and reputational contagion risks," International Review of Financial Analysis, Elsevier, vol. 74(C).
    5. Zhang, Hongwei & Hong, Huojun & Guo, Yaoqi & Yang, Cai, 2022. "Information spillover effects from media coverage to the crude oil, gold, and Bitcoin markets during the COVID-19 pandemic: Evidence from the time and frequency domains," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 267-285.
    6. Balyuk, Tetyana & Fedyk, Anastassia, 2023. "Divesting under Pressure: U.S. firms’ exit in response to Russia’s war against Ukraine," Journal of Comparative Economics, Elsevier, vol. 51(4), pages 1253-1273.
    7. Fabrizio Germano & Francesco Sobbrio, 2017. "Opinion Dynamics via Search Engines (and other Algorithmic Gatekeepers)," Working Papers 962, Barcelona School of Economics.
    8. Noha Alnazzawi & Najlaa Alsaedi & Fahad Alharbi & Najla Alaswad, 2022. "Using Social Media to Detect Fake News Information Related to Product Marketing: The FakeAds Corpus," Data, MDPI, vol. 7(4), pages 1-13, April.
    9. Akyildirim, Erdinc & Corbet, Shaen & Efthymiou, Marina & Guiomard, Cathal & O'Connell, John F. & Sensoy, Ahmet, 2020. "The financial market effects of international aviation disasters," International Review of Financial Analysis, Elsevier, vol. 69(C).
    10. Fedyk, Anastassia & Hodson, James, 2023. "When can the market identify old news?," Journal of Financial Economics, Elsevier, vol. 149(1), pages 92-113.
    11. Ambrocio, Gene & Hasan, Iftekhar, 2022. "Belief polarization and Covid-19," Bank of Finland Research Discussion Papers 10/2022, Bank of Finland.
    12. Peter Koudijs, 2013. "The boats that did not sail: Asset Price Volatility and Market Efficiency in a Natural Experiment," NBER Working Papers 18831, National Bureau of Economic Research, Inc.
    13. Jost, Peter J. & Pünder, Johanna & Schulze-Lohoff, Isabell, 2020. "Fake news - Does perception matter more than the truth?," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 85(C).
    14. Saif Ullah & Nadia Massoud & Barry Scholnick, 2014. "The Impact of Fraudulent False Information on Equity Values," Journal of Business Ethics, Springer, vol. 120(2), pages 219-235, March.
    15. Li, Qian & Wang, Jiamin & Bao, Liang, 2018. "Do institutions trade ahead of false news? Evidence from an emerging market," Journal of Financial Stability, Elsevier, vol. 36(C), pages 98-113.
    16. Shi, Qi & Ye, Yong & Zhao, Gang, 2023. "Speculation and clarification announcements on stock price fluctuations: Why are rumours plausible and hard to clarify?," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 473-487.
    17. Román Alejandro Mendoza Urdiales & Andrés García-Medina & José Antonio Nuñez Mora, 2021. "Measuring information flux between social media and stock prices with Transfer Entropy," PLOS ONE, Public Library of Science, vol. 16(9), pages 1-19, September.
    18. Aleksanyan, Mark & Danbolt, Jo & Siganos, Antonios & Wu, Betty (H.T.), 2022. "I only fear when I hear: How media affects insider trading in takeover targets," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 318-342.
    19. Ben R. Marshall & Nuttawat Visaltanachoti & Genevieve Cooper, 2014. "Sell the rumour, buy the fact?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 54(1), pages 237-249, March.

  29. Emanuel Moench & Serena Ng & Simon M. Potter, 2009. "Dynamic hierarchical factor models," Staff Reports 412, Federal Reserve Bank of New York.

    Cited by:

    1. Bresson, G. & Etienne, J-M. & Mohnen, P., 2014. "How important is innovation? : A Bayesian factor-augmented productivity model on panel data," MERIT Working Papers 2014-052, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
    2. Elena Andreou & Eric Ghysels & Andros Kourtellos, 2010. "Should macroeconomic forecasters use daily financial data and how?," University of Cyprus Working Papers in Economics 09-2010, University of Cyprus Department of Economics.
    3. Buch, Claudia M. & Eickmeier, Sandra & Prieto, Esteban, 2010. "Macroeconomic factors and micro-level bank risk," Discussion Paper Series 1: Economic Studies 2010,20, Deutsche Bundesbank.
    4. Neville Francis & Michael T. Owyang & Özge Savascin, 2012. "An endogenously clustered factor approach to international business cycles," Working Papers 2012-014, Federal Reserve Bank of St. Louis.
    5. Banica Logica & Stefan Liviu Cristian & Jurian Mariana, 2014. "Business Intelligence For Educational Purpose," Balkan Region Conference on Engineering and Business Education, Sciendo, vol. 1(1), pages 333-338, August.
    6. Hubrich, Kirstin & Marcellino, Massimiliano & Beck, Günter W., 2011. "On the importance of sectoral and regional shocks for price-setting," Working Paper Series 1334, European Central Bank.
    7. Koop, Gary & Korobilis, Dimitris, 2009. "UK Macroeconomic Forecasting with Many Predictors: Which Models Forecast Best and When Do They Do So?," SIRE Discussion Papers 2009-40, Scottish Institute for Research in Economics (SIRE).
    8. Filippo Ferroni & Benjamin Klaus, 2015. "Euro Area business cycles in turbulent times: convergence or decoupling?," Applied Economics, Taylor & Francis Journals, vol. 47(34-35), pages 3791-3815, July.
    9. Parker, Miles, 2017. "Global inflation: the role of food, housing and energy prices," Working Paper Series 2024, European Central Bank.
    10. Krzysztof Beck & Karen Jackson, 2024. "International trade fluctuations: Global versus regional factors," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 57(1), pages 331-358, February.
    11. Castle, Jennifer L. & Clements, Michael P. & Hendry, David F., 2013. "Forecasting by factors, by variables, by both or neither?," Journal of Econometrics, Elsevier, vol. 177(2), pages 305-319.
    12. Michael Kirker, 2010. "What drives core inflation? A dynamic factor model analysis of tradable and nontradable prices," Reserve Bank of New Zealand Discussion Paper Series DP2010/13, Reserve Bank of New Zealand.
    13. Beck, Guenter W. & Hubrich, Kirstin & Marcellino, Massimiliano, 2009. "On the importance of sectoral shocks for price-setting," CFS Working Paper Series 2009/32, Center for Financial Studies (CFS).
    14. Hosszú, Zsuzsanna, 2018. "The impact of credit supply shocks and a new Financial Conditions Index based on a FAVAR approach," Economic Systems, Elsevier, vol. 42(1), pages 32-44.
    15. Bai, Jushan & Wang, Peng, 2012. "Identification and estimation of dynamic factor models," MPRA Paper 38434, University Library of Munich, Germany.
    16. Stock, James H. & Watson, Mark, 2011. "Dynamic Factor Models," Scholarly Articles 28469541, Harvard University Department of Economics.
    17. Marcel Förster & Markus Jorra & Peter Tillmann, 2012. "The Dynamics of International Capital Flows: Results from a Dynamic Hierarchical Factor Model," MAGKS Papers on Economics 201221, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    18. Neville Francis & Eric Ghysels & Michael T. Owyang, 2011. "The low-frequency impact of daily monetary policy shocks," Working Papers 2011-009, Federal Reserve Bank of St. Louis.
    19. Nagayasu, Jun, 2013. "Interdependence in Real Effective Exchange Rates: Evidence from the Dynamic Hierarchical Factor Model," MPRA Paper 45955, University Library of Munich, Germany.
    20. Luca Margaritella & Joakim Westerlund, 2023. "Using information criteria to select averages in CCE," The Econometrics Journal, Royal Economic Society, vol. 26(3), pages 405-421.
    21. Chou, Ray Yeutien & Yen, Tso-Jung & Yen, Yu-Min, 2017. "Risk evaluations with robust approximate factor models," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 244-264.
    22. Hallin, Marc & Liska, Roman, 2011. "Dynamic factors in the presence of blocks," Journal of Econometrics, Elsevier, vol. 163(1), pages 29-41, July.

  30. Mackowiak, Bartosz & Wiederholt, Mirko & Moench, Emanuel, 2009. "Sectoral Price Data and Models of Price Setting," CEPR Discussion Papers 7339, C.E.P.R. Discussion Papers.

    Cited by:

    1. Mikael Carlsson & Oskar Nordstrom Skans, 2012. "Evaluating Microfoundations for Aggregate Price Rigidities: Evidence from Matched Firm-Level Data on Product Prices and Unit Labor Cost," American Economic Review, American Economic Association, vol. 102(4), pages 1571-1595, June.
    2. F. Alvarez & F. Lippi & L. Paciello, 2010. "Optimal price setting with observation and menu costs," 2010 Meeting Papers 478, Society for Economic Dynamics.
    3. Carlos Carvalho & Jae Won Lee, 2011. "Sectoral Price Facts in a Sticky-Price Model," Departmental Working Papers 201133, Rutgers University, Department of Economics.
    4. Smets, Frank & Maćkowiak, Bartosz, 2008. "On implications of micro price data for macro models," Working Paper Series 960, European Central Bank.
    5. Cristina Conflitti and Matteo Luciani, 2019. "Oil Price Pass-through into Core Inflation," The Energy Journal, International Association for Energy Economics, vol. 0(Number 6).
    6. Antonello D'Agostino & Domenico Giannone & Michele Lenza & Michele Modugno, 2015. "Nowcasting Business Cycles: a Bayesian Approach to Dynamic Heterogeneous Factor Models," Finance and Economics Discussion Series 2015-66, Board of Governors of the Federal Reserve System (U.S.).
    7. Nakov, Anton & Thomas, Carlos, 2014. "Optimal Monetary Policy with State-Dependent Pricing," CEPR Discussion Papers 9846, C.E.P.R. Discussion Papers.
    8. Grodzicki, Maciej J. & Skrzypek, Jurand, 2020. "Cost-competitiveness and structural change in value chains – vertically-integrated analysis of the European automotive sector," Structural Change and Economic Dynamics, Elsevier, vol. 55(C), pages 276-287.
    9. Emi Nakamura & Jón Steinsson, 2008. "Monetary Non-Neutrality in a Multi-Sector Menu Cost Model," NBER Working Papers 14001, National Bureau of Economic Research, Inc.
    10. Francesco Zanetti & Tatsushi Okuda & Tomohiro Tsuruga, 2019. "Imperfect Information, Shock Heterogeneity, and Inflation Dynamics," Economics Series Working Papers 881, University of Oxford, Department of Economics.
    11. Marios Zachariadis, 2012. "Global Versus Local Shocks in Micro Price Dynamics," 2012 Meeting Papers 66, Society for Economic Dynamics.
    12. Drakos, Konstantinos & Konstantinou, Panagiotis Th. & Thoma, Foteini-Anna, 2020. "Inflation uncertainty and inflation expectations: Micro-level evidence from the eurozone," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
    13. Föllmi, Reto & Minsch, Rudolf & Schnell, Fabian, 2016. "What Determines Price Changes and the Distribution of Prices? Evidence from the Swiss CPI," Economics Working Paper Series 1610, University of St. Gallen, School of Economics and Political Science.
    14. Chong, Terence Tai Leung & Zhu, Tingting & Rafiq, M.S., 2013. "Are Prices Sticky in Large Developing Economies? An Empirical Comparison of China and India," MPRA Paper 60985, University Library of Munich, Germany.
    15. Elena Deryugina & Natalia Karlova & Alexey Ponomarenko & Anna Tsvetkova, 2019. "The role of regional and sectoral factors in Russian inflation developments," Economic Change and Restructuring, Springer, vol. 52(4), pages 453-474, November.
    16. Bartosz Maćkowiak & Filip Matějka & Mirko Wiederholt, 2023. "Rational Inattention: A Review," SciencePo Working papers Main hal-03878692, HAL.
    17. Hubrich, Kirstin & Marcellino, Massimiliano & Beck, Günter W., 2011. "On the importance of sectoral and regional shocks for price-setting," Working Paper Series 1334, European Central Bank.
    18. Chong, Terence Tai Leung & Wu, Zhang, 2018. "Price Rigidity in China: Empirical Results at Home and Abroad," MPRA Paper 92013, University Library of Munich, Germany.
    19. Gee Hee Hong & Matthew Klepacz & Ernesto Pasten & Raphael Schoenle, 2021. "The Real Effects of Monetary Shocks: Evidence from Micro Pricing Moments," Working Papers 21-17, Federal Reserve Bank of Cleveland.
    20. Alessandro Cantelmo & Giovanni Melina, 2015. "Monetary Policy and the Relative Price of Durable Goods," CESifo Working Paper Series 5328, CESifo.
    21. David Berger & Ricardo Caballero & Eduardo Engel, 2017. "Missing Aggregate Dynamics: On the Slow Convergence of Lumpy Adjustment Models," Working Papers wp446, University of Chile, Department of Economics.
    22. Helena Marques & Gabriel Pino & J.D.Tena, 2009. "Regional inflation dynamics using space-time models," DEA Working Papers 40, Universitat de les Illes Balears, Departament d'Economía Aplicada.
    23. 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.
    24. Özmen, M. Utku & Tuğan, Mustafa, 2022. "Heterogeneity in sectoral price and quantity responses to shocks to monetary policy," Journal of Macroeconomics, Elsevier, vol. 73(C).
    25. Andrade Philippe & Coibion Olivier & Gautier Erwan & Gorodnichenko Yuriy, 2020. "No Firm Is an Island? How Industry Conditions Shape Firms’ Expectations," Working papers 780, Banque de France.
    26. Giovanni Lombardo & Peter McAdam, 2010. "Incorporating financial frictions into new-generation macro models," Research Bulletin, European Central Bank, vol. 9, pages 13-16.
    27. Huw Dixon & Jeremy Franklin & Stephen Millard, 2023. "Sectoral Shocks and Monetary Policy in the United Kingdom," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(4), pages 805-829, August.
    28. Tatsushi Okuda & Tomohiro Tsuruga & Francesco Zanetti, 2021. "Imperfect Information, Heterogeneous Demand Shocks,and Inflation Dynamics," Economics Series Working Papers 934, University of Oxford, Department of Economics.
    29. Michael Dotsey & Alexander L. Wolman, 2018. "Inflation and Real Activity with Firm Level Productivity Shocks," Working Papers 18-19, Federal Reserve Bank of Philadelphia.
    30. Costain, James & Nakov, Anton, 2011. "Distributional dynamics under smoothly state-dependent pricing," Working Paper Series 1333, European Central Bank.
    31. Jouchi Nakajima & Nao Sudo & Takayuki Tsuruga, 2010. "How well do the sticky price models explain the disaggregated price responses to aggregate technology and monetary policy shocks?," IMES Discussion Paper Series 10-E-22, Institute for Monetary and Economic Studies, Bank of Japan.
    32. Maćkowiak, Bartosz & Wiederholt, Mirko, 2011. "Business cycle dynamics under rational inattention," Working Paper Series 1331, European Central Bank.
    33. Emi Nakamura & Jón Steinsson, 2013. "Price Rigidity: Microeconomic Evidence and Macroeconomic Implications," Annual Review of Economics, Annual Reviews, vol. 5(1), pages 133-163, May.
    34. Aleksei Kiselev & Aleksandra Zhivaykina, 2019. "The role of global relative price changes in international comovement of inflation," Bank of Russia Working Paper Series wps53, Bank of Russia.
    35. Bouakez, Hafedh & Cardia, Emanuela & Ruge-Murcia, Francisco, 2014. "Sectoral price rigidity and aggregate dynamics," European Economic Review, Elsevier, vol. 65(C), pages 1-22.
    36. Waldyr D. Areosa, 2016. "What drives inflation expectations in Brazil? Public versus private information," Working Papers Series 418, Central Bank of Brazil, Research Department.
    37. Leonardo Melosi, 2017. "Signalling Effects of Monetary Policy," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 84(2), pages 853-884.
    38. De Graeve, Ferre & Walentin, Karl, 2011. "Refining Stylized Facts from Factor Models of Inflation," Working Paper Series 254, Sveriges Riksbank (Central Bank of Sweden), revised 01 Oct 2013.
    39. Kaufmann, Daniel & Lein, Sarah M., 2013. "Sticky prices or rational inattention – What can we learn from sectoral price data?," European Economic Review, Elsevier, vol. 64(C), pages 384-394.
    40. Peter Zorn, 2019. "Investment under Rational Inattention: Evidence from US Sectoral Data," 2019 Meeting Papers 577, Society for Economic Dynamics.
    41. Alex Nikolsko‐Rzhevskyy & Oleksandr Talavera & Nam Vu, 2023. "The flood that caused a drought," Economic Inquiry, Western Economic Association International, vol. 61(4), pages 965-981, October.
    42. Dixon, Huw & Franklin, Jeremy & Millard, Stephen, 2014. "Sectoral shocks and monetary policy in the United Kingdom," Bank of England working papers 499, Bank of England.
    43. Beck, Guenter W. & Hubrich, Kirstin & Marcellino, Massimiliano, 2009. "On the importance of sectoral shocks for price-setting," CFS Working Paper Series 2009/32, Center for Financial Studies (CFS).
    44. Leonardo Melosi, 2011. "Public's Inflation Expectations and Monetary Policy," 2011 Meeting Papers 1151, Society for Economic Dynamics.
    45. Frank Smets & Joris Tielens & Jan Van Hove, 2018. "Pipeline Pressures and Sectoral Inflation Dynamics," Working Paper Research 351, National Bank of Belgium.
    46. Hirokazu Ishise Nao Sudo, 2013. "Inventory‐Theoretic Money Demand and Relative Price Dynamics," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(2‐3), pages 299-326, March.
    47. Aleksandra Halka & Grzegorz Szafranski, 2018. "What Common Factors are Driving Inflation in CEE Countries?," Prague Economic Papers, Prague University of Economics and Business, vol. 2018(2), pages 131-148.
    48. Konchitchki, Yaniv & Xie, Jin, 2023. "Undisclosed material inflation risk," Journal of Monetary Economics, Elsevier, vol. 140(S), pages 82-100.
    49. Sushant Acharya, 2014. "Costly information, planning complementarities and the Phillips Curve," Staff Reports 698, Federal Reserve Bank of New York.
    50. Elena Deryugina & Alexey Ponomarenko, 2021. "Explaining the lead–lag pattern in the money–inflation relationship: a microsimulation approach," Journal of Evolutionary Economics, Springer, vol. 31(4), pages 1113-1128, September.
    51. Schenkelberg, Heike, 2011. "Why are Prices Sticky? Evidence from Business Survey Data," Discussion Papers in Economics 12158, University of Munich, Department of Economics.
    52. Jean Boivin & Robert Clark & Nicolas Vincent, 2010. "Virtual Borders: Online Nominal Rigidities and International Market Segmentation," NBER Working Papers 15642, National Bureau of Economic Research, Inc.
    53. Angela Maddaloni & José-Luis Peydró, 2010. "Bank lending standards and the origins and implications of the current banking crisis," Research Bulletin, European Central Bank, vol. 9, pages 6-9.
    54. Tim Willems, 2017. "Actively Learning by Pricing: A Model of an Experimenting Seller," Economic Journal, Royal Economic Society, vol. 127(604), pages 2216-2239, September.
    55. Fiorella De Fiore & Oreste Tristani, 2010. "Financial conditions and monetary policy," Research Bulletin, European Central Bank, vol. 9, pages 10-12.
    56. Sylvia Kaufmann & Markus Pape, 2023. "Bayesian (non-)unique sparse factor modelling," Working Papers 23.04, Swiss National Bank, Study Center Gerzensee.
    57. Gondhi, Naveen, 2023. "Rational inattention, misallocation, and the aggregate economy," Journal of Monetary Economics, Elsevier, vol. 136(C), pages 50-75.
    58. Mr. Roberto Piazza, 2018. "Is There a Phillips Curve? A Full Information Partial Equilibrium Approach," IMF Working Papers 2018/044, International Monetary Fund.
    59. Maćkowiak, Bartosz & Wiederholt, Mirko, 2015. "Inattention to rare events," Working Paper Series 1841, European Central Bank.
    60. Takeshi Yagihashi & David D. Selover, 2017. "How Do the Trans-Pacific Economies Affect the USA? An Industrial Sector Approach," The World Economy, Wiley Blackwell, vol. 40(10), pages 2097-2124, October.
    61. Choi, Chi-Young & O'Sullivan, Róisín, 2013. "Heterogeneous response of disaggregate inflation to monetary policy regime change: The role of price stickiness," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1814-1832.
    62. Francisco J. Ruge-Murcia & Alexander L. Wolman, 2022. "Relative Price Shocks and Inflation," Working Paper 22-07, Federal Reserve Bank of Richmond.
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    3. 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.
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    5. 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.
    6. 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.
    7. Moench, Emanuel & Soofi-Siavash, Soroosh, 2022. "What moves treasury yields?," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1016-1043.
    8. Pegoraro, F. & Siegel, A. F. & Tiozzo Pezzoli, L., 2014. "Specification Analysis of International Treasury Yield Curve Factors," Working papers 490, Banque de France.
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    10. 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.
    11. 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.
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    13. 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.
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    36. Eric Ghysels & Casidhe Horan & Emanuel Moench, 2018. "Forecasting through the Rearview Mirror: Data Revisions and Bond Return Predictability," The Review of Financial Studies, Society for Financial Studies, vol. 31(2), pages 678-714.
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    46. Richard K. Crump & Stefano Eusepi & Emanuel Moench & Bruce Preston, 2021. "The Term Structure of Expectations," Staff Reports 992, Federal Reserve Bank of New York.
    47. Passmore, Wayne & Temesvary, Judit, 2022. "How investor demands for safety influence bank capital and liquidity trade-offs," Journal of Financial Stability, Elsevier, vol. 60(C).
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    50. Gregor Boehl & Gavin Goy & Felix Strobel, 2020. "A Structural Investigation of Quantitative Easing," CRC TR 224 Discussion Paper Series crctr224_2020_193, University of Bonn and University of Mannheim, Germany.
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    271. Juneja, Januj, 2014. "Term structure estimation in the presence of autocorrelation," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 119-129.
    272. Thomas Allen & Stéphane Dees & Jean Boissinot & Carlos Mateo Caicedo Graciano & Valérie Chouard & Laurent Clerc & Annabelle de Gaye & Antoine Devulder & Sébastien Diot & Noémie Lisack & Fulvio Pegorar, 2020. "Climate-Related Scenarios for Financial Stability Assessment: an Application to France," Working papers 774, Banque de France.
    273. 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.
    274. Berardi, Andrea, 2023. "Term premia and short rate expectations in the euro area," Journal of Empirical Finance, Elsevier, vol. 74(C).
    275. Diego Aragon & Emanuel Moench & James Vickery, 2010. "Why is the market share of adjustable-rate mortgages so low?," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 16(Dec).
    276. Jang, Bosung & So, Inhwan & Tong, Eric, 2023. "US structural drivers of international portfolio returns," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    277. Frank J. Fabozzi & Francesco A. Fabozzi & Diana Tunaru, 2023. "A comparison of multi-factor term structure models for interbank rates," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 323-356, July.
    278. Andrew Blake & Garreth Rule & Ole Rummel, 2015. "Inflation targeting and term premia estimates for Latin America," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 24(1), pages 1-21, December.
    279. 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.).
    280. Rodrigo Alfaro & Marco Piña, 2021. "Estimates of the US Shadow-Rate," Working Papers Central Bank of Chile 923, Central Bank of Chile.
    281. Akkaya, Yildiz & Belfrage, Carl-Johan & Di Casola, Paola & Strid, Ingvar, 2023. "Effects of foreign and domestic central bank government bond purchases in a small open economy DSGE model: Evidence from Sweden before and during the coronavirus pandemic," Working Paper Series 421, Sveriges Riksbank (Central Bank of Sweden).
    282. Tsz-Kin Chung & Cho-Hoi Hui & Ka-Fai Li, 2015. "Term-Structure Modelling at the Zero Lower Bound: Implications for Estimating the Term Premium," Working Papers 212015, Hong Kong Institute for Monetary Research.
    283. Michael Callaghan, 2017. "Is the market always right? Improving federal funds rate forecasts by adjusting for the term premium," Reserve Bank of New Zealand Analytical Notes series AN2017/08, Reserve Bank of New Zealand.
    284. Robert Jarrow & Hao Li, 2014. "The impact of quantitative easing on the US term structure of interest rates," Review of Derivatives Research, Springer, vol. 17(3), pages 287-321, October.
    285. Leo Krippner & Michael Callaghan, 2016. "Short-term risk premiums and policy rate expectations in the United States," Reserve Bank of New Zealand Analytical Notes series AN2016/07, Reserve Bank of New Zealand.
    286. Paul Rudel & Peter Tillmann, 2018. "News Shock Spillovers: How the Euro Area Responds to Expected Fed Policy," MAGKS Papers on Economics 201832, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    287. Christos Ioannidis & Kook Ka, 2021. "Economic Policy Uncertainty and Bond Risk Premia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(6), pages 1479-1522, September.
    288. 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).
    289. Martin M. Andreasen & Kasper Jørgensen, 2016. "Explaining Asset Prices with Low Risk Aversion and Low Intertemporal Substitution," CREATES Research Papers 2016-16, Department of Economics and Business Economics, Aarhus University.

  32. Mönch, Emanuel, 2005. "Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach," Working Paper Series 544, European Central Bank.

    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. Thomas Laubach, 2010. "Fiscal Policy and Interest Rates: The Role of Sovereign Default Risk," NBER Chapters, in: NBER International Seminar on Macroeconomics 2010, pages 7-29, National Bureau of Economic Research, Inc.
    3. Matsumura, Marco & Moreira, Ajax & Vicente, José, 2011. "Forecasting the yield curve with linear factor models," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 237-243.
    4. 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.
    5. Tobias Adrian & Emanuel Moench, 2008. "Pricing the term structure with linear regressions," Staff Reports 340, Federal Reserve Bank of New York.
    6. Roberta Fiori & Simonetta Iannotti, 2010. "On the interaction between market and credit risk: a factor-augmented vector autoregressive (FAVAR) approach," Temi di discussione (Economic working papers) 779, Bank of Italy, Economic Research and International Relations Area.
    7. Carlo A. Favero & Linlin Niu & Luca Sala, 2007. "Term Structure Forecasting: No-arbitrage Restrictions vs. Large Information Set," Working Papers 318, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    8. Yvan Lengwiler & Prof. Dr. Carlos Lenz, 2008. "Intelligible Factors for the Yield Curve," Working Papers 2008-02, Swiss National Bank.
    9. Zagaglia, Paolo, 2010. "Macroeconomic factors and oil futures prices: A data-rich model," Energy Economics, Elsevier, vol. 32(2), pages 409-417, March.
    10. Adam Kucera & Michal Dvorak & Zlatuse Komarkova, 2017. "Decomposition of the Czech government bond yield curve," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2016/2017, chapter 0, pages 125-134, Czech National Bank.
    11. Yun, Jaeho, 2019. "Bond risk premia in a small open economy with volatile capital flows: The case of Korea," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 223-243.
    12. Mirko Abbritti & Salvatore Dell’Erba & Antonio Moreno & Sergio Sola, 2018. "Global Factors in the Term Structure of Interest Rates," International Journal of Central Banking, International Journal of Central Banking, vol. 14(2), pages 301-340, March.
    13. Atsushi Inoue & Barbara Rossi, 2019. "A New Approach to Measuring Economic Policy Shocks, with an Application to Conventional and Unconventional Monetary Policy," Working Papers 1082, Barcelona School of Economics.
    14. Chevallier, Julien, 2011. "Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model," Economic Modelling, Elsevier, vol. 28(1-2), pages 557-567, January.
    15. Backus, David & Zin, Stanley E. & Chernov, Mikhail & Zviadadze, Irina, 2013. "Monetary policy risk: Rules vs. discretion," CEPR Discussion Papers 9611, C.E.P.R. Discussion Papers.
    16. Francesco Audrino & Lorenzo Camponovo, 2013. "Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models," Papers 1312.1473, arXiv.org.
    17. Krishnan, C.N.V. & Ritchken, Peter H. & Thomson, James B., 2010. "Predicting credit spreads," Journal of Financial Intermediation, Elsevier, vol. 19(4), pages 529-563, October.
    18. Eric Ghysels & Casidhe Horan & Emanuel Moench, 2018. "Forecasting through the Rearview Mirror: Data Revisions and Bond Return Predictability," The Review of Financial Studies, Society for Financial Studies, vol. 31(2), pages 678-714.
    19. Vieira, Fausto & Fernandes, Marcelo & Chague, Fernando, 2017. "Forecasting the Brazilian yield curve using forward-looking variables," International Journal of Forecasting, Elsevier, vol. 33(1), pages 121-131.
    20. Molenaars, Tomas K. & Reinerink, Nick H. & Hemminga, Marcus A., 2013. "Forecasting the yield curve - Forecast performance of the dynamic Nelson-Siegel model from 1971 to 2008," MPRA Paper 61862, University Library of Munich, Germany.
    21. Alexei Onatski & Francisco Ruge‐Murcia, 2013. "Factor Analysis Of A Large Dsge Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(6), pages 903-928, September.
    22. Dauwe, Alexander & Moura, Marcelo L., 2011. "Forecasting the term structure of the Euro Market using Principal Component Analysis," Insper Working Papers wpe_233, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    23. Theophilos Papadimitriou & Periklis Gogas & Maria Matthaiou & Efthymia Chrysanthidou, 2014. "Yield curve and Recession Forecasting in a Machine Learning Framework," Working Paper series 32_14, Rimini Centre for Economic Analysis.
    24. Felix Geiger, 2009. "International Interest-Rate Risk Premia in Affine Term Structure Models," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim 316/2009, Department of Economics, University of Hohenheim, Germany.
    25. Yohei Yamamoto, 2012. "Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions," Global COE Hi-Stat Discussion Paper Series gd12-249, Institute of Economic Research, Hitotsubashi University.
    26. Yunjung Kim & Cheolbeom Park, 2020. "Are exchange rates disconnected from macroeconomic variables? Evidence from the factor approach," Empirical Economics, Springer, vol. 58(4), pages 1713-1747, April.
    27. Carlo A. Favero & Linlin Niu & Luca Sala, 2012. "Term Structure Forecasting: No‐Arbitrage Restrictions versus Large Information Set," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 31(2), pages 124-156, March.
    28. Choi, Ahjin & Kang, Kyu Ho, 2023. "Modeling the time-varying dynamic term structure of interest rates," Journal of Banking & Finance, Elsevier, vol. 153(C).
    29. Marco Shinobu Matsumura & Ajax Reynaldo Bello Moreira & José Valentim Machado Vicente, 2010. "Forecasting the Yield Curve with Linear Factor Models," Working Papers Series 223, Central Bank of Brazil, Research Department.
    30. Paolo Zagaglia, 2013. "Forecasting Long-Term Interest Rates with a General-Equilibrium Model of the Euro Area: What Role for Liquidity Services of Bonds?," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(4), pages 383-430, November.
    31. Paolo Zagaglia, 2011. "Forecasting Long-Term Interest Rates with a Dynamic General Equilibrium Model of the Euro Area: The Role of the Feedback," Working Paper series 19_11, Rimini Centre for Economic Analysis.
    32. Garcí­a, Juan Angel & Werner, Sebastian E. V., 2016. "Bond risk premia, macroeconomic factors and financial crisis in the euro area," Working Paper Series 1938, European Central Bank.
    33. Alex Mandilaras & Helen Popper, 2009. "Capital Flows, Capitalization, and Openness in Emerging East Asian Economies," Review of International Economics, Wiley Blackwell, vol. 17(4), pages 734-750, September.
    34. Eo, Yunjong & Kang, Kyu Ho, 2020. "The effects of conventional and unconventional monetary policy on forecasting the yield curve," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
    35. David Bolder & Yuliya Romanyuk, 2008. "Combining Canadian Interest-Rate Forecasts," Staff Working Papers 08-34, Bank of Canada.
    36. Wang, Weining & Yu, Lining & Wang, Bingling, 2020. "Tail Event Driven Factor Augmented Dynamic Model," IRTG 1792 Discussion Papers 2020-022, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    37. Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2012. "Forecasting government bond yields with large Bayesian vector autoregressions," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2026-2047.
    38. Joao F. Caldeira & Rangan Gupta & Tahir Suleman & Hudson S. Torrent, 2019. "Forecasting the Term Structure of Interest Rates of the BRICS: Evidence from a Nonparametric Functional Data Analysis," Working Papers 201911, University of Pretoria, Department of Economics.
    39. Koopman, Siem Jan & van der Wel, Michel, 2013. "Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model," International Journal of Forecasting, Elsevier, vol. 29(4), pages 676-694.
    40. Libo Yin & Liyan Han, 2016. "Macroeconomic impacts on commodity prices: China vs. the United States," Quantitative Finance, Taylor & Francis Journals, vol. 16(3), pages 489-500, March.
    41. Wali Ullah, 2020. "The arbitrage-free generalized Nelson–Siegel term structure model: Does a good in-sample fit imply better out-of-sample forecasts?," Empirical Economics, Springer, vol. 59(3), pages 1243-1284, September.
    42. Hokuto Ishii, 2019. "Forecasting Term Structure of Interest Rates in Japan," IJFS, MDPI, vol. 7(3), pages 1-35, July.
    43. Todd E. Clark & Michael W. McCracken, 2010. "Reality checks and nested forecast model comparisons," Working Papers 2010-032, Federal Reserve Bank of St. Louis.
    44. Yoshiyuki Suimon & Hiroki Sakaji & Kiyoshi Izumi & Hiroyasu Matsushima, 2020. "Autoencoder-Based Three-Factor Model for the Yield Curve of Japanese Government Bonds and a Trading Strategy," JRFM, MDPI, vol. 13(4), pages 1-21, April.
    45. Adam Traczyk, 2013. "Financial integration and the term structure of interest rates," Empirical Economics, Springer, vol. 45(3), pages 1267-1305, December.
    46. Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson†Siegel Models," Working Papers 639, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    47. Fausto Vieira & Fernando Chague, Marcelo Fernandes, 2016. "A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US," Working Papers, Department of Economics 2016_31, University of São Paulo (FEA-USP).
    48. Li, Jiahan & Chen, Weiye, 2014. "Forecasting macroeconomic time series: LASSO-based approaches and their forecast combinations with dynamic factor models," International Journal of Forecasting, Elsevier, vol. 30(4), pages 996-1015.
    49. Christensen, Jens H.E. & Diebold, Francis X. & Rudebusch, Glenn D., 2011. "The affine arbitrage-free class of Nelson-Siegel term structure models," Journal of Econometrics, Elsevier, vol. 164(1), pages 4-20, September.
    50. Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models," BAFFI CAREFIN Working Papers 19106, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    51. Andrea Ajello & Luca Benzoni & Olena Chyruk, 2012. "Core and 'Crust': Consumer Prices and the Term Structure of Interest Rates," Working Paper Series WP-2014-11, Federal Reserve Bank of Chicago.
    52. Fernandes, Marcelo & Nunes, Clemens & Reis, Yuri, 2021. "What Drives the Nominal Yield Curve in Brazil?," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 40(2), April.
    53. Halberstadt, Arne, 2015. "The term structure of interest rates and the macroeconomy: Learning about economic dynamics from a FAVAR," Discussion Papers 02/2015, Deutsche Bundesbank.
    54. Pang, Iris Ai Jao, 2010. "Were Fed’s active monetary policy actions necessary?," MPRA Paper 32496, University Library of Munich, Germany.
    55. Eriksen, Jonas N., 2017. "Expected Business Conditions and Bond Risk Premia," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(4), pages 1667-1703, August.
    56. Baskot, Bojan & Orsag, Silvije & Mikerevic, Dejan, 2018. "Yield Curve In Bosnia And Herzegovina: Financial And Macroeconomic Framework," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 9(1), pages 1-15.
    57. David Backus & Mikhail Chernov & Stanley E. Zin, 2013. "Identifying Taylor Rules in Macro-Finance Models," NBER Working Papers 19360, National Bureau of Economic Research, Inc.
    58. Caio Almeida & Kym Ardison & Daniela Kubudi & Axel Simonsen & José Vicente, 2018. "Forecasting Bond Yields with Segmented Term Structure Models," Journal of Financial Econometrics, Oxford University Press, vol. 16(1), pages 1-33.
    59. Gordon H. Dash & Nina Kajiji & Domenic Vonella, 2018. "The role of supervised learning in the decision process to fair trade US municipal debt," EURO Journal on Decision Processes, Springer;EURO - The Association of European Operational Research Societies, vol. 6(1), pages 139-168, June.
    60. Leo Krippner & Michelle Lewis, 2018. "Real-time forecasting with macro-finance models in the presence of a zero lower bound," Reserve Bank of New Zealand Discussion Paper Series DP2018/04, Reserve Bank of New Zealand.
    61. Pang, Iris Ai Jao, 2010. "Forecasting Hong Kong economy using factor augmented vector autoregression," MPRA Paper 32495, University Library of Munich, Germany.
    62. Ranik Raaen Wahlstrøm & Florentina Paraschiv & Michael Schürle, 2022. "A Comparative Analysis of Parsimonious Yield Curve Models with Focus on the Nelson-Siegel, Svensson and Bliss Versions," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 967-1004, March.
    63. Don H. Kim, 2009. "Challenges in macro-finance modeling," Review, Federal Reserve Bank of St. Louis, vol. 91(Sep), pages 519-544.
    64. Malik, Sheheryar & Meldrum, Andrew, 2016. "Evaluating the robustness of UK term structure decompositions using linear regression methods," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 85-102.
    65. Garcí­a, Juan Angel & Werner, Thomas, 2010. "Inflation risks and inflation risk premia," Working Paper Series 1162, European Central Bank.
    66. Marcellino, Massimiliano & Kapetanios, George & Carriero, Andrea, 2010. "Forecasting Government Bond Yields with Large Bayesian VARs," CEPR Discussion Papers 7796, C.E.P.R. Discussion Papers.
    67. Kyle E. Binder & Mohsen Pourahmadi & James W. Mjelde, 2020. "The role of temporal dependence in factor selection and forecasting oil prices," Empirical Economics, Springer, vol. 58(3), pages 1185-1223, March.
    68. Giuseppe Arbia & Michele Di Marcantonio, 2015. "Forecasting Interest Rates Using Geostatistical Techniques," Econometrics, MDPI, vol. 3(4), pages 1-28, November.
    69. Duangnate, Kannika & Mjelde, James W., 2017. "Comparison of data-rich and small-scale data time series models generating probabilistic forecasts: An application to U.S. natural gas gross withdrawals," Energy Economics, Elsevier, vol. 65(C), pages 411-423.
    70. Carlo A. Favero & Arie E. Gozluklu & Haoxi Yang, 2016. "Demographics and the Behavior of Interest Rates," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 64(4), pages 732-776, November.
    71. Bai, Jushan & Li, Kunpeng & Lu, Lina, 2014. "Estimation and inference of FAVAR models," MPRA Paper 60960, University Library of Munich, Germany.
    72. Stona, Filipe & Caldeira, João F., 2019. "Do U.S. factors impact the Brazilian yield curve? Evidence from a dynamic factor model," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 76-89.
    73. Lin-Yee Hin & Nikolai Dokuchaev, 2016. "Short Rate Forecasting Based On The Inference From The Cir Model For Multiple Yield Curve Dynamics," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 1-33, March.
    74. Ciccarelli, Matteo & Garcí­a, Juan Angel, 2009. "What drives euro area break-even inflation rates?," Working Paper Series 996, European Central Bank.
    75. Zagaglia, Paolo, 2009. "Forecasting with a DSGE Model of the term Structure of Interest Rates: The Role of the Feedback," Research Papers in Economics 2009:14, Stockholm University, Department of Economics.
    76. Marco Batarce, 2009. "Efectos de las Emisión de Bonos del Banco Central Sobre las Tasas de Interés," Working Papers Central Bank of Chile 551, Central Bank of Chile.
    77. Almeida, Caio & Faria, Adriano, 2014. "Forecasting the Brazilian Term Structure Using Macroeconomic Factors," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 34(1), March.
    78. Andrea Carriero & Raffaella Giacomini, 2011. "How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?," Post-Print hal-00844809, HAL.
    79. Monfort, A. & Renne, J-P., 2011. "Credit and liquidity risks in euro area sovereign yield curves," Working papers 352, Banque de France.
    80. Gaus, Eric & Sinha, Arunima, 2018. "What does the yield curve imply about investor expectations?," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 248-265.
    81. Audzeyeva, Alena & Fuertes, Ana-Maria, 2018. "On the predictability of emerging market sovereign credit spreads," Journal of International Money and Finance, Elsevier, vol. 88(C), pages 140-157.
    82. Guidolin, Massimo & Pedio, Manuela, 2019. "Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.
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    84. Kyle E. Binder & James W. Mjelde, 2018. "Projecting impacts of carbon dioxide emission reductions in the US electric power sector: evidence from a data-rich approach," Climatic Change, Springer, vol. 151(2), pages 143-155, November.
    85. Gerhart, Christoph & Lütkebohmert, Eva, 2020. "Empirical analysis and forecasting of multiple yield curves," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 59-78.
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  33. Uhlig, Harald & Mönch, Emanuel, 2004. "Towards a Monthly Business Cycle Chronology for the Euro Area," CEPR Discussion Papers 4377, C.E.P.R. Discussion Papers.

    Cited by:

    1. Berner, Anne & Bruns, Stephan B. & Moneta, Alessio & Stern, David I., 2021. "Do energy efficiency improvements reduce energy use? Empirical evidence on the economy-wide rebound effect in Europe and the United States," University of Göttingen Working Papers in Economics 422, University of Goettingen, Department of Economics.
    2. Bartosz Mackowiak, 2005. "What does the Bank of Japan do to East Asia?," SFB 649 Discussion Papers SFB649DP2005-059, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    3. El-Shagi, Makram & Jung, Alexander, 2015. "Does the Greenspan era provide evidence on leadership in the FOMC?," Journal of Macroeconomics, Elsevier, vol. 43(C), pages 173-190.
    4. El-Shagi, Makram & Kelly, Logan, 2019. "What can we learn from country-level liquidity in the EMU?," Journal of Financial Stability, Elsevier, vol. 42(C), pages 75-83.
    5. Uhrin, Gábor B. & Herwartz, Helmut, 2016. "Monetary policy shocks, set-identifying restrictions, and asset prices: A benchmarking approach for analyzing set-identified models," University of Göttingen Working Papers in Economics 295, University of Goettingen, Department of Economics.
    6. Uhlig, Harald, 1999. "What are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure," CEPR Discussion Papers 2137, C.E.P.R. Discussion Papers.
    7. Mönch, Emanuel, 2005. "Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach," Working Paper Series 544, European Central Bank.
    8. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Combination Schemes for Turning Point Predictions," Tinbergen Institute Discussion Papers 11-123/4, Tinbergen Institute.
    9. Jonas E. Arias & Dario Caldara & Juan F. Rubio-Ramirez, 2015. "The Systematic Component of Monetary Policy in SVARs: An Agnostic Identification Procedure," International Finance Discussion Papers 1131, Board of Governors of the Federal Reserve System (U.S.).
    10. Huang, Yu-Lieh, 2012. "Measuring business cycles: A temporal disaggregation model with regime switching," Economic Modelling, Elsevier, vol. 29(2), pages 283-290.

Articles

  1. Carlos Carvalho & Stefano Eusepi & Emanuel Moench & Bruce Preston, 2023. "Anchored Inflation Expectations," American Economic Journal: Macroeconomics, American Economic Association, vol. 15(1), pages 1-47, January.
    See citations under working paper version above.
  2. Hoffmann, Mathias & Moench, Emanuel & Pavlova, Lora & Schultefrankenfeld, Guido, 2022. "Would households understand average inflation targeting?," Journal of Monetary Economics, Elsevier, vol. 129(S), pages 52-66.
    See citations under working paper version above.
  3. Moench, Emanuel & Soofi-Siavash, Soroosh, 2022. "What moves treasury yields?," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1016-1043.
    See citations under working paper version above.
  4. Eric Ghysels & Casidhe Horan & Emanuel Moench, 2018. "Forecasting through the Rearview Mirror: Data Revisions and Bond Return Predictability," The Review of Financial Studies, Society for Financial Studies, vol. 31(2), pages 678-714.
    See citations under working paper version above.
  5. 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.
  6. Liu, Weiling & Moench, Emanuel, 2016. "What predicts US recessions?," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1138-1150.
    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. David O. Lucca & Emanuel Moench, 2015. "The Pre-FOMC Announcement Drift," Journal of Finance, American Finance Association, vol. 70(1), pages 329-371, February.
    See citations under working paper version above.
  9. 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.
  10. Emanuel Moench & Serena Ng & Simon Potter, 2013. "Dynamic Hierarchical Factor Model," The Review of Economics and Statistics, MIT Press, vol. 95(5), pages 1811-1817, December.
    See citations under working paper version above.
  11. 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.
    See citations under working paper version above.
  12. Emanuel Moench, 2012. "Term structure surprises: the predictive content of curvature, level, and slope," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(4), pages 574-602, June.

    Cited by:

    1. Antonello D'Agostino & Domenico Giannone & Michele Lenza & Michele Modugno, 2015. "Nowcasting Business Cycles: a Bayesian Approach to Dynamic Heterogeneous Factor Models," Finance and Economics Discussion Series 2015-66, Board of Governors of the Federal Reserve System (U.S.).
    2. Wellmann, Dennis & Trück, Stefan, 2018. "Factors of the term structure of sovereign yield spreads," Journal of International Money and Finance, Elsevier, vol. 81(C), pages 56-75.
    3. Atsushi Inoue & Barbara Rossi, 2019. "A New Approach to Measuring Economic Policy Shocks, with an Application to Conventional and Unconventional Monetary Policy," Working Papers 1082, Barcelona School of Economics.
    4. Aguiar-Conraria, Luís & Martins, Manuel M.F. & Soares, Maria Joana, 2012. "The yield curve and the macro-economy across time and frequencies," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1950-1970.
    5. Sensarma, Rudra & Bhattacharyya, Indranil, 2015. "Measuring monetary policy and its impact on the bond market of an emerging economy," MPRA Paper 81067, University Library of Munich, Germany.
    6. Hännikäinen, Jari, 2016. "When does the yield curve contain predictive power? Evidence from a data-rich environment," MPRA Paper 70489, University Library of Munich, Germany.
    7. Yifeng Yan & Ju'e Guo, 2015. "The Sovereign Yield Curve and the Macroeconomy in China," Pacific Economic Review, Wiley Blackwell, vol. 20(3), pages 415-441, August.
    8. Koopman, Siem Jan & van der Wel, Michel, 2013. "Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model," International Journal of Forecasting, Elsevier, vol. 29(4), pages 676-694.
    9. Fernandez-Perez, Adrian & Fernández-Rodríguez, Fernando & Sosvilla-Rivero, Simón, 2014. "The term structure of interest rates as predictor of stock returns: Evidence for the IBEX 35 during a bear market," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 21-33.
    10. Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson†Siegel Models," Working Papers 639, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    11. Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models," BAFFI CAREFIN Working Papers 19106, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    12. Kaya, Huseyin, 2013. "The yield curve and the macroeconomy: Evidence from Turkey," Economic Modelling, Elsevier, vol. 32(C), pages 100-107.
    13. Byrne, Joseph P. & Cao, Shuo & Korobilis, Dimitris, 2019. "Decomposing global yield curve co-movement," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 500-513.
    14. Gupta, Rangan & Risse, Marian & Volkman, David A. & Wohar, Mark E., 2019. "The role of term spread and pattern changes in predicting stock returns and volatility of the United Kingdom: Evidence from a nonparametric causality-in-quantiles test using over 250 years of data," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 391-405.
    15. Rui Chen & Jiri Svec & Maurice Peat, 2016. "Forecasting the Government Bond Term Structure in Australia," Australian Economic Papers, Wiley Blackwell, vol. 55(2), pages 99-111, June.
    16. Gräb, Johannes & Kostka, Thomas, 2018. "Predicting risk premia in short-term interest rates and exchange rates," Working Paper Series 2131, European Central Bank.
    17. Ferdinand Dreher & Johannes Gräb & Thomas Kostka, 2020. "From carry trades to curvy trades," The World Economy, Wiley Blackwell, vol. 43(3), pages 758-780, March.
    18. Argyropoulos, Efthymios & Tzavalis, Elias, 2016. "Forecasting economic activity from yield curve factors," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 293-311.
    19. Gerhart, Christoph & Lütkebohmert, Eva, 2020. "Empirical analysis and forecasting of multiple yield curves," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 59-78.
    20. 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.

  13. Emanuel Moench & Serena Ng, 2011. "A hierarchical factor analysis of U.S. housing market dynamics," Econometrics Journal, Royal Economic Society, vol. 14(1), pages 1-24, February.

    Cited by:

    1. Hideaki Hirata & M. Ayhan Kose & Christopher Otrok & Marco E. Terrones, 2012. "Global House Price Fluctuations: Synchronization and Determinants," NBER Chapters, in: NBER International Seminar on Macroeconomics 2012, pages 119-166, National Bureau of Economic Research, Inc.
    2. MeiChi Huang, 2022. "Time‐varying impacts of expectations on housing markets across hot and cold phases," International Finance, Wiley Blackwell, vol. 25(2), pages 249-265, August.
    3. Matteo Luciani, 2015. "Monetary Policy and the Housing Market: A Structural Factor Analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(2), pages 199-218, March.
    4. Manfred M. Fischer & Florian Huber & Michael Pfarrhofer & Petra Staufer‐Steinnocher, 2021. "The Dynamic Impact of Monetary Policy on Regional Housing Prices in the United States," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(4), pages 1039-1068, December.
    5. Marcin Jaskowski & Michael McAleer, 2018. "Spurious Cross-Sectional Dependence in Credit Spread Changes," Documentos de Trabajo del ICAE 2018-21, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    6. Olfa Kaabia & Ilyes Abid, 2012. "Theoretical Channels of International,Transmission During the Subprime Crisis to OCDE Countries: A FAVAR Model Under Bayesian Framework," Working Papers hal-04141045, HAL.
    7. MeiChi Huang, 2021. "Regime switches and permanent changes in impacts of housing risk factors on MSA‐level housing returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 310-342, January.
    8. Forni, Mario & Giovannelli, Alessandro & Lippi, Marco & Soccorsi, Stefano, 2016. "Dynamic Factor model with infinite dimensional factor space: forecasting," CEPR Discussion Papers 11161, C.E.P.R. Discussion Papers.
    9. Huang, MeiChi, 2018. "Time-varying diversification strategies: The roles of state-level housing assets in optimal portfolios," International Review of Economics & Finance, Elsevier, vol. 55(C), pages 145-172.
    10. Helmut Lütkepohl, 2014. "Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey," Discussion Papers of DIW Berlin 1351, DIW Berlin, German Institute for Economic Research.
    11. Cesa-Bianchi, Ambrogio, 2013. "Housing cycles and macroeconomic fluctuations: A global perspective," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 215-238.
    12. Shikha Gupta & Nand Kumar, 2022. "Globalization Versus Slowbalization: A Perspective on the Indian Economy," Journal of South Asian Development, , vol. 17(1), pages 84-107, April.
    13. Bai, Jushan & Ando, Tomohiro, 2013. "Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors," MPRA Paper 52785, University Library of Munich, Germany, revised Dec 2013.
    14. Andreou, Elena & Gagliardini, Patrick & Ghysels, Eric & Rubin, Mirco, 2017. "Is Industrial Production Still the Dominant Factor for the US Economy?," CEPR Discussion Papers 12219, C.E.P.R. Discussion Papers.
    15. MeiChi Huang, 2019. "Risk diversification gains from metropolitan housing assets," Review of Financial Economics, John Wiley & Sons, vol. 37(4), pages 453-481, October.
    16. Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," Working Papers halshs-02262202, HAL.
    17. MeiChi Huang, 2020. "A threshold unobserved components model of housing bubbles: timings and effectiveness of monetary policies," Empirical Economics, Springer, vol. 59(2), pages 887-908, August.
    18. Petre Caraiani & Rangan Gupta & Chi Keung Marco Lau & Hardik A. Marfatia, 2019. "Effects of Conventional and Unconventional Monetary Policy Shocks on Housing Prices in the United States: The Role of Sentiment," Working Papers 201953, University of Pretoria, Department of Economics.
    19. Dalibor Stevanovic, 2015. "Factor augmented autoregressive distributed lag models with macroeconomic applications," CIRANO Working Papers 2015s-33, CIRANO.
    20. Leiva-Leon Danilo, 2014. "Real vs. nominal cycles: a multistate Markov-switching bi-factor approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(5), pages 1-24, December.
    21. Ruben Hernandez-Murillo & Michael T. Owyang & Margarita Rubio, 2013. "Clustered housing cycles," Working Papers 2013-021, Federal Reserve Bank of St. Louis.
    22. Kirstin Hubrich, 2012. "Comment on "Global House Price Fluctuations: Synchronization and Determinants"," NBER Chapters, in: NBER International Seminar on Macroeconomics 2012, pages 167-173, National Bureau of Economic Research, Inc.
    23. Sakemoto, Ryuta, 2018. "Co-movement between equity and bond markets," International Review of Economics & Finance, Elsevier, vol. 53(C), pages 25-38.
    24. Olfa Kaabia & Ilyes Abid, 2012. "Theoretical Channels of International,Transmission During the Subprime Crisis to OCDE Countries : A FAVAR Model Under Bayesian Framework," EconomiX Working Papers 2012-40, University of Paris Nanterre, EconomiX.
    25. Sandro M. Reia & P. Suresh C. Rao & Marc Barthelemy & Satish V. Ukkusuri, 2022. "Spatial structure of city population growth," Nature Communications, Nature, vol. 13(1), pages 1-10, December.
    26. MeiChi Huang, 2019. "A Nationwide or Localized Housing Crisis? Evidence from Structural Instability in US Housing Price and Volume Cycles," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1547-1563, April.
    27. Valadkhani, Abbas, 2014. "Analysing interest rate mark-ups in the Australian mortgage market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 343-361.
    28. Shikong Luo & Alan Tidwell & Sherwood Clements, 2022. "Does Political Uncertainty Affect Residential Development?," The Journal of Real Estate Finance and Economics, Springer, vol. 65(4), pages 572-592, November.
    29. Marcel Förster & Markus Jorra & Peter Tillmann, 2012. "The Dynamics of International Capital Flows: Results from a Dynamic Hierarchical Factor Model," MAGKS Papers on Economics 201221, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    30. Michel van der Wel & Sait R. Ozturk & Dick van Dijk, 2015. "Dynamic Factor Models for the Volatility Surface," CREATES Research Papers 2015-13, Department of Economics and Business Economics, Aarhus University.
    31. Bai, Jushan & Ng, Serena, 2013. "Principal components estimation and identification of static factors," Journal of Econometrics, Elsevier, vol. 176(1), pages 18-29.
    32. Matteo Luciani, 2011. "Forecasting with Approximate Dynamic Factor Models: the Role of Non-Pervasive Shocks," Working Papers ECARES ECARES 2011‐022, ULB -- Universite Libre de Bruxelles.
    33. Joseph Fairchild & Jun Ma & Shu Wu, 2015. "Understanding Housing Market Volatility," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(7), pages 1309-1337, October.
    34. Sylvie Tchumtchoua & Dipak Dey, 2012. "Modeling Associations Among Multivariate Longitudinal Categorical Variables in Survey Data: A Semiparametric Bayesian Approach," Psychometrika, Springer;The Psychometric Society, vol. 77(4), pages 670-692, October.
    35. Heaton, Chris & Solo, Victor, 2012. "Estimation of high-dimensional linear factor models with grouped variables," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 348-367.
    36. Marcel Förster & Peter Tillmann, 2013. "Local Inflation: Reconsidering the International Comovement of Inflation," MAGKS Papers on Economics 201303, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    37. Marcel Förster & Peter Tillmann, 2014. "Reconsidering the International Comovement of Inflation," Open Economies Review, Springer, vol. 25(5), pages 841-863, November.
    38. MeiChi Huang, 2014. "Monetary policy implications of housing shift-contagion across regional markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(4), pages 589-608, October.

  14. Carvalho, Carlos & Klagge, Nicholas & Moench, Emanuel, 2011. "The persistent effects of a false news shock," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 597-615, September.
    See citations under working paper version above.
  15. Tobias Adrian & Emanuel Moench & Hyun Song Shin, 2010. "Macro Risk Premium and Intermediary Balance Sheet Quantities," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 58(1), pages 179-207, August.
    See citations under working paper version above.
  16. Diego Aragon & Emanuel Moench & James Vickery, 2010. "Why is the market share of adjustable-rate mortgages so low?," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 16(Dec).

    Cited by:

    1. Yi Wen & Xiaochuan Xing & Patrick Pintus, 2016. "Interest Rate Dynamics, Variable-Rate Loans, and the Business Cycle," 2016 Meeting Papers 293, Society for Economic Dynamics.
    2. Patrick A. Pintus & Yi Wen & Xiaochuan Xing, 2022. "The Inverted Leading Indicator Property and Redistribution Effect of the Interest Rate," AMSE Working Papers 2208, Aix-Marseille School of Economics, France.
    3. Andreas Fuster & James Vickery, 2015. "Securitization and the Fixed-Rate Mortgage," The Review of Financial Studies, Society for Financial Studies, vol. 28(1), pages 176-211.
    4. Oliner, Stephen D. & Peter, Tobias J. & Pinto, Edward J., 2020. "The Wealth Building Home Loan," Regional Science and Urban Economics, Elsevier, vol. 80(C).
    5. Adrien Auclert, 2017. "Monetary Policy and the Redistribution Channel," Working Papers 1706, Council on Economic Policies.
    6. Anna Grodecka‐Messi, 2019. "Subprime borrowers, securitization and the transmission of business cycles," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 52(4), pages 1600-1654, November.
    7. Cóndor Richard, 2019. "Measuring the cost of U.S. housing policy," Working Papers 2019-08, Banco de México.
    8. Campbell, John Y, 2014. "What Calls to ARMs? International Evidence on Interest Rates and the Choice of Adjustable Rate Mortgages," CEPR Discussion Papers 10117, C.E.P.R. Discussion Papers.
    9. Bing Chen & Frank P. Stafford, 2019. "A Farewell to ARMs or Ever Changing Market Segments?," The Journal of Real Estate Finance and Economics, Springer, vol. 59(4), pages 649-672, November.
    10. Bofinger, Peter & Ries, Mathias, 2017. "Excess saving and low interest rates: Theory and empirical evidence," CEPR Discussion Papers 12111, C.E.P.R. Discussion Papers.
    11. Masashi Saito & Yoshihiko Hogen, 2014. "Portfolio Rebalancing Following the Bank of Japan's Government Bond Purchases: Empirical Analysis Using Data on Bank Loans and Investment Flows," Bank of Japan Research Papers 14-06-19, Bank of Japan.
    12. Hancock, Diana & Passmore, Wayne, 2016. "Cost of funds indexed mortgage contracts with government-backed catastrophic insurance (COFI-Cats): A realistic alternative to the 30-year fixed-rate mortgage?," Journal of Economics and Business, Elsevier, vol. 84(C), pages 109-130.
    13. Patrick A. Pintus & Yi Wen & Xiaochuan Xing, 2015. "Interest Rate Dynamics, Variable-Rate Loan Contracts, and the Business Cycle," Working Papers 2015-32, Federal Reserve Bank of St. Louis.
    14. Davis, Morris A. & Van Nieuwerburgh, Stijn, 2015. "Housing, Finance, and the Macroeconomy," Handbook of Regional and Urban Economics, in: Gilles Duranton & J. V. Henderson & William C. Strange (ed.), Handbook of Regional and Urban Economics, edition 1, volume 5, chapter 0, pages 753-811, Elsevier.
    15. Jörg Clostermann & Franz Seitz, 2020. "Effektivverzinsung und Volatilität bei Finanzierung mit Zinsbindung und variablen Zinsen [Effective interest rates and volatility for fixed-rate and adjustable-rate mortages]," Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research), Springer;Gesellschaft für Immobilienwirtschaftliche Forschung e. V., vol. 6(1), pages 29-46, April.
    16. Michael Ehrmann & Michael Ziegelmeyer, 2017. "Mortgage Choice in the Euro Area: Macroeconomic Determinants and the Effect of Monetary Policy on Debt Burdens," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(2-3), pages 469-494, March.

  17. Maćkowiak, Bartosz & Moench, Emanuel & Wiederholt, Mirko, 2009. "Sectoral price data and models of price setting," Journal of Monetary Economics, Elsevier, vol. 56(S), pages 78-99.
    See citations under working paper version above.
  18. Moench, Emanuel, 2008. "Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach," Journal of Econometrics, Elsevier, vol. 146(1), pages 26-43, September.
    See citations under working paper version above.
  19. Emanuel Mönch & Harald Uhlig, 2005. "Towards a Monthly Business Cycle Chronology for the Euro Area," Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2005(1), pages 43-69.
    See citations under working paper version above.

Chapters

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