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Richard K. Crump

Citations

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

Blog mentions

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

    Mentioned in:

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

Wikipedia or ReplicationWiki mentions

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

    Mentioned in:

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

Working papers

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

    Cited by:

    1. Randal J. Verbrugge & Saeed Zaman, 2023. "The Hard Road to a Soft Landing: Evidence from a (Modestly) Nonlinear Structural Model," Working Papers 23-03, Federal Reserve Bank of Cleveland.
    2. Anis Foresto & Monique Reid & Jeffrey Rakgalakane, 2025. "State dependence of the Phillips curve what does this mean for monetary policy," Working Papers 11080, South African Reserve Bank.
    3. Faberman, R.Jason & Mueller, Andreas I. & Sahin, Aysegul, 2022. "Has the Willingness to Work Fallen during the Covid Pandemic?," CEPR Discussion Papers 17043, C.E.P.R. Discussion Papers.
    4. Ampudia, Miguel & Lombardi, Marco Jacopo & Renault, Théodore, 2024. "The wage-price pass-through across sectors: evidence from the euro area," Working Paper Series 2948, European Central Bank.
    5. Ángel Ubide, 2022. "The Inflation Surge of 2021–22: Scarcity of Goods and Commodities, Strong Labor Markets and Anchored Inflation Expectations," Intereconomics: Review of European Economic Policy, Springer;ZBW - Leibniz Information Centre for Economics;Centre for European Policy Studies (CEPS), vol. 57(2), pages 93-98, March.
    6. Furukawa, Kakuho & Hogen, Yoshihiko & Kido, Yosuke, 2025. "Labor market of regular workers in Japan: A perspective from job advertisement data," Journal of the Japanese and International Economies, Elsevier, vol. 75(C).
    7. Simon Smith & Allan Timmermann & Jonathan H. Wright, 2023. "Breaks in the Phillips Curve: Evidence from Panel Data," NBER Working Papers 31153, National Bureau of Economic Research, Inc.
    8. Divino, Jose Angelo & da Silva, Adriana Gomes, 2024. "Cash transfers and the Phillips curve: The case of Brazil during the pandemic," Structural Change and Economic Dynamics, Elsevier, vol. 71(C), pages 680-688.
    9. Gadi Barlevy & R. Jason Faberman & Bart Hobijn & Aysegul Sahin, 2023. "The Shifting Reasons for Beveridge-Curve Shifts," Working Paper Series WP 2023-38, Federal Reserve Bank of Chicago.
    10. Sakiru Adebola Solarin & Carmen Lafuente & Luis A. Gil-Alana & María Jesús González-Blanch, 2025. "Persistence in the Unemployment and Inflation Relationship. Evidence from 38 OECD Countries," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 16(1), pages 1236-1257, March.
    11. Jonathon Hazell & Stephan Hobler, 2024. "Do Deficits Cause Inflation? A High Frequency Narrative Approach," Discussion Papers 2439, Centre for Macroeconomics (CFM).
    12. Knut Are Aastveit & Hilde C. Bjørnland & Jamie L. Cross & Helene Olsen, 2024. "Unveiling inflation: Oil Shocks, Supply Chain Pressures, and Expectations," Working Papers No 05/2024, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    13. Hie Joo Ahn & Jeremy B. Rudd, 2024. "(Re-)Connecting Inflation and the Labor Market: A Tale of Two Curves," Finance and Economics Discussion Series 2024-050r1, Board of Governors of the Federal Reserve System (U.S.), revised 28 May 2025.
    14. Haschka, Rouven E., 2024. "Examining the New Keynesian Phillips Curve in the U.S.: Why has the relationship between inflation and unemployment weakened?," Research in Economics, Elsevier, vol. 78(4).

  2. Richard K. Crump & Nikolay Gospodinov & Ignacio Lopez Gaffney, 2024. "A Jackknife Variance Estimator for Panel Regressions," Staff Reports 1133, Federal Reserve Bank of New York.

    Cited by:

    1. Richard K. Crump & Nikolay Gospodinov & Ignacio Lopez Gaffney, 2024. "A Simple Diagnostic for Time-Series and Panel-Data Regressions," Staff Reports 1132, Federal Reserve Bank of New York.

  3. Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Yingjie Feng, 2024. "Nonlinear Binscatter Methods," Papers 2407.15276, arXiv.org.

    Cited by:

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

  4. Richard K. Crump & Marco Del Negro & Keshav Dogra & Pranay Gundam & Donggyu Lee & Ramya Nallamotu & Brian Pacula, 2023. "The New York Fed DSGE Model Perspective on the Lagged Effect of Monetary Policy," Liberty Street Economics 20231121b, Federal Reserve Bank of New York.

    Cited by:

    1. Bernardino Adão & Sandra Gomes & Laura Alpizar, 2025. "On how to assess the impact of monetary policy," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.

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

    Cited by:

    1. Nina Boyarchenko & Anna Kovner & Or Shachar, 2020. "It’s What You Say and What You Buy: A Holistic Evaluation of the Corporate Credit Facilities," Staff Reports 935, Federal Reserve Bank of New York.
    2. Nina Boyarchenko & Caren Cox & Richard K. Crump & Andrew Danzig & Anna Kovner & Or Shachar & Patrick Steiner, 2021. "COVID Response: The Primary and Secondary Corporate Credit Facilities," Staff Reports 986, Federal Reserve Bank of New York.

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

    Cited by:

    1. Jmaes McNeil, 2020. "Monetary policy and the term structure of Inflation expectations with information frictions," Working Papers daleconwp2020-07, Dalhousie University, Department of Economics.
    2. Schmeling, Maik & Schrimpf, Andreas & Steffensen, Sigurd A.M., 2022. "Monetary policy expectation errors," Journal of Financial Economics, Elsevier, vol. 146(3), pages 841-858.
    3. Farmer, Leland E & Nakamura, Emi & Steinsson, Jón, 2024. "Learning about the Long Run," Department of Economics, Working Paper Series qt0tn1s1hp, Department of Economics, Institute for Business and Economic Research, UC Berkeley.

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

    Cited by:

    1. William Ginn, 2024. "Agricultural fluctuations and global economic conditions," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 160(3), pages 1037-1056, August.
    2. Lenza, Michele & Cimadomo, Jacopo & Giannone, Domenico & Monti, Francesca & Sokol, Andrej, 2021. "Nowcasting with Large Bayesian Vector Autoregressions," CEPR Discussion Papers 15854, C.E.P.R. Discussion Papers.
    3. Anna Sznajderska & Alfred A. Haug, 2023. "Bayesian VARs of the U.S. economy before and during the pandemic," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 13(2), pages 211-236, June.
    4. Addie, Ron & Taranto, Aldo, 2024. "Economic Similarities and their Application to Inflation," EconStor Preprints 283286, ZBW - Leibniz Information Centre for Economics.

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

    Cited by:

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

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

    Cited by:

    1. Nina Boyarchenko & Anna Kovner & Or Shachar, 2020. "It’s What You Say and What You Buy: A Holistic Evaluation of the Corporate Credit Facilities," Staff Reports 935, Federal Reserve Bank of New York.

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

    Cited by:

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

  11. 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. Christiane Baumeister, 2021. "Measuring Market Expectations," NBER Working Papers 29232, National Bureau of Economic Research, Inc.
    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. 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.
    4. Ricardo Reis, 2020. "The People versus the Markets: A Parsimonious Model of Inflation Expectations," Discussion Papers 2033, Centre for Macroeconomics (CFM).
    5. Maryam Movahedifar & Hossein Hassani & Masoud Yarmohammadi & Mahdi Kalantari & Rangan Gupta, 2021. "A robust approach for outlier imputation: Singular Spectrum Decomposition," Working Papers 202164, University of Pretoria, Department of Economics.

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

    Cited by:

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

  13. Nina Boyarchenko & Richard K. Crump & Anna Kovner, 2020. "The Commercial Paper Funding Facility," Liberty Street Economics 20200515, Federal Reserve Bank of New York.

    Cited by:

    1. Breckenfelder, Johannes & Schepens, Glenn, 2025. "From purchases to exit: central bank interventions in corporate debt markets," Working Paper Series 3055, European Central Bank.

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

    Cited by:

    1. Del Negro, Marco & Lenza, Michele & Primiceri, Giorgio E. & Tambalotti, Andrea, 2020. "What’s up with the Phillips Curve?," Working Paper Series 2435, European Central Bank.
    2. Xin Scott Chen & Ali Jaffery & Guillaume Nolin & Karim Salhab & Peter Shannon & Subrata Sarker, 2020. "Assessing Global Potential Output Growth: October 2020," Discussion Papers 2020-10, Bank of Canada.
    3. Fatih Karahan & Benjamin Pugsley & Ayşegül Şahin, 2019. "Demographic origins of the startup deficit," Staff Reports 888, Federal Reserve Bank of New York.
    4. Janice C. Eberly & James H. Stock & Jonathan H. Wright, 2019. "The Federal Reserve’s Current Framework for Monetary Policy: A Review and Assessment," NBER Working Papers 26002, National Bureau of Economic Research, Inc.
    5. Bruce Fallick & Pawel Krolikowski, 2019. "Excess Persistence in Employment of Disadvantaged Workers," Working Papers 18-01R, Federal Reserve Bank of Cleveland.
    6. Robert E. Hall & Marianna Kudlyak, 2020. "The Inexorable Recoveries of Unemployment," NBER Working Papers 28111, National Bureau of Economic Research, Inc.
    7. Sengul, Gonul & Tasci, Murat, 2020. "Unemployment flows, participation, and the natural rate of unemployment: Evidence from turkey," Journal of Macroeconomics, Elsevier, vol. 64(C).
    8. Artem Vdovychenko, 2022. "Estimating the natural rate of unemployment for Ukraine," IHEID Working Papers 21-2022, Economics Section, The Graduate Institute of International Studies.
    9. Mary C. Daly, 2022. "This Time Is Different…Because We Are," Speech 93772, Federal Reserve Bank of San Francisco.
    10. Serdar Birinci & Kurt See & Shu Lin Wee, 2020. "Job Applications and Labor Market Flows," Working Papers 2020-023, Federal Reserve Bank of St. Louis, revised Jan 2023.
    11. Pascal Michaillat & Emmanuel Saez, 2019. "Beveridgean Unemployment Gap," Papers 1911.05271, arXiv.org, revised Nov 2021.
    12. Alexander Doser & Ricardo Nunes & Nikhil Rao & Viacheslav Sheremirov, 2023. "Inflation expectations and nonlinearities in the Phillips curve," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 453-471, June.
    13. James McNeil & Gregor W. Smith, 2023. "The All‐Gap Phillips Curve," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(2), pages 269-282, April.
    14. Ayşegül Şahin & Murat Tasci & Jin Yan, 2021. "Unemployment in the Time of COVID-19: A Flow-Based Approach to Real-time Unemployment Projections," Working Papers 21-25, Federal Reserve Bank of Cleveland.
    15. Venkata Raamasrinivas Mangapuram, 2022. "A Constant Gain Learning Explanation of U.S. Post War Inflation and Unemployment," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 20(3), pages 701-721, September.
    16. Sebastian Heise & Fatih Karahan & Ayşegül Şahin, 2020. "The Missing Inflation Puzzle: The Role of the Wage-Price Pass-Through," NBER Working Papers 27663, National Bureau of Economic Research, Inc.
    17. Bart Hobijn & Ayşegül Şahin, 2021. "Maximum Employment and the Participation Cycle," NBER Working Papers 29222, National Bureau of Economic Research, Inc.
    18. Ayşegül Şahin, 2021. "Comment on "Why Has the US Economy Recovered So Consistently from Every Recession in the Past 70 Years?"," NBER Chapters, in: NBER Macroeconomics Annual 2021, volume 36, pages 68-79, National Bureau of Economic Research, Inc.
    19. Canova, Fabio, 2020. "FAQ: How do I extract the output gap?," Working Paper Series 386, Sveriges Riksbank (Central Bank of Sweden).
    20. Saeed Zaman, 2021. "A Unified Framework to Estimate Macroeconomic Stars," Working Papers 21-23R2, Federal Reserve Bank of Cleveland, revised 31 May 2024.
    21. Kurt Graden Lunsford, 2020. "Recessions and the Trend in the US Unemployment Rate," Economic Commentary, Federal Reserve Bank of Cleveland, vol. 2021(01), pages 1-8, February.
    22. 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.
    23. Murasawa, Yasutomo, 2019. "Bayesian multivariate Beveridge--Nelson decomposition of I(1) and I(2) series with cointegration," MPRA Paper 91979, University Library of Munich, Germany.
    24. Kurt Graden Lunsford, 2023. "Business Cycles and Low-Frequency Fluctuations in the US Unemployment Rate," Working Papers 23-19, Federal Reserve Bank of Cleveland.
    25. Bruce Fallick & Christopher L. Foote, 2022. "The Impact of the Age Distribution on Unemployment: Evidence from US States," Working Papers 22-15, Federal Reserve Bank of Boston.
    26. Burger, John D. & Warnock, Francis E. & Warnock, Veronica Cacdac, 2022. "A natural level of capital flows," Journal of Monetary Economics, Elsevier, vol. 130(C), pages 1-16.
    27. Hie Joo Ahn & Bart Hobijn, 2023. "The Dual U.S. Labor Market Uncovered," Finance and Economics Discussion Series 2023-031, Board of Governors of the Federal Reserve System (U.S.).
    28. Francesco D'Amuri & Marta De Philippis & Elisa Guglielminetti & Salvatore Lo Bello, 2021. "Natural unemployment and activity rates: flow-based determinants and implications for price dynamics," Questioni di Economia e Finanza (Occasional Papers) 599, Bank of Italy, Economic Research and International Relations Area.
    29. D’Amuri, Francesco & De Philippis, Marta & Guglielminetti, Elisa & Lo Bello, Salvatore, 2022. "Slack and prices during Covid-19: Accounting for labor market participation," Labour Economics, Elsevier, vol. 75(C).
    30. Richard K. Crump & Christopher J. Nekarda & Nicolas Petrosky-Nadeau, 2020. "Unemployment Rate Benchmarks," Finance and Economics Discussion Series 2020-072, Board of Governors of the Federal Reserve System (U.S.).
    31. Christopher D. Cotton & Vaishali Garga, 2022. "The Role of Industrial Composition in Driving the Frequency of Price Change," Working Papers 22-9, Federal Reserve Bank of Boston.
    32. Canova, Fabio, 2020. "FAQ: How do I measure the Output gap?," CEPR Discussion Papers 14943, C.E.P.R. Discussion Papers.
    33. Simon Mongey & Giovanni L. Violante, 2020. "Macro Recruiting Intensity from Micro Data," Working Papers 2020-67, Princeton University. Economics Department..
    34. 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.
    35. Ahn, Hie Joo, 2023. "Duration structure of unemployment hazards and the trend unemployment rate," Journal of Economic Dynamics and Control, Elsevier, vol. 151(C).
    36. R. Jason Faberman & Andreas I. Mueller & Ayşegül Şahin* & Giorgio Topa, 2020. "The Shadow Margins of Labor Market Slack," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(S2), pages 355-391, December.
    37. Ayşegül Şahin & Murat Tasci, 2020. "The Unemployment Cost of COVID-19: How High and How Long?," Economic Commentary, Federal Reserve Bank of Cleveland, vol. 2020(09), May.
    38. Jan Eeckhout & Xi Weng, 2018. "The Technological Origins of the Decline in Labor Market Dynamism," 2018 Meeting Papers 1007, Society for Economic Dynamics.
    39. Peter D. Williams & Mr. Yasser Abdih & Emanuel Kopp, 2020. "Reading the Stars," IMF Working Papers 2020/136, International Monetary Fund.
    40. Richard K. Crump & Nikolay Gospodinov & Hunter Wieman, 2023. "Sparse Trend Estimation," Staff Reports 1049, Federal Reserve Bank of New York.
    41. Acharya, Sushant & Wee, Shu Lin, 2020. "On-the-job Search and the Productivity-Wage Gap," CEPR Discussion Papers 14430, C.E.P.R. Discussion Papers.
    42. James H. Stock & Mark W. Watson, 2020. "Slack and Cyclically Sensitive Inflation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(S2), pages 393-428, December.

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

    Cited by:

    1. Moench, Emanuel & Soofi-Siavash, Soroosh, 2022. "What moves treasury yields?," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1016-1043.
    2. Speck, Christian, 2023. "Pricing the Bund term structure with linear regressions – without an observable short rate," Discussion Papers 08/2023, Deutsche Bundesbank.
    3. Rebonato, Riccardo & Ronzani, Riccardo, 2021. "Is convexity efficiently priced? Evidence from international swap markets," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 392-413.

  16. Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Yingjie Feng, 2019. "Binscatter Regressions," Papers 1902.09615, arXiv.org, revised Jul 2024.

    Cited by:

    1. Stefano Eusepi & Giorgio Topa & Andrea Tambalotti & Richard Crump, 2016. "Subjective Intertemporal Substitution," 2016 Meeting Papers 83, Society for Economic Dynamics.
    2. Evan Starr & Brent Goldfarb, 2020. "Binned scatterplots: A simple tool to make research easier and better," Strategic Management Journal, Wiley Blackwell, vol. 41(12), pages 2261-2274, December.
    3. Raphael Brade, 2024. "Short-Term Events, Long-Term Friends? Freshman Orientation Peers and Academic Performance," CESifo Working Paper Series 11046, CESifo.

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

    Cited by:

    1. Joachim Freyberger & Andreas Neuhierl & Michael Weber & Michael Weber, 2018. "Dissecting Characteristics Nonparametrically," CESifo Working Paper Series 7187, CESifo.
    2. Chaieb, Ines & Langlois, Hugues & Scaillet, Olivier, 2021. "Factors and risk premia in individual international stock returns," Journal of Financial Economics, Elsevier, vol. 141(2), pages 669-692.
    3. Yu, Xiufan & Yao, Jiawei & Xue, Lingzhou, 2024. "Power enhancement for testing multi-factor asset pricing models via Fisher’s method," Journal of Econometrics, Elsevier, vol. 239(2).
    4. Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Yingjie Feng, 2019. "On binscatter," Staff Reports 881, Federal Reserve Bank of New York.
    5. Matias Cattaneo & Richard K. Crump & Weining Wang, 2024. "Beta-sorted portfolios," CeMMAP working papers 20/24, Institute for Fiscal Studies.
    6. Austin Pollok, 2025. "Predicting Realized Variance Out of Sample: Can Anything Beat The Benchmark?," Papers 2506.07928, arXiv.org.
    7. Jianyuan Zhong & Zhijian Xu & Saizhuo Wang & Xiangyu Wen & Jian Guo & Qiang Xu, 2024. "DSPO: An End-to-End Framework for Direct Sorted Portfolio Construction," Papers 2405.15833, arXiv.org.
    8. Guillaume Coqueret, 2022. "Characteristics-driven returns in equilibrium," Papers 2203.07865, arXiv.org.
    9. Kim, Junyong, 2024. "Zoom in on momentum," International Review of Financial Analysis, Elsevier, vol. 94(C).
    10. Ni, Xuanming & Zheng, Tiantian & Zhao, Huimin & Zhu, Shushang, 2023. "High-dimensional portfolio optimization based on tree-structured factor model," Pacific-Basin Finance Journal, Elsevier, vol. 81(C).
    11. Christophe J. GODLEWSKI & Katarzyna BYRKA-KITA & Renata GOLA & Jacek CYPRYJANSKI, 2022. "Silence is not golden anymore? Social media activity and stock market valuation in Europe," Working Papers of LaRGE Research Center 2022-04, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
    12. Saizhuo Wang & Hao Kong & Jiadong Guo & Fengrui Hua & Yiyan Qi & Wanyun Zhou & Jiahao Zheng & Xinyu Wang & Lionel M. Ni & Jian Guo, 2025. "QuantBench: Benchmarking AI Methods for Quantitative Investment," Papers 2504.18600, arXiv.org.
    13. Calice, Giovanni & Lin, Ming-Tsung, 2024. "Sovereign momentum currency returns," International Review of Financial Analysis, Elsevier, vol. 96(PB).
    14. Matias D. Cattaneo & Max H. Farrell & Yingjie Feng, 2018. "Large Sample Properties of Partitioning-Based Series Estimators," Papers 1804.04916, arXiv.org, revised Jun 2019.

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

    Cited by:

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

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

    Cited by:

    1. 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.
    2. Michael D. Bauer & Carolin Pflueger & Adi Sunderam, 2023. "Perceptions about Monetary Policy," Working Paper Series 2023-31, Federal Reserve Bank of San Francisco.
    3. Stefano Eusepi & Giorgio Topa & Andrea Tambalotti & Richard Crump, 2016. "Subjective Intertemporal Substitution," 2016 Meeting Papers 83, Society for Economic Dynamics.
    4. 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.
    5. Ehrmann, Michael & Hubert, Paul, 2023. "Information acquisition ahead of monetary policy announcements," Working Paper Series 2770, European Central Bank.
    6. 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.
    7. 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.
    8. Maćkowiak, Bartosz & Matějka, Filip & Wiederholt, Mirko, 2021. "Rational inattention: a review," Working Paper Series 2570, European Central Bank.
    9. An, Zidong & Zheng, Xinye, 2023. "Diligent forecasters can make accurate predictions despite disagreeing with the consensus," Economic Modelling, Elsevier, vol. 125(C).
    10. Heinisch, Katja & Scaramella, Fabio & Schult, Christoph, 2025. "Assumption errors and forecast accuracy: A partial linear instrumental variable and double machine learning approach," IWH Discussion Papers 6/2025, Halle Institute for Economic Research (IWH).
    11. Doina Chichernea & Kershen Huang & Alex Petkevich, 2019. "Does maturity matter? The case of treasury futures volume," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(10), pages 1301-1321, October.
    12. Jmaes McNeil, 2020. "Monetary policy and the term structure of Inflation expectations with information frictions," Working Papers daleconwp2020-07, Dalhousie University, Department of Economics.
    13. Camille Cornand & Paul Hubert, 2022. "Information Frictions Across Various Types of Inflation Expectations," Working papers 873, Banque de France.
    14. Zidong An & Salem Abo‐Zaid & Xuguang Simon Sheng, 2023. "Inattention and the impact of monetary policy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 623-643, June.
    15. Stephen J. Cole & Fabio Milani, 2020. "Heterogeneity in Individual Expectations, Sentiment, and Constant-Gain Learning," CESifo Working Paper Series 8343, CESifo.
    16. Yongchen Zhao, 2022. "Uncertainty and disagreement of inflation expectations: Evidence from household‐level qualitative survey responses," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 810-828, July.
    17. Glas, Alexander & Heinisch, Katja, 2021. "Conditional macroeconomic forecasts: Disagreement, revisions and forecast errors," IWH Discussion Papers 7/2021, Halle Institute for Economic Research (IWH).
    18. 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.
    19. Sebastian Link & Andreas Peichl & Oliver Pfäuti & Christopher Roth & Johannes Wohlfart, 2023. "Attention to the Macroeconomy," ECONtribute Discussion Papers Series 256, University of Bonn and University of Cologne, Germany.
    20. Camille Cornand & Paul Hubert, 2021. "Information frictions in inflation expectations among five types of economic agents," SciencePo Working papers Main halshs-03351632, HAL.
    21. Alessandro Barbera & Dora Xia & Sonya Zhu, 2023. "The term structure of inflation forecasts disagreement and monetary policy transmission," BIS Working Papers 1114, Bank for International Settlements.
    22. 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.
    23. Benhima, Kenza & Poilly, Céline, 2021. "Does demand noise matter? Identification and implications," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 278-295.
    24. Czudaj, Robert L., 2022. "Heterogeneity of beliefs and information rigidity in the crude oil market: Evidence from survey data," European Economic Review, Elsevier, vol. 143(C).
    25. Li, Huijing & Li, Hong & Lu, Lei & Theocharides, George & Xiong, Xiong, 2020. "Macro disagreement and international options markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
    26. 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.
    27. Tsiaplias, Sarantis, 2020. "Time-Varying Consumer Disagreement and Future Inflation," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
    28. 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.
    29. Chini, Emilio Zanetti, 2023. "Can we estimate macroforecasters’ mis-behavior?," Journal of Economic Dynamics and Control, Elsevier, vol. 149(C).
    30. Esady, Vania, 2022. "Real and nominal effects of monetary shocks under time-varying disagreement," Bank of England working papers 1007, Bank of England.
    31. Richard K. Crump & Stefano Eusepi & Emanuel Moench & Bruce Preston, 2025. "How Do We Learn About the Long Run?," Staff Reports 1150, Federal Reserve Bank of New York.
    32. Joseph P Byrne & Shuo Cao, 2024. "Decomposing Uncertainty in Macro-Finance Term Structure Models," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 14(3), pages 428-449.
    33. Park, Sunjin, 2022. "Heterogeneous beliefs in macroeconomic growth prospects and the carry risk premium," Journal of Banking & Finance, Elsevier, vol. 136(C).
    34. Richard K. Crump & Stefano Eusepi & Emanuel Moench & Bruce Preston, 2021. "The Term Structure of Expectations," Staff Reports 992, Federal Reserve Bank of New York.
    35. Glas, Alexander, 2020. "Five dimensions of the uncertainty–disagreement linkage," International Journal of Forecasting, Elsevier, vol. 36(2), pages 607-627.
    36. Kuang, Pei & Tang, Li & Zhang, Renbin & Zhang, Tongbin, 2022. "Forecast disagreement about long-run macroeconomic relationships," Journal of Economic Behavior & Organization, Elsevier, vol. 200(C), pages 371-387.
    37. Gabriel Caldas Montes & Paulo Henrique Lourenço Luna, 2022. "Do fiscal opacity, fiscal impulse, and fiscal credibility affect disagreement about economic growth forecasts? Empirical evidence from Brazil considering the period of political instability and presid," Review of Development Economics, Wiley Blackwell, vol. 26(4), pages 2356-2393, November.

  20. 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. Kliem, Martin & Meyer-Gohde, Alexander, 2017. "(Un)expected Monetary Policy Shocks and Term Premia," SFB 649 Discussion Papers 2017-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    2. Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2018. "Global trends in interest rates," Staff Reports 866, Federal Reserve Bank of New York.
    3. Michael D. Bauer & Glenn D. Rudebusch, 2019. "Interest Rates Under Falling Stars," Working Paper Series 2017-16, Federal Reserve Bank of San Francisco.
    4. 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.
    5. Arnoud Stevens & Joris Wauters, 2021. "Is euro area lowflation here to stay? Insights from a time‐varying parameter model with survey data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 566-586, August.
    6. Schupp, Fabian, 2020. "The (ir)relevance of the nominal lower bound for real yield curve analysis," Working Paper Series 2476, European Central Bank.
    7. 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.
    8. 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.
    9. Ethan Struby, 2018. "Macroeconomic Disagreement in Treasury Yields," Working Papers 2018-04, Carleton College, Department of Economics.
    10. 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.
    11. Bańbura, Marta & Leiva-León, Danilo & Menz, Jan-Oliver, 2021. "Do inflation expectations improve model-based inflation forecasts?," Discussion Papers 48/2021, Deutsche Bundesbank.
    12. NAKAJIMA, Jouchi, 2023. "Estimating trend inflation in a regime-switching Phillips curve," Discussion Paper Series 750, Institute of Economic Research, Hitotsubashi University.
    13. 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.
    14. Miranda-Agrippino, Silvia & Hacioglu Hoke, Sinem & Bluwstein, Kristina, 2019. "When creativity strikes: news shocks and business cycle fluctuations," Bank of England working papers 788, Bank of England.
    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. Magnus Dahlquist & Markus Ibert, 2024. "Equity Return Expectations and Portfolios: Evidence from Large Asset Managers," The Review of Financial Studies, Society for Financial Studies, vol. 37(6), pages 1887-1928.
    17. 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.
    18. Lucas Marc Fuhrer & Basil Guggenheim & Matthias Jüttner, 2019. "A survey-based estimation of the Swiss franc forward term premium," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 155(1), pages 1-18, December.
    19. 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.
    20. Halberstadt, Arne, 2021. "Decomposing the yield curve with linear regressions and survey information," Discussion Papers 27/2021, Deutsche Bundesbank.
    21. 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.
    22. Bruno Feunou & Jean-Sébastien Fontaine, 2021. "Debt-Secular Economic Changes and Bond Yields," Staff Working Papers 21-14, Bank of Canada.

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

    Cited by:

    1. Shi, Huai-Long & Zhou, Wei-Xing, 2022. "Factor volatility spillover and its implications on factor premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    2. Chen, Yu-Lun & Yang, J. Jimmy, 2021. "Trader positions in VIX futures," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 1-17.
    3. Md Akhtaruzzaman & Sabri Boubaker & Brian M Lucey & Ahmet Sensoy, 2021. "Is gold a hedge or a safe-haven asset in the COVID–19 crisis?," Post-Print hal-04998990, HAL.
    4. Jappelli, Ruggero & Lucke, Konrad & Pelizzon, Loriana, 2022. "Price and liquidity discovery in European sovereign bonds and futures," SAFE Working Paper Series 350, Leibniz Institute for Financial Research SAFE.
    5. Venmans, Frank, 2021. "The leverage anomaly in U.S. bank stock returns," LSE Research Online Documents on Economics 111907, London School of Economics and Political Science, LSE Library.
    6. Zhiguo He & Stefan Nagel & Zhaogang Song, 2020. "Treasury Inconvenience Yields during the COVID-19 Crisis," Working Papers 2020-79, Becker Friedman Institute for Research In Economics.
    7. Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2016. "Vulnerable growth," Staff Reports 794, Federal Reserve Bank of New York.
    8. Nektarios Aslanidis & Charlotte Christiansen & Christos S. Savva, 2021. "Quantile Risk–Return Trade-Off," JRFM, MDPI, vol. 14(6), pages 1-14, June.
    9. Tobias Adrian & Daniel Stackman & Erik Vogt, 2019. "Global Price of Risk and Stabilization Policies," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 67(1), pages 215-260, March.
    10. António Afonso & José Alves & Wojciech Grabowski & Sofia Monteiro, 2025. "Stock and Sovereign Returns Linkages: Time-Varying Causality and Extreme-Quantile Determinants," CESifo Working Paper Series 11667, CESifo.
    11. Piergiorgio Alessandri & Antonio Maria Conti & Fabrizio Venditti, 2017. "The financial stability dark side of monetary policy," Temi di discussione (Economic working papers) 1121, Bank of Italy, Economic Research and International Relations Area.
    12. Thorsten Lehnert, 2023. "Environmental policy and equity prices," PLOS ONE, Public Library of Science, vol. 18(7), pages 1-13, July.
    13. Alemany, Nuria & Aragó, Vicent & Salvador, Enrique, 2025. "Uncovering the risk-return trade-off through ridge regressions," Finance Research Letters, Elsevier, vol. 71(C).
    14. Richard K. Crump & Nikolay Gospodinov, 2019. "Deconstructing the yield curve," Staff Reports 884, Federal Reserve Bank of New York.
    15. Faten Ben Bouheni & Hassan Obeid & Elena Margarint, 2022. "Nonperforming loan of European Islamic banks over the economic cycle," Annals of Operations Research, Springer, vol. 313(2), pages 773-808, June.
    16. Joseph, Byrne & Sakemoto, Ryuta, 2020. "The Conditional Risk and Return Trade-Off on Currency Portfolios," MPRA Paper 99497, University Library of Munich, Germany.
    17. Andrieș, Alin Marius & Ongena, Steven & Sprincean, Nicu, 2021. "The COVID-19 Pandemic and Sovereign Bond Risk," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    18. Jorge M. Uribe, 2018. "“Scaling Down Downside Risk with Inter-Quantile Semivariances”," IREA Working Papers 201826, University of Barcelona, Research Institute of Applied Economics, revised Oct 2018.
    19. Richard K. Crump & Domenico Giannone & Sean Hundtofte, 2018. "Changing Risk-Return Profiles," Liberty Street Economics 20181004, Federal Reserve Bank of New York.
    20. Daniel Andrei & Bruce Carlin & Michael Hasler, 2019. "Asset Pricing with Disagreement and Uncertainty About the Length of Business Cycles," Management Science, INFORMS, vol. 67(6), pages 2900-2923, June.
    21. Petar Sabtchevsky & Paul Whelan & Andrea Vedolin & Philippe Mueller, 2017. "Variance Risk Premia on Stocks and Bonds," 2017 Meeting Papers 1161, Society for Economic Dynamics.
    22. Ana González-Urteaga & Belén Nieto & Gonzalo Rubio, 2022. "Spillover dynamics effects between risk-neutral equity and Treasury volatilities," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 13(4), pages 663-708, December.
    23. Martin Hodula & Milan Szabo & Josef Bajzik, 2022. "Retail Fund Flows and Performance: Insights from Supervisory Data," Working Papers 2022/10, Czech National Bank, Research and Statistics Department.
    24. Bansal, Naresh & Stivers, Chris, 2022. "Bond risk’s role in the equity risk-return tradeoff," Journal of Financial Markets, Elsevier, vol. 60(C).
    25. Chan Joshua C.C. & Fry-McKibbin Renée A. & Hsiao Cody Yu-Ling, 2019. "A regime switching skew-normal model of contagion," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(1), pages 1-24, February.
    26. Chiah, Mardy & Tian, Xiao & Zhong, Angel, 2022. "Lockdown and retail trading in the equity market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 33(C).
    27. 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).
    28. Xiang, Yun & He, Jiaxuan, 2022. "Pairs trading and asset pricing," Pacific-Basin Finance Journal, Elsevier, vol. 72(C).
    29. 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.
    30. Hassan, M. Kabir & Djajadikerta, Hadrian Geri & Choudhury, Tonmoy & Kamran, Muhammad, 2022. "Safe havens in Islamic financial markets: COVID-19 versus GFC," Global Finance Journal, Elsevier, vol. 54(C).
    31. Bodilsen, Simon & Eriksen, Jonas N. & Grønborg, Niels S., 2021. "Asset pricing and FOMC press conferences," Journal of Banking & Finance, Elsevier, vol. 128(C).
    32. Hsu, Chih-Hsiang & Lee, Hsiu-Chuan & Lien, Donald, 2020. "Stock market uncertainty, volatility connectedness of financial institutions, and stock-bond return correlations," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 600-621.
    33. Nakagawa, Kei & Sakemoto, Ryuta, 2022. "Market uncertainty and correlation between Bitcoin and Ether," Finance Research Letters, Elsevier, vol. 50(C).
    34. Adrian, Tobias & , & Shin, Hyun Song, 2016. "Dynamic Leverage Asset Pricing," CEPR Discussion Papers 11466, C.E.P.R. Discussion Papers.
    35. Naresh Bansal & Robert A. Connolly & Chris Stivers, 2022. "Beta and size equity premia following a high‐VIX threshold," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1491-1517, August.
    36. 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).
    37. 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.
    38. 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.
    39. Janus, Jakub, 2022. "Cross-border flights to safe assets in bond markets: evidence from emerging market economies," MPRA Paper 113875, University Library of Munich, Germany.
    40. Janus, Jakub, 2023. "Flights to safe assets in bond markets: Evidence from emerging market economies," Journal of International Money and Finance, Elsevier, vol. 139(C).
    41. Zeng, Ting & Yang, Mengying & Shen, Yifan, 2020. "Fancy Bitcoin and conventional financial assets: Measuring market integration based on connectedness networks," Economic Modelling, Elsevier, vol. 90(C), pages 209-220.
    42. Cheema, Muhammad A. & Faff, Robert & Szulczyk, Kenneth R., 2022. "The 2008 global financial crisis and COVID-19 pandemic: How safe are the safe haven assets?," International Review of Financial Analysis, Elsevier, vol. 83(C).
    43. Semeyutin, Artur & Downing, Gareth, 2022. "Co-jumps in the U.S. interest rates and precious metals markets and their implications for investors," International Review of Financial Analysis, Elsevier, vol. 81(C).
    44. Tobias Adrian & Michael J. Fleming & Erik Vogt, 2017. "The Evolution of Treasury Market Liquidity: Evidence from 30 Years of Limit Order Book Data," Staff Reports 827, Federal Reserve Bank of New York.
    45. Conrad, Christian & Stuermer, Karin, 2017. "On the economic determinants of optimal stock-bond portfolios: international evidence," Working Papers 0636, University of Heidelberg, Department of Economics.
    46. Lei, Heng & Xue, Minggao & Liu, Huiling & Ye, Jing, 2023. "Precious metal as a safe haven for global ESG stocks: Portfolio implications for socially responsible investing," Resources Policy, Elsevier, vol. 80(C).
    47. Thomas M. Eisenbach & Gregory Phelan, 2022. "Fragility of Safe Asset Markets," Staff Reports 1026, Federal Reserve Bank of New York.
    48. Lehnert, Thorsten, 2022. "Flight-to-safety and retail investor behavior," International Review of Financial Analysis, Elsevier, vol. 81(C).
    49. Liu, Xiaochun, 2017. "Unfolded risk-return trade-offs and links to Macroeconomic Dynamics," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 1-19.
    50. Chung, Chien-Ping & Liao, Tzu-Hsiang & Lee, Hsiu-Chuan, 2021. "Volatility spillovers of A- and B-shares for the Chinese stock market and its impact on the Chinese index returns," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).

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

    Cited by:

    1. Francesco D’Acunto & Daniel Hoang & Michael Weber, 2016. "The Effect of Unconventional Fiscal Policy on Consumption Expenditure," NBER Working Papers 22563, National Bureau of Economic Research, Inc.
    2. Francesco D’Acunto & Daniel Hoang & Maritta Paloviita & Michael Weber, 2019. "IQ, Expectations, and Choice," NBER Working Papers 25496, National Bureau of Economic Research, Inc.
    3. Lena Dräger & Michael J. Lamla, 2024. "Consumers' macroeconomic expectations," Journal of Economic Surveys, Wiley Blackwell, vol. 38(2), pages 427-451, April.
    4. Olivier Coibion & Yuriy Gorodnichenko & Tiziano Ropele, 2018. "Inflation Expectations and Firm Decisions: New Causal Evidence," NBER Working Papers 25412, National Bureau of Economic Research, Inc.
    5. Georgarakos, Dimitris & Kim, Kwang Hwan & Coibion, Olivier & Shim, Myungkyu & Lee, Myunghwan Andrew & Gorodnichenko, Yuriy & Kenny, Geoff & Han, Seowoo & Weber, Michael, 2025. "How Costly Are Business Cycle Volatility and Inflation? A Vox Populi Approach," IZA Discussion Papers 17675, Institute of Labor Economics (IZA).
    6. Philippe Andrade & Erwan Gautier & Eric Mengus, 2021. "What Matters in Households' Inflation Expectations?," CESifo Working Paper Series 9005, CESifo.
    7. Lena Dräger, 2023. "Central Bank Communication with the General Public," CESifo Working Paper Series 10713, CESifo.
    8. D'Acunto, Francesco & Malmendier, Ulrike M. & Weber, Michael, 2022. "What Do the Data Tell Us About Inflation Expectations?," CEPR Discussion Papers 17094, C.E.P.R. Discussion Papers.
    9. Acharya, Viral & Crosignani, Matteo & Eisert, Tim & Eufinger, Christian, 2023. "How do supply shocks to inflation generalize? Evidence from the pandemic era in Europe," CEPR Discussion Papers 18530, C.E.P.R. Discussion Papers.
    10. Cato, Misina & Schmidt, Tobias, 2023. "Households' expectations and regional COVID-19 dynamics," Discussion Papers 02/2023, Deutsche Bundesbank.
    11. Alistair Macaulay & Chenchuan Shi, 2025. "Ambiguity Aversion, Portfolio Choice, and Life Expectancy," School of Economics Discussion Papers 0425, School of Economics, University of Surrey.
    12. Francesco D’Acunto & Daniel Hoang & Michael Weber, 2020. "Managing Households' Expectations with Unconventional Policies," NBER Working Papers 27399, National Bureau of Economic Research, Inc.
    13. Carola Binder & Rupal Kamdar & Jane M. Ryngaert, 2024. "Partisan Expectations and COVID-Era Inflation," NBER Working Papers 32650, National Bureau of Economic Research, Inc.
    14. Ioana A. Duca & Geoff Kenny & Andreas Reuter, 2019. "Inflation Expectations, Consumption and the Lower Bound: Micro Evidence from a Large Euro Area Survey," European Economy - Discussion Papers 092, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    15. Giacomo Corneo, 2025. "Economic Growth and Imperialism," CESifo Working Paper Series 11797, CESifo.
    16. Dietrich, Alexander M., 2023. "Consumption categories, household attention, and inflation expectations: Implications for optimal monetary policy," University of Tübingen Working Papers in Business and Economics 157, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics.
    17. Weber, Michael & Gorodnichenko, Yuriy & Coibion, Olivier, 2022. "The Expected, Perceived, and Realized Inflation of U.S. Households before and during the COVID19 Pandemic," CEPR Discussion Papers 16930, C.E.P.R. Discussion Papers.
    18. Striani, Fabrizio, 2023. "Life-cycle consumption and life insurance: Empirical evidence from Italian Survey," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 619(C).
    19. Coibion, Olivier & Georgarakos, Dimitris & Gorodnichenko, Yuriy & Kenny, Geoff & Weber, Michael, 2021. "The Effect of Macroeconomic Uncertainty on Household Spending," IZA Discussion Papers 14213, Institute of Labor Economics (IZA).
    20. D'Acunto, Francesco & Hoang, Daniel & Weber, Michael, 2018. "Unconventional fiscal policy," Working Paper Series in Economics 114, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
    21. Lena Dräger & Giang Nghiem, 2016. "Are Consumers’ Spending Decisions in Line With an Euler Equation?," Working Papers 1802, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz, revised 26 Jan 2018.
    22. Ángelo Gutiérrez-Daza, 2024. "Business Cycles when Consumers Learn by Shopping," Working Papers 2024-12, Banco de México.
    23. Dmitri V. Vinogradov & Michael J. Lamla & Yousef Makhlouf, 2024. "Survey-based expectations and uncertainty attitudes," Working Papers 2024_02, Business School - Economics, University of Glasgow.
    24. Daniel R. Carroll & Eric Young, 2017. "Neoclassical Inequality," Working Papers 14-32R2, Federal Reserve Bank of Cleveland.
    25. Piccolo, Jessica & Gorodnichenko, Yuriy, 2025. "Homeownership and Attention to Inflation: Evidence from Information Treatments," IZA Discussion Papers 17770, Institute of Labor Economics (IZA).
    26. 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.
    27. Olivier Armantier & Gizem Koşar & Rachel Pomerantz & Daphne Skandalis & Kyle Smith & Giorgio Topa & Wilbert Van der Klaauw, 2020. "How Economic Crises Affect Inflation Beliefs: Evidence from the COVID-19 Pandemic," Staff Reports 949, Federal Reserve Bank of New York.
    28. Luo, Yulei & Nie, Jun & Wang, Haijun, 2022. "Ignorance, pervasive uncertainty, and household finance," Journal of Economic Theory, Elsevier, vol. 199(C).
    29. Marenčák, Michal & Nghiem, Giang, 2025. "Elasticity of intertemporal substitution in the euro area," Journal of Economic Behavior & Organization, Elsevier, vol. 229(C).
    30. Coibion, Olivier & Gorodnichenko, Yuriy & Weber, Michael, 2025. "The cost of the COVID-19 crisis: Lockdowns, macroeconomic expectations, and consumer spending," Journal of Economic Behavior & Organization, Elsevier, vol. 229(C).
    31. Schlag, Christian & Thimme, Julian & Weber, Rüdiger, 2021. "Implied volatility duration: A measure for the timing of uncertainty resolution," Journal of Financial Economics, Elsevier, vol. 140(1), pages 127-144.
    32. Lieb, Lenard & Schuffels, Johannes, 2019. "Inflation expectations and consumer spending: the role of household balance sheets," Research Memorandum 022, Maastricht University, Graduate School of Business and Economics (GSBE).
    33. Dräger, Lena & Gründler, Klaus & Potrafke, Niklas, 2025. "Political shocks and inflation expectations: Evidence from the 2022 Russian invasion of Ukraine," Journal of International Economics, Elsevier, vol. 153(C).
    34. Djuric, Uros & Neugart, Michael, 2017. "Helicopter money: survey evidence on expectation formation and consumption behavior," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168062, Verein für Socialpolitik / German Economic Association.
    35. D'Acunto, Francesco & Hoang, Daniel & Paloviita, Maritta & Weber, Michael, 2021. "Human frictions in the transmission of economic policy," Bank of Finland Research Discussion Papers 12/2021, Bank of Finland.
    36. Luis Armona & Andreas Fuster & Basit Zafar, 2019. "Home Price Expectations and Behaviour: Evidence from a Randomized Information Experiment," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 86(4), pages 1371-1410.
    37. Francesco D'Acunto & Daniel Hoang & Michael Weber & Michael Weber, 2016. "Unconventional Fiscal Policy, Inflation Expectations, and Consumption Expenditure," CESifo Working Paper Series 5793, CESifo.
    38. Euiyoung Jung, 2021. "Rigid Wages, Endogenous Job Destruction, and Destabilizing Spirals," Working Papers halshs-03213006, HAL.
    39. Niizeki, Takeshi & Hori, Masahiro, 2023. "Inflation expectations and household expenditure: Evidence from pseudo-panel data in Japan," Journal of Economic Behavior & Organization, Elsevier, vol. 214(C), pages 308-324.
    40. Antonio Cutanda & Juan A. Sanchis, 2024. "Labour Supply Status and Intertemporal Behaviour: Evidence from Spanish panel data," Working Papers 2408, Department of Applied Economics II, Universidad de Valencia.
    41. David Staines, 2023. "Stochastic Equilibrium the Lucas Critique and Keynesian Economics," Papers 2312.16214, arXiv.org, revised Jun 2024.
    42. Meeks, Roland & Monti, Francesca, 2023. "Heterogeneous beliefs and the Phillips curve," Journal of Monetary Economics, Elsevier, vol. 139(C), pages 41-54.
    43. Luo, Yulei & Nie, Jun & Wang, Gaowang & Young, Eric R., 2017. "Rational inattention and the dynamics of consumption and wealth in general equilibrium," Journal of Economic Theory, Elsevier, vol. 172(C), pages 55-87.
    44. Euiyoung Jung, 2021. "Rigid Wages, Endogenous Job Destruction, and Destabilizing Spirals," PSE Working Papers halshs-03213006, HAL.
    45. Michal Marencak, 2023. "State-dependent inflation expectations and consumption choices," Working and Discussion Papers WP 10/2023, Research Department, National Bank of Slovakia.
    46. Dimitris Georgarakos & Yuriy Gorodnichenko & Olivier Coibion & Geoff Kenny, 2024. "The Causal Effects of Inflation Uncertainty on Households' Beliefs and Actions," NBER Working Papers 33014, National Bureau of Economic Research, Inc.
    47. Corneo, Giacomo, 2024. "Economic growth and imperialism," Discussion Papers 2024/5, Free University Berlin, School of Business & Economics.
    48. Lena Dräger & Klaus Gründler & Niklas Potrafke, 2025. "Peer Effects in Macroeconomic Expectations," CESifo Working Paper Series 11892, CESifo.
    49. 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.
    50. Pedro Gonzalez-Fernandez & Ciril Bosch-Rosa & Thomas Meissner, 2024. "Direct Elicitation of Parametric Belief Distributions: An application to inflation expectations," Berlin School of Economics Discussion Papers 0048, Berlin School of Economics.
    51. Yuliya Rychalovska & Sergey Slobodyan & Rafael Wouters, 2023. "Professional Survey Forecasts and Expectations in DSGE Models," CERGE-EI Working Papers wp766, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    52. McCloud, Nadine, 2024. "What has inflation targeting done for household consumption?," International Review of Financial Analysis, Elsevier, vol. 95(PC).

  23. 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. 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).
    2. 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.
    3. 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.
    4. 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.
    5. Tobias Adrian & Daniel Stackman & Erik Vogt, 2019. "Global Price of Risk and Stabilization Policies," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 67(1), pages 215-260, March.
    6. Stefano Giglio & Bryan Kelly & Serhiy Kozak, 2024. "Equity Term Structures without Dividend Strips Data," Journal of Finance, American Finance Association, vol. 79(6), pages 4143-4196, December.
    7. Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Ernst Schaumburg, 2018. "Characteristic-Sorted Portfolios: Estimation and Inference," Papers 1809.03584, arXiv.org, revised Oct 2019.
    8. Siddhartha Chib & Simon C. Smith, 2024. "Factor Selection and Structural Breaks," Finance and Economics Discussion Series 2024-037, Board of Governors of the Federal Reserve System (U.S.).
    9. Bruce E. Hansen, 2018. "Johansen’s Reduced Rank Estimator Is GMM," Econometrics, MDPI, vol. 6(2), pages 1-9, May.
    10. Peter Van Tassel, 2017. "Global Variance Term Premia and Intermediary Risk Appetite," 2017 Meeting Papers 149, Society for Economic Dynamics.
    11. Joseph, Byrne & Sakemoto, Ryuta, 2020. "The Conditional Risk and Return Trade-Off on Currency Portfolios," MPRA Paper 99497, University Library of Munich, Germany.
    12. Pearlean Chadha & Jenny Berrill, 2025. "The Indirect Diversification Benefits of Investing in Japanese Firms: An Alternative Perspective," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 32(1), pages 117-145, March.
    13. Gabor Pinter, 2018. "Macroeconomic Shocks and Risk Premia," Discussion Papers 1812, Centre for Macroeconomics (CFM).
    14. Matias Cattaneo & Richard K. Crump & Weining Wang, 2024. "Beta-sorted portfolios," CeMMAP working papers 20/24, Institute for Fiscal Studies.
    15. Valentin Haddad & Serhiy Kozak & Shrihari Santosh, 2017. "Predicting Relative Returns," NBER Working Papers 23886, National Bureau of Economic Research, Inc.
    16. Richard K. Crump & Nikolay Gospodinov & Ignacio Lopez Gaffney, 2024. "A Jackknife Variance Estimator for Panel Regressions," Staff Reports 1133, Federal Reserve Bank of New York.
    17. J. Benson Durham, 2013. "Arbitrage-free models of stocks and bonds," Staff Reports 656, Federal Reserve Bank of New York.
    18. 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.
    19. Nikolay Gospodinov, 2017. "Asset Co-movements: Features and Challenges," FRB Atlanta Working Paper 2017-11, Federal Reserve Bank of Atlanta.
    20. Stefan Behrendt, 2017. "Low Long-Term Interest Rates - An alternative View," Jena Economics Research Papers 2017-001, Friedrich-Schiller-University Jena.
    21. Claudio Borio & Piti Disyatat & Phurichai Rungcharoenkitkul, 2019. "What anchors for the natural rate of interest?," BIS Working Papers 777, Bank for International Settlements.
    22. Smith, Simon C. & Timmermann, Allan, 2022. "Have risk premia vanished?," Journal of Financial Economics, Elsevier, vol. 145(2), pages 553-576.
    23. Yuxin Liu & Jimin Lin & Achintya Gopal, 2024. "NeuralBeta: Estimating Beta Using Deep Learning," Papers 2408.01387, arXiv.org, revised Oct 2024.
    24. Uddin, Ajim & Tao, Xinyuan & Yu, Dantong, 2023. "Attention based dynamic graph neural network for asset pricing," Global Finance Journal, Elsevier, vol. 58(C).
    25. Baltzer, Markus & Koehl, Alexandra & Reitz, Stefan, 2019. "Procyclical leverage in Europe and its role in asset pricing," Discussion Papers 10/2019, Deutsche Bundesbank.
    26. 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).
    27. Sakemoto, Ryuta, 2019. "Currency carry trades and the conditional factor model," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 198-208.
    28. Cai, Zongwu & Juhl, Ted, 2023. "The distribution of rolling regression estimators," Journal of Econometrics, Elsevier, vol. 235(2), pages 1447-1463.
    29. 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.
    30. Hui Chen & Winston Wei Dou & Leonid Kogan, 2024. "Measuring “Dark Matter” in Asset Pricing Models," Journal of Finance, American Finance Association, vol. 79(2), pages 843-902, April.
    31. Adrian, Tobias & , & Shin, Hyun Song, 2016. "Dynamic Leverage Asset Pricing," CEPR Discussion Papers 11466, C.E.P.R. Discussion Papers.
    32. 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).
    33. Wan, Runzhe & Li, Yingying & Lu, Wenbin & Song, Rui, 2024. "Mining the factor zoo: Estimation of latent factor models with sufficient proxies," Journal of Econometrics, Elsevier, vol. 239(2).
    34. Taylor, Alan M. & Davis, Josh & Fuenzalida, Cristian, 2019. "The Natural Rate Puzzle: Global Macro Trends and the Market-Implied r," CEPR Discussion Papers 14201, C.E.P.R. Discussion Papers.
    35. Ludovit Odor & Pavol Povala, 2016. "Risk Premiums in Slovak Government Bonds," Discussion Papers Discussion Paper No. 3/20, Council for Budget Responsibility.
    36. 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.
    37. Chadha, Pearlean & Berrill, Jenny, 2024. "International operations and international influences – Investing in UK firms," International Review of Economics & Finance, Elsevier, vol. 96(PB).
    38. Liao Zhu, 2021. "The Adaptive Multi-Factor Model and the Financial Market," Papers 2107.14410, arXiv.org, revised Aug 2021.
    39. 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.
    40. Andrew Paskaramoorthy & Terence van Zyl & Tim Gebbie, 2025. "The bias of IID resampled backtests for rolling-window mean-variance portfolios," Papers 2505.06383, arXiv.org.
    41. 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.
    42. 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.

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

    Cited by:

    1. Ricco, Giovanni & Callegari, Giovanni & Cimadomo, Jacopo, 2016. "Signals from the government: Policy disagreement and the transmission of fiscal shocks," Journal of Monetary Economics, Elsevier, vol. 82(C), pages 107-118.
    2. Adrian Buss & Bernard Dumas & Raman Uppal & Grigory Vilkov, 2016. "The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis," Carlo Alberto Notebooks 449, Collegio Carlo Alberto.
    3. Pedersen, Michael, 2019. "Anomalies in macroeconomic prediction errors–evidence from Chilean private forecasters," International Journal of Forecasting, Elsevier, vol. 35(3), pages 1100-1107.
    4. 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. Montes, Gabriel Caldas & Luna, Paulo Henrique, 2018. "Discretionary fiscal policy and disagreement in expectations about fiscal variables empirical evidence from Brazil," Economic Modelling, Elsevier, vol. 73(C), pages 100-116.
    6. Hoffmann, Mathias & Hürtgen, Patrick, 2016. "Inflation expectations, disagreement, and monetary policy," Discussion Papers 31/2016, Deutsche Bundesbank.
    7. 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.
    8. Daniel Andrei & Bruce Carlin & Michael Hasler, 2014. "Model Disagreement and Economic Outlook," NBER Working Papers 20190, National Bureau of Economic Research, Inc.

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

    Cited by:

    1. 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.
    2. Michael D. Bauer & Carolin Pflueger & Adi Sunderam, 2023. "Perceptions about Monetary Policy," Working Paper Series 2023-31, Federal Reserve Bank of San Francisco.
    3. 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).
    4. 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.
    5. Stefano Eusepi & Giorgio Topa & Andrea Tambalotti & Richard Crump, 2016. "Subjective Intertemporal Substitution," 2016 Meeting Papers 83, Society for Economic Dynamics.
    6. 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.
    7. Ricco, Giovanni & Miranda-Agrippino, Silvia, 2018. "The Transmission of Monetary Policy Shocks," CEPR Discussion Papers 13396, C.E.P.R. Discussion Papers.
    8. Montes, Gabriel Caldas & do Nascimento Valladares, Matheus, 2024. "The effects of economic uncertainty and economic policy uncertainty on banks’ loan loss provision in Brazil," Journal of Economics and Business, Elsevier, vol. 131(C).
    9. 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.
    10. Bulut, Mustafa & Karasoy, Hatice Gökçe, 2016. "Para Politikası Belirsizliği Altında Aktarım Mekanizması: Türkiye Örneği [Transmission Mechanism Under Monetary Policy Uncertainty: The Case of Turkey]," MPRA Paper 71215, University Library of Munich, Germany.
    11. 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.
    12. Philippe Andrade & Erwan Gautier & Eric Mengus, 2021. "What Matters in Households' Inflation Expectations?," CESifo Working Paper Series 9005, CESifo.
    13. Ehrmann, Michael & Hubert, Paul, 2023. "Information acquisition ahead of monetary policy announcements," Working Paper Series 2770, European Central Bank.
    14. Falck, Elisabeth & Hoffmann, Mathias & Hürtgen, Patrick, 2017. "Disagreement and monetary policy," Discussion Papers 29/2017, Deutsche Bundesbank.
    15. 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.
    16. Adrian Buss & Bernard Dumas & Raman Uppal & Grigory Vilkov, 2016. "The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis," Carlo Alberto Notebooks 449, Collegio Carlo Alberto.
    17. 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.
    18. 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.
    19. Ding Dong & Zheng Liu & Pengfei Wang & Min Wei, 2024. "Inflation Disagreement Weakens the Power of Monetary Policy," Finance and Economics Discussion Series 2024-094, Board of Governors of the Federal Reserve System (U.S.).
    20. Maćkowiak, Bartosz & Matějka, Filip & Wiederholt, Mirko, 2021. "Rational inattention: a review," Working Paper Series 2570, European Central Bank.
    21. An, Zidong & Zheng, Xinye, 2023. "Diligent forecasters can make accurate predictions despite disagreeing with the consensus," Economic Modelling, Elsevier, vol. 125(C).
    22. Simone Alfarano & Eva Camacho-Cuena & Annarita Colasante & Alba Ruiz-Buforn, 2024. "The effect of time-varying fundamentals in learning-to-forecast experiments," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 19(4), pages 619-647, October.
    23. Beqiraj, Elton & Di Bartolomeo, Giovanni & Di Pietro, Marco, 2019. "Beliefs formation and the puzzle of forward guidance power," Journal of Macroeconomics, Elsevier, vol. 60(C), pages 20-32.
    24. Heinisch, Katja & Scaramella, Fabio & Schult, Christoph, 2025. "Assumption errors and forecast accuracy: A partial linear instrumental variable and double machine learning approach," IWH Discussion Papers 6/2025, Halle Institute for Economic Research (IWH).
    25. Doina Chichernea & Kershen Huang & Alex Petkevich, 2019. "Does maturity matter? The case of treasury futures volume," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(10), pages 1301-1321, October.
    26. Sushant Acharya, 2014. "Costly information, planning complementarities and the Phillips Curve," Staff Reports 698, Federal Reserve Bank of New York.
    27. G. C. Montes & L. V. Oliveira & A. Curi & R. T. F. Nicolay, 2016. "Effects of transparency, monetary policy signalling and clarity of central bank communication on disagreement about inflation expectations," Applied Economics, Taylor & Francis Journals, vol. 48(7), pages 590-607, February.
    28. Jmaes McNeil, 2020. "Monetary policy and the term structure of Inflation expectations with information frictions," Working Papers daleconwp2020-07, Dalhousie University, Department of Economics.
    29. Camille Cornand & Paul Hubert, 2022. "Information Frictions Across Various Types of Inflation Expectations," Working papers 873, Banque de France.
    30. Conrad, Christian & Lahiri, Kajal, 2024. "Heterogeneous Expectations among Professional Forecasters," Working Papers 0754, University of Heidelberg, Department of Economics.
    31. Zidong An & Salem Abo‐Zaid & Xuguang Simon Sheng, 2023. "Inattention and the impact of monetary policy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 623-643, June.
    32. Stephen J. Cole & Fabio Milani, 2020. "Heterogeneity in Individual Expectations, Sentiment, and Constant-Gain Learning," CESifo Working Paper Series 8343, CESifo.
    33. Yongchen Zhao, 2022. "Uncertainty and disagreement of inflation expectations: Evidence from household‐level qualitative survey responses," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 810-828, July.
    34. Glas, Alexander & Heinisch, Katja, 2021. "Conditional macroeconomic forecasts: Disagreement, revisions and forecast errors," IWH Discussion Papers 7/2021, Halle Institute for Economic Research (IWH).
    35. Glas, Alexander & Heinisch, Katja, 2023. "Conditional macroeconomic survey forecasts: Revisions and errors," Journal of International Money and Finance, Elsevier, vol. 138(C).
    36. 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.
    37. Pedersen, Michael, 2019. "Anomalies in macroeconomic prediction errors–evidence from Chilean private forecasters," International Journal of Forecasting, Elsevier, vol. 35(3), pages 1100-1107.
    38. 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.
    39. 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.
    40. Beckmann, Joscha & Reitz, Stefan, 2020. "Information rigidities and exchange rate expectations," Journal of International Money and Finance, Elsevier, vol. 105(C).
    41. Sebastian Link & Andreas Peichl & Oliver Pfäuti & Christopher Roth & Johannes Wohlfart, 2023. "Attention to the Macroeconomy," ECONtribute Discussion Papers Series 256, University of Bonn and University of Cologne, Germany.
    42. Camille Cornand & Paul Hubert, 2021. "Information frictions in inflation expectations among five types of economic agents," SciencePo Working papers Main halshs-03351632, HAL.
    43. Alessandro Barbera & Dora Xia & Sonya Zhu, 2023. "The term structure of inflation forecasts disagreement and monetary policy transmission," BIS Working Papers 1114, Bank for International Settlements.
    44. Leonardo Melosi, 2012. "Signaling effects of monetary policy," Working Paper Series WP-2012-05, Federal Reserve Bank of Chicago.
    45. 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.
    46. 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.
    47. Šauer, Radek, 2016. "The imperfect-common-knowledge Phillips curve: Calvo versus Rotemberg," Discussion Papers 50/2016, Deutsche Bundesbank.
    48. Benhima, Kenza & Poilly, Céline, 2021. "Does demand noise matter? Identification and implications," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 278-295.
    49. Czudaj, Robert L., 2022. "Heterogeneity of beliefs and information rigidity in the crude oil market: Evidence from survey data," European Economic Review, Elsevier, vol. 143(C).
    50. Li, Huijing & Li, Hong & Lu, Lei & Theocharides, George & Xiong, Xiong, 2020. "Macro disagreement and international options markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
    51. López-Salido, David & Loria, Francesca, 2024. "Inflation at risk," Journal of Monetary Economics, Elsevier, vol. 145(S).
    52. Saskia ter Ellen & Willem F.C. Verschoor & Remco C.J. Zwinkels, 2016. "Agreeing on disagreement: heterogeneity or uncertainty?," Working Paper 2016/4, Norges Bank.
    53. Berge, Travis J. & Chang, Andrew C. & Sinha, Nitish R., 2019. "Evaluating the conditionality of judgmental forecasts," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1627-1635.
    54. 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.
    55. Tsiaplias, Sarantis, 2020. "Time-Varying Consumer Disagreement and Future Inflation," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
    56. 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.
    57. Chini, Emilio Zanetti, 2023. "Can we estimate macroforecasters’ mis-behavior?," Journal of Economic Dynamics and Control, Elsevier, vol. 149(C).
    58. Snehal Banerjee & Jesse Davis & Naveen Gondhi, 2024. "Choosing to Disagree: Endogenous Dismissiveness and Overconfidence in Financial Markets," Journal of Finance, American Finance Association, vol. 79(2), pages 1635-1695, April.
    59. 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.
    60. 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.
    61. Detmers, Gunda-Alexandra, 2016. "Forward guidance under disagreement: Evidence from the Fed's dot projections," SFB 649 Discussion Papers 2016-041, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    62. Dovern, Jonas & Hartmann, Matthias, 2016. "Forecast Performance, Disagreement, and Heterogeneous Signal-to-Noise Ratios," Working Papers 0611, University of Heidelberg, Department of Economics.
    63. Esady, Vania, 2022. "Real and nominal effects of monetary shocks under time-varying disagreement," Bank of England working papers 1007, Bank of England.
    64. Michael Clements, 2016. "Are Macro-Forecasters Essentially The Same? An Analysis of Disagreement, Accuracy and Efficiency," ICMA Centre Discussion Papers in Finance icma-dp2016-08, Henley Business School, University of Reading.
    65. 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.
    66. Richard K. Crump & Stefano Eusepi & Emanuel Moench & Bruce Preston, 2025. "How Do We Learn About the Long Run?," Staff Reports 1150, Federal Reserve Bank of New York.
    67. Hoffmann, Mathias & Hürtgen, Patrick, 2016. "Inflation expectations, disagreement, and monetary policy," Discussion Papers 31/2016, Deutsche Bundesbank.
    68. 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.
    69. Joseph P Byrne & Shuo Cao, 2024. "Decomposing Uncertainty in Macro-Finance Term Structure Models," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 14(3), pages 428-449.
    70. Park, Sunjin, 2022. "Heterogeneous beliefs in macroeconomic growth prospects and the carry risk premium," Journal of Banking & Finance, Elsevier, vol. 136(C).
    71. 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.
    72. Richard K. Crump & Stefano Eusepi & Emanuel Moench & Bruce Preston, 2021. "The Term Structure of Expectations," Staff Reports 992, Federal Reserve Bank of New York.
    73. Junichi Kikuchi & Yoshiyuki Nakazono, 2023. "The Formation of Inflation Expectations: Microdata Evidence from Japan," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(6), pages 1609-1632, September.
    74. 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.
    75. Glas, Alexander, 2020. "Five dimensions of the uncertainty–disagreement linkage," International Journal of Forecasting, Elsevier, vol. 36(2), pages 607-627.
    76. Daniel Andrei & Bruce Carlin & Michael Hasler, 2014. "Model Disagreement and Economic Outlook," NBER Working Papers 20190, National Bureau of Economic Research, Inc.
    77. Kuang, Pei & Tang, Li & Zhang, Renbin & Zhang, Tongbin, 2022. "Forecast disagreement about long-run macroeconomic relationships," Journal of Economic Behavior & Organization, Elsevier, vol. 200(C), pages 371-387.
    78. Gabriel Caldas Montes & Paulo Henrique Lourenço Luna, 2022. "Do fiscal opacity, fiscal impulse, and fiscal credibility affect disagreement about economic growth forecasts? Empirical evidence from Brazil considering the period of political instability and presid," Review of Development Economics, Wiley Blackwell, vol. 26(4), pages 2356-2393, November.
    79. Tatjana Dahlhaus & Tatevik Sekhposyan, 2018. "Monetary Policy Uncertainty: A Tale of Two Tails," Staff Working Papers 18-50, Bank of Canada.

  26. 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).

  27. 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. Diego Alejandro Martínez Cruz & José Fernando Moreno Gutiérrez & Juan Sebastián Rojas Moreno, 2015. "Evolución de la relación entre bonos locales y externos del gobierno colombiano frente a choques de riesgo," Borradores de Economia 14112, Banco de la Republica.
    3. Kurt G. Lunsford, 2020. "Policy Language and Information Effects in the Early Days of Federal Reserve Forward Guidance," American Economic Review, American Economic Association, vol. 110(9), pages 2899-2934, September.

  28. 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, Simon P., 2020. "Estimating nominal interest rate expectations: Overnight indexed swaps and the term structure," Journal of Banking & Finance, Elsevier, vol. 119(C).

  29. 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. Kliem, Martin & Meyer-Gohde, Alexander, 2017. "(Un)expected Monetary Policy Shocks and Term Premia," SFB 649 Discussion Papers 2017-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    2. Speck, Christian, 2023. "Pricing the Bund term structure with linear regressions – without an observable short rate," Discussion Papers 08/2023, Deutsche Bundesbank.
    3. Tobias Adrian & Richard K. Crump & Emanuel Moench, 2011. "Regression-based estimation of dynamic asset pricing models," Staff Reports 493, Federal Reserve Bank of New York.
    4. 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.
    5. Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Working Papers 75, Brandeis University, Department of Economics and International Business School.
    6. 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.
    7. Eguren-Martin, Fernando & Meldrum, Andrew & Yan, Wen, 2020. "No-arbitrage pricing of GDP-linked bonds," Bank of England working papers 849, Bank of England.
    8. Beauregard, Remy & Christensen, Jens H.E. & Fischer, Eric & Zhu, Simon, 2024. "Inflation expectations and risk premia in emerging bond markets: Evidence from Mexico," Journal of International Economics, Elsevier, vol. 151(C).
    9. 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.
    10. 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.
    11. Juan Andrés Espinosa-Torres & Luis Fernando Melo-Velandía & José Fernando Moreno-Gutiérrez, 2015. "Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del gobierno colombiano," Borradores de Economia 13700, Banco de la Republica.
    12. Ann Xing, Bingxin & Feunou, Bruno & Nongni-Donfack, Morvan & Sekkel, Rodrigo, 2024. "U.S. macroeconomic news and low-frequency changes in bond yields in Canada, Sweden and the U.K," Journal of Banking & Finance, Elsevier, vol. 168(C).
    13. 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.
    14. 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).
    15. 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.
    16. 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.
    17. 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.
    18. 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.
    19. 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.
    20. Christiane Baumeister, 2021. "Measuring Market Expectations," NBER Working Papers 29232, National Bureau of Economic Research, Inc.
    21. 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.).
    22. 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).
    23. Bingxin Ann Xing & Bruno Feunou & Morvan Nongni-Donfack & Rodrigo Sekkel, 2024. "U.S. Macroeconomic News and Low-Frequency Changes in Small Open Economies’ Bond Yields," Staff Working Papers 24-12, Bank of Canada.
    24. 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.
    25. 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.
    26. Aeimit Lakdawala & Michael Bauer & Philippe Mueller, 2019. "Market-Based Monetary Policy Uncertainty," 2019 Meeting Papers 1403, Society for Economic Dynamics.
    27. Jens Christensen & Sarah Mouabbi, 2024. "The Natural Rate of Interest in the Euro Area: Evidence from Inflation-Indexed Bonds," Working papers 948, Banque de France.
    28. 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.
    29. 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.
    30. Mitsuru Katagiri, 2018. "Equilibrium Yield Curve, the Phillips Curve, and Monetary Policy," IMF Working Papers 2018/242, International Monetary Fund.
    31. 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.
    32. Jef Boeckx & Leonardo Iania & Joris Wauters, 2024. "Macroeconomic drivers of inflation expectations and inflation risk premia," Working Paper Research 446, National Bank of Belgium.
    33. 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.
    34. 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.
    35. 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.
    36. 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.
    37. 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.
    38. 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.
    39. Goetz, Martin, 2019. "Financing conditions and toxic emissions," SAFE Working Paper Series 254, Leibniz Institute for Financial Research SAFE.
    40. 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).
    41. 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.
    42. Christensen, Jens H.E. & Spiegel, Mark M., 2023. "Central bank credibility during COVID-19: Evidence from Japan," Journal of International Money and Finance, Elsevier, vol. 131(C).
    43. Meldrum, Andrew & Roberts-Sklar, Matt, 2015. "Long-run priors for term structure models," Bank of England working papers 575, Bank of England.
    44. Munch Grønlund, Asger & Jørgensen, Kasper & Schupp, Fabian, 2024. "Measuring market-based core inflation expectations," Working Paper Series 2908, European Central Bank.
    45. 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.
    46. 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.
    47. Abhishek Kumar & Sushanta Mallick & Madhusudan Mohanty & Fabrizio Zampolli, 2023. "Market Volatility, Monetary Policy and the Term Premium," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(1), pages 208-237, February.
    48. 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.
    49. James McNeil, 2020. "Estimation of Impulse response functions with term structure local projections," Working Papers daleconwp2020-05, Dalhousie University, Department of Economics.
    50. Wang,Dieter, 2021. "Natural Capital and Sovereign Bonds," Policy Research Working Paper Series 9606, The World Bank.
    51. 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.
    52. Hammoudeh, Shawkat & Reboredo, Juan C., 2018. "Oil price dynamics and market-based inflation expectations," Energy Economics, Elsevier, vol. 75(C), pages 484-491.
    53. Berardi, Andrea & Plazzi, Alberto, 2022. "Dissecting the yield curve: The international evidence," Journal of Banking & Finance, Elsevier, vol. 134(C).
    54. 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.
    55. 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.
    56. GONÇALVES, Sílvia & PERRON, Benoit, 2018. "Bootstrapping factor models with cross sectional dependence," Cahiers de recherche 2018-07, Universite de Montreal, Departement de sciences economiques.
    57. Anttonen, Jetro & Laine, Olli-Matti, 2024. "Forecasting inflation: A comparison of the ECB's short-term inflation projections and inflation-linked swaps," BoF Economics Review 8/2024, Bank of Finland.
    58. 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.
    59. Götz, Martin, 2018. "Financial constraints and corporate environmental responsibility," SAFE Working Paper Series 241, Leibniz Institute for Financial Research SAFE.
    60. 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).
    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. Roman Sustek, 2021. "Yield curve and the business cycle in conventional times," Discussion Papers 2122, Centre for Macroeconomics (CFM).
    63. Athanasios Geromichalos & Lucas Herrenbrueck & Changhyun Lee & Sukjoon Lee, 2024. "What’s so Inconvenient About TIPS?," Working Papers 364, University of California, Davis, Department of Economics.
    64. Tobias Adrian & Gaston Gelos & Nora Lamersdorf & Emanuel Moench, 2024. "The asymmetric and persistent effects of Fed policy on global bond yields," BIS Working Papers 1195, Bank for International Settlements.
    65. 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.
    66. Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2016. "The term structure of expectations and bond yields," Staff Reports 775, Federal Reserve Bank of New York.
    67. 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.
    68. 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.
    69. Aguilar-Argaez Ana María & Diego-Fernández Forseck María & Elizondo Rocío & Roldán-Peña Jessica, 2020. "Term Premium Dynamics and its Determinants: The Mexican Case," Working Papers 2020-18, Banco de México.
    70. 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.
    71. 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.
    72. 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.
    73. 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.
    74. 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.
    75. 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.
    76. 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).
    77. Christensen, Jens H.E. & Gillan, James M., 2022. "Does quantitative easing affect market liquidity?," Journal of Banking & Finance, Elsevier, vol. 134(C).
    78. 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.
    79. Ciccarelli, Matteo & García, Juan Angel, 2015. "International spillovers in inflation expectations," Working Paper Series 1857, European Central Bank.
    80. 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.
    81. Berardi, Andrea, 2023. "Term premia and short rate expectations in the euro area," Journal of Empirical Finance, Elsevier, vol. 74(C).

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

    Cited by:

    1. 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.
    2. Richard K. Crump & Stefano Eusepi & Emanuel Moench & Bruce Preston, 2021. "The Term Structure of Expectations," Staff Reports 992, Federal Reserve Bank of New York.

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

    Cited by:

    1. Andrew Ang & Dennis Kristensen, 2011. "Testing Conditional Factor Models," NBER Working Papers 17561, National Bureau of Economic Research, Inc.
    2. Kotlyarova, Yulia & Schafgans, Marcia M.A. & Zinde-Walsh, Victoria, 2021. "Rates of expansions for functional estimators," LSE Research Online Documents on Economics 113436, London School of Economics and Political Science, LSE Library.
    3. Matsushita, Yukitoshi & Otsu, Taisuke, 2018. "Likelihood inference on semiparametric models: average derivative and treatment effect," LSE Research Online Documents on Economics 85870, London School of Economics and Political Science, LSE Library.
    4. Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2011. "Semiparametric Estimation with Generated Covariates," IZA Discussion Papers 6084, Institute of Labor Economics (IZA).
    5. Max H. Farrell, 2013. "Robust Inference on Average Treatment Effects with Possibly More Covariates than Observations," Papers 1309.4686, arXiv.org, revised Feb 2018.
    6. Cizek, P. & Lei, J., 2013. "Identification and Estimation of Nonseparable Single-Index Models in Panel Data with Correlated Random Effects," Other publications TiSEM 73e394eb-6799-4c79-af23-8, Tilburg University, School of Economics and Management.
    7. Cattaneo, Matias D & Jansson, Michael & Ma, Xinwei, 2019. "Two-Step Estimation and Inference with Possibly Many Included Covariates," University of California at San Diego, Economics Working Paper Series qt86c7x315, Department of Economics, UC San Diego.
    8. Jia Li & Dacheng Xiu, 2016. "Generalized Method of Integrated Moments for High‐Frequency Data," Econometrica, Econometric Society, vol. 84, pages 1613-1633, July.
    9. Nagasawa, Kenichi, 2020. "Identification and Estimation of Group-Level Partial Effects," The Warwick Economics Research Paper Series (TWERPS) 1243, University of Warwick, Department of Economics.
    10. Yukitoshi Matsushita & Taisuke Otsu, 2019. "Jackknife, small bandwidth and high-dimensional asymptotics," STICERD - Econometrics Paper Series 605, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    11. Matias D. Cattaneo & Michael Jansson, 2019. "Average Density Estimators: Efficiency and Bootstrap Consistency," Papers 1904.09372, arXiv.org, revised Dec 2020.
    12. Sebastian Calonico & Matias D. Cattaneo & Max H. Farrell, 2015. "On the Effect of Bias Estimation on Coverage Accuracy in Nonparametric Inference," Papers 1508.02973, arXiv.org, revised Mar 2018.
    13. Matias D. Cattaneo & Max H. Farrell & Michael Jansson & Ricardo Masini, 2022. "Higher-order Refinements of Small Bandwidth Asymptotics for Density-Weighted Average Derivative Estimators," Papers 2301.00277, arXiv.org, revised Feb 2024.
    14. Rothe, Christoph & Firpo, Sergio, 2013. "Semiparametric Estimation and Inference Using Doubly Robust Moment Conditions," IZA Discussion Papers 7564, Institute of Labor Economics (IZA).
    15. Matias D. Cattaneo & Michael Jansson, 2014. "Bootstrapping Kernel-Based Semiparametric Estimators," CREATES Research Papers 2014-25, Department of Economics and Business Economics, Aarhus University.
    16. Sadikoglu, Serhan, 2019. "Essays in econometric theory," Other publications TiSEM 99d83644-f9dc-49e3-a4e1-5, Tilburg University, School of Economics and Management.
    17. Cizek, Pavel & Sadikoglu, Serhan, 2022. "Nonseparable Panel Models with Index Structure and Correlated Random Effects," Discussion Paper 2022-009, Tilburg University, Center for Economic Research.
    18. Matias D. Cattaneo & Michael Jansson, 2018. "Kernel†Based Semiparametric Estimators: Small Bandwidth Asymptotics and Bootstrap Consistency," Econometrica, Econometric Society, vol. 86(3), pages 955-995, May.
    19. Harold D. Chiang & Bing Yang Tan, 2020. "Empirical likelihood and uniform convergence rates for dyadic kernel density estimation," Papers 2010.08838, arXiv.org, revised May 2022.
    20. Ruijun Bu & Jihyun Kim & Bin Wang, 2020. "Uniform and Lp Convergences of Nonparametric Estimation for Diffusion Models," Working Papers 202021, University of Liverpool, Department of Economics.
    21. Max H. Farrell & Tengyuan Liang & Sanjog Misra, 2020. "Deep Learning for Individual Heterogeneity," Papers 2010.14694, arXiv.org, revised Apr 2025.

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

    Cited by:

    1. Ortigueira, Salvador & Siassi, Nawid, 2021. "On the Optimal Reform of Income Support for Single Parents," ECON WPS - Working Papers in Economic Theory and Policy 05/2021, TU Wien, Institute of Statistics and Mathematical Methods in Economics, Economics Research Unit.
    2. Dong, Xiaoqi & Liang, Yinhe & Zhang, Jiawei, 2023. "Fertility responses to the relaxation of migration restrictions: Evidence from the Hukou reform in China," China Economic Review, Elsevier, vol. 81(C).
    3. Regina T. Riphahn & Frederik Wiynck, 2016. "Fertility Effects of Child Benefits," Working Papers 164, Bavarian Graduate Program in Economics (BGPE).
    4. Pinto,Maria Florencia & Posadas,Josefina & Shapira,Gil, 2021. "Financial Incentives, Fertility, and Son Preference in Armenia," Policy Research Working Paper Series 9705, The World Bank.
    5. Rannveig Kaldager Hart & Taryn A. Galloway, 2023. "Universal Transfers, Tax Breaks and Fertility: Evidence from a Regional Reform in Norway," Population Research and Policy Review, Springer;Southern Demographic Association (SDA), vol. 42(3), pages 1-32, June.
    6. Sara LaLumia & James M. Sallee & Nicholas Turner, 2013. "New Evidence on Taxes and the Timing of Birth," NBER Working Papers 19283, National Bureau of Economic Research, Inc.
    7. Wookun Kim, 2023. "Baby Bonus, Fertility, and Missing Women," Departmental Working Papers 2308, Southern Methodist University, Department of Economics.
    8. Ankel-Peters, Jörg & Fiala, Nathan & Neubauer, Florian, 2023. "Is economics self-correcting? Replications in the American Economic Review," Ruhr Economic Papers 1005, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    9. Lee, Gi-Eu & Chou, Chang-Erh, 2020. "The Ex Ante Price Information Effect on Water Conservation: A Case Study of Taipei’s Water Tariff Adjustment," 2020 Annual Meeting, July 26-28, Kansas City, Missouri 304253, Agricultural and Applied Economics Association.
    10. Elmallakh, Nelly, 2021. "Fertility, Family Policy, and Labor Supply: Quasi-Experimental Evidence from France," GLO Discussion Paper Series 984, Global Labor Organization (GLO).
    11. Richard Crump & Gopi Shah Goda & Kevin Mumford, 2010. "Fertility and the Personal Exemption: Comment," NBER Working Papers 15984, National Bureau of Economic Research, Inc.
    12. Giam Pietro Cipriani & Tamara Fioroni, 2024. "Grandparental childcare, family allowances and retirement policies," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 31(6), pages 1669-1692, December.
    13. Silveus, Neil & Stoddard, Christiana, 2020. "Identifying the causal effect of income on religiosity using the Earned Income Tax Credit," Journal of Economic Behavior & Organization, Elsevier, vol. 178(C), pages 903-924.
    14. Bishop Kelly C. & Mac Donald Diana E., 2022. "The Effect of Paying Parents to Adopt: Evidence from Minnesota's Foster-Care System," Working Papers 2022-01, Banco de México.
    15. Sara LaLumia & James M. Sallee, 2011. "The Value of Honesty: Empirical Estimates from the Case of the Missing Children," NBER Working Papers 17247, National Bureau of Economic Research, Inc.
    16. Taryn Ann Galloway & Rannveig Kaldager Hart, 2015. "Effects of income and the cost of children on fertility. Quasi-experimental evidence from Norway," Discussion Papers 828, Statistics Norway, Research Department.
    17. Lucia Granelli, 2017. "Family Tax Policy with Heterogeneous Altruistic Households," LIDAM Discussion Papers IRES 2017019, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    18. Wookun Kim, 2024. "Baby Bonus, Fertility, and Missing Women," CESifo Working Paper Series 11215, CESifo.
    19. Anthony A. Noce & Dhimtri Qirjo & Namini De Silva, 2016. "Enticing the Stork: Can we Evaluate Pro-Natal Policies Before Having Children?," Economic Affairs, Wiley Blackwell, vol. 36(2), pages 184-202, June.
    20. Lucia Granelli, 2016. "Family Tax Policy in a Model with Endogenous Fertility à la Barro-Becker," LIDAM Discussion Papers IRES 2016010, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    21. Choo, Dahae & Jales, Hugo, 2021. "Childbearing and the distribution of the reservation price of fertility: The case of the Korean baby bonus program," Journal of Asian Economics, Elsevier, vol. 77(C).
    22. Wookun Kim, 2020. "Baby Bonus, Fertility, and Missing Women," Departmental Working Papers 2011, Southern Methodist University, Department of Economics.

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

    Cited by:

    1. Paulo Parente & Richard J. Smith, 2019. "Quasi-maximum likelihood and the kernel block bootstrap for nonlinear dynamic models," CeMMAP working papers CWP60/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    2. Kotlyarova, Yulia & Schafgans, Marcia M.A. & Zinde-Walsh, Victoria, 2021. "Rates of expansions for functional estimators," LSE Research Online Documents on Economics 113436, London School of Economics and Political Science, LSE Library.
    3. Yulia Kotlyarova & Marcia M Schafgans & Victoria Zinde-Walsh, 2011. "Adapting Kernel Estimation to Uncertain Smoothness," STICERD - Econometrics Paper Series 557, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    4. Cattaneo, Matias D & Jansson, Michael & Ma, Xinwei, 2019. "Two-Step Estimation and Inference with Possibly Many Included Covariates," University of California at San Diego, Economics Working Paper Series qt86c7x315, Department of Economics, UC San Diego.
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  35. Matias D. Cattaneo & Richard K. Crump & Michael Jansson, 2009. "Robust Data-Driven Inference for Density-Weighted Average Derivatives," CREATES Research Papers 2009-46, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Hiroaki Kaido, 2014. "Asymptotically efficient estimation of weighted average derivatives with an interval censored variable," CeMMAP working papers 03/14, Institute for Fiscal Studies.
    2. Cattaneo, Matias D & Crump, Richard K & Jansson, Michael, 2014. "Small Bandwidth Asymptotics For Density-Weighted Average Derivatives," Department of Economics, Working Paper Series qt3jd237cg, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    3. Dennis Kristensen, 2009. "Semiparametric modelling and estimation (in Russian)," Quantile, Quantile, issue 7, pages 53-83, September.
    4. Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Ernst Schaumburg, 2018. "Characteristic-Sorted Portfolios: Estimation and Inference," Papers 1809.03584, arXiv.org, revised Oct 2019.
    5. Alexandre Belloni & Victor Chernozhukov & Denis Chetverikov & Iv'an Fern'andez-Val, 2011. "Conditional Quantile Processes based on Series or Many Regressors," Papers 1105.6154, arXiv.org, revised Aug 2018.
    6. Matsushita, Yukitoshi & Otsu, Taisuke, 2018. "Likelihood inference on semiparametric models: average derivative and treatment effect," LSE Research Online Documents on Economics 85870, London School of Economics and Political Science, LSE Library.
    7. Dong, Hao & Otsu, Taisuke & Taylor, Luke, 2021. "Average Derivative Estimation Under Measurement Error," Econometric Theory, Cambridge University Press, vol. 37(5), pages 1004-1033, October.
    8. Matias D. Cattaneo & Michael Jansson & Whitney K. Newey, 2015. "Alternative Asymptotics and the Partially Linear Model with Many Regressors," Papers 1505.08120, arXiv.org.
    9. Cattaneo, Matias D & Jansson, Michael & Ma, Xinwei, 2019. "Two-Step Estimation and Inference with Possibly Many Included Covariates," University of California at San Diego, Economics Working Paper Series qt86c7x315, Department of Economics, UC San Diego.
    10. Atchadé, Yves F. & Cattaneo, Matias D., 2014. "A martingale decomposition for quadratic forms of Markov chains (with applications)," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 646-677.
    11. Andrews, Donald W.K. & Shi, Xiaoxia, 2014. "Nonparametric inference based on conditional moment inequalities," Journal of Econometrics, Elsevier, vol. 179(1), pages 31-45.
    12. Yukitoshi Matsushita & Taisuke Otsu, 2018. "Likelihood Inference on Semiparametric Models: Average Derivative and Treatment Effect," The Japanese Economic Review, Springer, vol. 69(2), pages 133-155, June.
    13. Yukitoshi Matsushita & Taisuke Otsu, 2019. "Jackknife, small bandwidth and high-dimensional asymptotics," STICERD - Econometrics Paper Series 605, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    14. Matias D. Cattaneo & Max H. Farrell & Michael Jansson & Ricardo Masini, 2022. "Higher-order Refinements of Small Bandwidth Asymptotics for Density-Weighted Average Derivative Estimators," Papers 2301.00277, arXiv.org, revised Feb 2024.
    15. Matias D. Cattaneo & Richard K. Crump & Michael Jansson, 2013. "Rejoinder," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 108(504), pages 1265-1268, December.
    16. Valeri Voev, 2009. "On the Economic Evaluation of Volatility Forecasts," CREATES Research Papers 2009-56, Department of Economics and Business Economics, Aarhus University.
    17. Yikun Zhang & Yen-Chi Chen, 2025. "Doubly Robust Inference on Causal Derivative Effects for Continuous Treatments," Papers 2501.06969, arXiv.org, revised Apr 2025.
    18. Ulrich K. Müller & Yulong Wang, 2017. "Fixed- Asymptotic Inference About Tail Properties," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(519), pages 1334-1343, July.

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

    Cited by:

    1. Hiroaki Kaido, 2014. "Asymptotically efficient estimation of weighted average derivatives with an interval censored variable," CeMMAP working papers 03/14, Institute for Fiscal Studies.
    2. Bryan S. Graham & Fengshi Niu & James L. Powell, 2019. "Kernel Density Estimation for Undirected Dyadic Data," Papers 1907.13630, arXiv.org.
    3. Kotlyarova, Yulia & Schafgans, Marcia M.A. & Zinde-Walsh, Victoria, 2021. "Rates of expansions for functional estimators," LSE Research Online Documents on Economics 113436, London School of Economics and Political Science, LSE Library.
    4. Wang, Yulong & Xiao, Zhijie, 2022. "Estimation and inference about tail features with tail censored data," Journal of Econometrics, Elsevier, vol. 230(2), pages 363-387.
    5. Bryan S. Graham, 2019. "Network Data," NBER Working Papers 26577, National Bureau of Economic Research, Inc.
    6. Stéphane Bonhomme & Martin Weidner, 2020. "Minimizing Sensitivity to Model Misspecification," CeMMAP working papers CWP37/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    7. Bryan S. Graham, 2019. "Dyadic Regression," Papers 1908.09029, arXiv.org.
    8. Max H. Farrell, 2013. "Robust Inference on Average Treatment Effects with Possibly More Covariates than Observations," Papers 1309.4686, arXiv.org, revised Feb 2018.
    9. Stéphane Bonhomme & Martin Weidner, 2022. "Minimizing sensitivity to model misspecification," Quantitative Economics, Econometric Society, vol. 13(3), pages 907-954, July.
    10. Dong, Hao & Otsu, Taisuke & Taylor, Luke, 2021. "Average Derivative Estimation Under Measurement Error," Econometric Theory, Cambridge University Press, vol. 37(5), pages 1004-1033, October.
    11. Cattaneo, Matias D & Jansson, Michael & Ma, Xinwei, 2019. "Two-Step Estimation and Inference with Possibly Many Included Covariates," University of California at San Diego, Economics Working Paper Series qt86c7x315, Department of Economics, UC San Diego.
    12. Yukitoshi Matsushita & Taisuke Otsu, 2019. "Jackknife, small bandwidth and high-dimensional asymptotics," STICERD - Econometrics Paper Series 605, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    13. Dennis Kristensen, 2009. "Semiparametric Modelling and Estimation: A Selective Overview," CREATES Research Papers 2009-44, Department of Economics and Business Economics, Aarhus University.
    14. Bryan S. Graham, 2019. "Network Data," CeMMAP working papers CWP71/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    15. Matsushita, Yukitoshi & Otsu, Taisuke, 2020. "Jackknife empirical likelihood: small bandwidth, sparse network and high-dimension asymptotic," LSE Research Online Documents on Economics 106488, London School of Economics and Political Science, LSE Library.
    16. Cattaneo, Matias D. & Crump, Richard K. & Jansson, Michael, 2010. "Robust Data-Driven Inference for Density-Weighted Average Derivatives," Journal of the American Statistical Association, American Statistical Association, vol. 105(491), pages 1070-1083.
    17. Bryan S. Graham, 2024. "Sparse Network Asymptotics for Logistic Regression Under Possible Misspecification," Econometrica, Econometric Society, vol. 92(6), pages 1837-1868, November.
    18. Graham, Bryan S., 2020. "Network data," Handbook of Econometrics,, Elsevier.
    19. Jun, Sung Jae & Pinkse, Joris & Wan, Yuanyuan, 2015. "Classical Laplace estimation for n3-consistent estimators: Improved convergence rates and rate-adaptive inference," Journal of Econometrics, Elsevier, vol. 187(1), pages 201-216.
    20. Bryan S. Graham, 2020. "Sparse network asymptotics for logistic regression," Papers 2010.04703, arXiv.org.

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

    Cited by:

    1. John Cai & Weinan Wang, 2022. "A Systematic Paradigm for Detecting, Surfacing, and Characterizing Heterogeneous Treatment Effects (HTE)," Papers 2211.01547, arXiv.org.
    2. Cockx, Bart & Lechner, Michael & Bollens, Joost, 2023. "Priority to unemployed immigrants? A causal machine learning evaluation of training in Belgium," Labour Economics, Elsevier, vol. 80(C).
    3. Eleonora Patacchini & Tiziano Arduini & Edoardo Rainone, 2014. "Identification and Estimation of Outcome Response with Heterogeneous Treatment Externalities," Center for Policy Research Working Papers 167, Center for Policy Research, Maxwell School, Syracuse University.
    4. Alejandro Sanchez-Becerra, 2023. "Robust inference for the treatment effect variance in experiments using machine learning," Papers 2306.03363, arXiv.org.
    5. Yanchun Jin, 2016. "Nonparametric tests for the effect of treatment on conditional variance," KIER Working Papers 948, Kyoto University, Institute of Economic Research.
    6. Daniel Kaliski, 2023. "Identifying the impact of health insurance on subgroups with changing rates of diagnosis," Health Economics, John Wiley & Sons, Ltd., vol. 32(9), pages 2098-2112, September.
    7. Steven F. Lehrer & R. Vincent Pohl & Kyungchul Song, 2016. "Targeting Policies: Multiple Testing and Distributional Treatment Effects," NBER Working Papers 22950, National Bureau of Economic Research, Inc.
    8. Luo Wei & Wu Wenbo & Zhu Yeying, 2019. "Learning Heterogeneity in Causal Inference Using Sufficient Dimension Reduction," Journal of Causal Inference, De Gruyter, vol. 7(1), pages 1-14, March.
    9. Wei Huang & Oliver Linton & Zheng Zhang, 2022. "A Unified Framework for Specification Tests of Continuous Treatment Effect Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(4), pages 1817-1830, October.
    10. 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.
    11. Pedro H. C. Sant’Anna, 2021. "Nonparametric Tests for Treatment Effect Heterogeneity With Duration Outcomes," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(3), pages 816-832, July.
    12. Pons Rotger, Gabriel & Rosholm, Michael, 2020. "The Role of Beliefs in Long Sickness Absence: Experimental Evidence from a Psychological Intervention," IZA Discussion Papers 13582, Institute of Labor Economics (IZA).
    13. Richard K. Crump & V. Joseph Hotz & Guido W. Imbens & Oscar A. Mitnik, 2006. "Moving the Goalposts: Addressing Limited Overlap in Estimation of Average Treatment Effects by Changing the Estimand," Working Papers 0608, University of Miami, Department of Economics.
    14. Bedoya, Guadalupe & Bittarello, Luca & Davis, Jonathan & Mittag, Nikolas, 2018. "Distributional Impact Analysis: Toolkit and Illustrations of Impacts beyond the Average Treatment Effect," IZA Discussion Papers 11863, Institute of Labor Economics (IZA).
    15. Layla Parast & Tianxi Cai & Lu Tian, 2023. "Testing for heterogeneity in the utility of a surrogate marker," Biometrics, The International Biometric Society, vol. 79(2), pages 799-810, June.
    16. Hotz, V. Joseph & Crump, Richard K. & Mitnik, Oscar A. & Imbens, Guido, 2009. "Dealing with Limited Overlap in Estimation of Average Treatment Effects," Scholarly Articles 3007645, Harvard University Department of Economics.
    17. Timothy B. Armstrong & Shu Shen, 2013. "Inference on Optimal Treatment Assignments," Cowles Foundation Discussion Papers 1927, Cowles Foundation for Research in Economics, Yale University.
    18. Albrecht, Konstanze & von Essen, Emma & Parys, Juliane & Szech, Nora, 2011. "Updating, Self-Confidence and Discrimination," IZA Discussion Papers 6203, Institute of Labor Economics (IZA).
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    Cited by:

    1. Kaplan, David M. & Sun, Yixiao, 2012. "Smoothed Estimating Equations For Instrumental Variables Quantile Regression," University of California at San Diego, Economics Working Paper Series qt888657tp, Department of Economics, UC San Diego.
    2. Keisuke Hirano & Jack R. Porter, 2023. "Asymptotic Representations for Sequential Decisions, Adaptive Experiments, and Batched Bandits," Papers 2302.03117, arXiv.org, revised Feb 2025.
    3. Aviv Nevo & Adam M. Rosen, 2008. "Identification with Imperfect Instruments," NBER Working Papers 14434, National Bureau of Economic Research, Inc.
    4. Hirano, Keisuke & Porter, Jack R., 2020. "Asymptotic analysis of statistical decision rules in econometrics," Handbook of Econometrics, in: Steven N. Durlauf & Lars Peter Hansen & James J. Heckman & Rosa L. Matzkin (ed.), Handbook of Econometrics, edition 1, volume 7, chapter 0, pages 283-354, Elsevier.
    5. Keisuke Hirano & Jack R. Porter, 2015. "Location Properties of Point Estimators in Linear Instrumental Variables and Related Models," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 720-733, December.
    6. Sølvsten, Mikkel, 2020. "Robust estimation with many instruments," Journal of Econometrics, Elsevier, vol. 214(2), pages 495-512.
    7. Marmer, Vadim & Yu, Zhengfei, 2015. "Efficient Inference in the Classical IV Regression Model with Weak Identification: Asymptotic Power Against Arbitrarily Large Deviations from the Null Hypothesis," Microeconomics.ca working papers vadim_marmer-2015-17, Vancouver School of Economics, revised 02 Sep 2015.
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  39. Crump, Richard K. & Hotz, V. Joseph & Imbens, Guido W. & Mitnik, Oscar A., 2006. "Moving the Goalposts: Addressing Limited Overlap in Estimation of Average Treatment Effects by Changing the Estimand," IZA Discussion Papers 2347, Institute of Labor Economics (IZA).

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    1. Richard K. Crump & V. Joseph Hotz & Guido W. Imbens & Oscar A. Mitnik, 2006. "Nonparametric Tests for Treatment Effect Heterogeneity," NBER Technical Working Papers 0324, National Bureau of Economic Research, Inc.
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    4. Evan Borkum & Paolo Abarcar & Laura Meyer & Matthew Spitzer, "undated". "Jordan Refugee Livelihoods Development Impact Bond Evaluation Framework," Mathematica Policy Research Reports 602dafe521fe4467854dcd45e, Mathematica Policy Research.
    5. Deininger, Klaus & Liu, Yanyan, 2009. "Longer-term economic impacts of self-help groups in india," Policy Research Working Paper Series 4886, The World Bank.
    6. Nan L. Maxwell & Dana Rotz, "undated". "Building the Employment and Economic Self-Sufficiency of the Disadvantaged: The Potential of Social Enterprises," Mathematica Policy Research Reports 37f4ab94fb044cc1945cb04dc, Mathematica Policy Research.
    7. Allcott, Hunt & Ortega, Daniel E., 2009. "The performance of decentralized school systems : evidence from Fe y Alegría in Venezuela," Policy Research Working Paper Series 4879, The World Bank.
    8. Deininger, Klaus W. & Liu, Yanyan, 2008. "Economic and Social Impacts of Self-Help Groups in India," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6482, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    9. Kathleen Beegle & Joachim De Weerdt & Stefan Dercon, 2006. "Orphanhood and the Long-Run Impact on Children," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 88(5), pages 1266-1272.
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    13. Richard K. Crump & V. Joseph Hotz & Guido W. Imbens & Oscar A. Mitnik, 2006. "Moving the Goalposts: Addressing Limited Overlap in Estimation of Average Treatment Effects by Changing the Estimand," Working Papers 0608, University of Miami, Department of Economics.
    14. Filmer, Deon & Schady, Norbert, 2006. "Getting girls into school : evidence from a scholarship program in Cambodia," Policy Research Working Paper Series 3910, The World Bank.
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    21. Shikuku, Kelvin Mashisia & Okello, Julius Juma & Wambugu, Stella & Sindi, Kirimi & Low, Jan W. & McEwan, Margaret, 2019. "Nutrition and food security impacts of quality seeds of biofortified orange-fleshed sweetpotato: Quasi-experimental evidence from Tanzania," World Development, Elsevier, vol. 124(C), pages 1-1.
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    72. Fahner, Gerald, 2012. "Estimating causal effects of credit decisions," International Journal of Forecasting, Elsevier, vol. 28(1), pages 248-260.

Articles

  1. Richard K. Crump & Stefano Eusepi & Domenico Giannone & Eric Qian & Argia Sbordone, 2025. "A Large Bayesian VAR of the U.S. Economy," International Journal of Central Banking, International Journal of Central Banking, vol. 21(2), pages 351-409, April.

    Cited by:

    1. Bańbura, Marta & Bobeica, Elena & Giammaria, Alessandro & Porqueddu, Mario & van Spronsen, Josha, 2025. "A new model to forecast energy inflation in the euro area," Working Paper Series 3062, European Central Bank.

  2. Boyarchenko, Nina & Crump, Richard K. & Kovner, Anna & Shachar, Or, 2025. "Corporate bond market distress," Journal of Monetary Economics, Elsevier, vol. 152(C).
    See citations under working paper version above.
  3. Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Yingjie Feng, 2025. "Binscatter regressions," Stata Journal, StataCorp LLC, vol. 25(1), pages 3-50, March.
    • Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Yingjie Feng, 2019. "Binscatter Regressions," Papers 1902.09615, arXiv.org, revised Jul 2024.
    See citations under working paper version above.
  4. Richard K Crump & Nikolay Gospodinov, 2025. "Deconstructing the Yield Curve," The Review of Financial Studies, Society for Financial Studies, vol. 38(2), pages 381-421.
    See citations under working paper version above.
  5. Crump, Richard K. & Eusepi, Stefano & Giannoni, Marc & Şahin, Ayşegül, 2024. "The unemployment–inflation trade-off revisited: The Phillips curve in COVID times," Journal of Monetary Economics, Elsevier, vol. 145(S).
    See citations under working paper version above.
  6. Richard K. Crump & Nikolay Gospodinov, 2022. "On the Factor Structure of Bond Returns," Econometrica, Econometric Society, vol. 90(1), pages 295-314, January.

    Cited by:

    1. Moench, Emanuel & Soofi-Siavash, Soroosh, 2022. "What moves treasury yields?," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1016-1043.
    2. Pablo Guerrón-Quintana & Alexey Khazanov & Molin Zhong, 2023. "Financial and Macroeconomic Data Through the Lens of a Nonlinear Dynamic Factor Model," Finance and Economics Discussion Series 2023-027, Board of Governors of the Federal Reserve System (U.S.).
    3. Dennis Schroers, 2024. "Dynamically Consistent Analysis of Realized Covariations in Term Structure Models," Papers 2406.19412, arXiv.org.
    4. Prosper Dovonon & Nikolay Gospodinov, 2024. "Specification testing for conditional moment restrictions under local identification failure," Quantitative Economics, Econometric Society, vol. 15(3), pages 849-891, July.
    5. Dennis Schroers, 2024. "Robust Functional Data Analysis for Stochastic Evolution Equations in Infinite Dimensions," Papers 2401.16286, arXiv.org, revised Jun 2024.

  7. Nina Boyarchenko & Richard K. Crump & Anna Kovner & Deborah Leonard, 2022. "The Commercial Paper Funding Facility," Economic Policy Review, Federal Reserve Bank of New York, vol. 28(1), July.
    See citations under working paper version above.
  8. Crump, Richard K. & Eusepi, Stefano & Tambalotti, Andrea & Topa, Giorgio, 2022. "Subjective intertemporal substitution," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 118-133.
    See citations under working paper version above.
  9. Nina Boyarchenko & Caren Cox & Richard K. Crump & Andrew Danzig & Anna Kovner & Or Shachar & Patrick Steiner, 2022. "The Primary and Secondary Corporate Credit Facilities," Economic Policy Review, Federal Reserve Bank of New York, vol. 28(1), July.

    Cited by:

    1. Dutordoir, Marie & Shemesh, Joshua & Veld, Chris & Wang, Qing, 2024. "Can existing corporate finance theories explain security offerings during the COVID-19 pandemic?," Journal of Empirical Finance, Elsevier, vol. 79(C).

  10. Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Ernst Schaumburg, 2020. "Characteristic-Sorted Portfolios: Estimation and Inference," The Review of Economics and Statistics, MIT Press, vol. 102(3), pages 531-551, July.
    See citations under working paper version above.
  11. Richard K. Crump & Stefano Eusepi & Marc Giannoni & Aysegul Sahin, 2019. "A Unified Approach to Measuring u," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 50(1 (Spring), pages 143-238.
    See citations under working paper version above.
  12. Tobias Adrian & Richard K. Crump & Erik Vogt, 2019. "Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds," Journal of Finance, American Finance Association, vol. 74(4), pages 1931-1973, August.
    See citations under working paper version above.
  13. 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.
  14. 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.
  15. 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.
  16. Cattaneo, Matias D. & Crump, Richard K. & Jansson, Michael, 2014. "Small Bandwidth Asymptotics For Density-Weighted Average Derivatives," Econometric Theory, Cambridge University Press, vol. 30(1), pages 176-200, February.
    See citations under working paper version above.
  17. Cattaneo, Matias D. & Crump, Richard K. & Jansson, Michael, 2014. "Bootstrapping Density-Weighted Average Derivatives," Econometric Theory, Cambridge University Press, vol. 30(6), pages 1135-1164, December.
    See citations under working paper version above.
  18. Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2013. "Pricing the term structure with linear regressions," Journal of Financial Economics, Elsevier, vol. 110(1), pages 110-138.

    Cited by:

    1. Richhild Moessner, 2018. "Effects of asset purchases and financial stability measures on term premia in the euro area," National Institute of Economic and Social Research (NIESR) Discussion Papers 489, National Institute of Economic and Social Research.
    2. Maurice Obstfeld & Haonan Zhou, 2023. "The Global Dollar Cycle," NBER Working Papers 31004, National Bureau of Economic Research, Inc.
    3. Moench, Emanuel & Soofi-Siavash, Soroosh, 2022. "What moves treasury yields?," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1016-1043.
    4. Dedola, Luca & Georgiadis, Georgios & Gräb, Johannes & Mehl, Arnaud, 2018. "Does a big bazooka matter? Central bank balance-sheet policies and exchange rates," Working Paper Series 2197, European Central Bank.
    5. Michele Cavallo & Marco Del Negro & W. Scott Frame & Jamie Grasing & Benjamin A. Malin & Carlo Rosa, 2018. "Fiscal Implications of the Federal Reserve’s Balance Sheet Normalization," FEDS Notes 2017-01-09, Board of Governors of the Federal Reserve System (U.S.).
    6. Erik Vogt & Michael Fleming & Or Shachar & Tobias Adrian, 2017. "Market Liquidity After the Financial Crisis," Annual Review of Financial Economics, Annual Reviews, vol. 9(1), pages 43-83, November.
    7. Yip, Pick Schen & Lau, Wee-Yeap & Brooks, Robert, 2024. "Portfolio balance effect of the U.S. QE between commodities and financial assets in commodity-exporting countries," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
    8. Mr. Aleš Bulíř & Mr. Jan Vlcek, 2020. "Monetary Policy Is Not Always Systematic and Data-Driven: Evidence from the Yield Curve," IMF Working Papers 2020/004, International Monetary Fund.
    9. Buncic, Daniel & Lentner, Philipp, 2016. "The term structure of interest rates in an estimated New Keynesian policy model," Journal of Macroeconomics, Elsevier, vol. 50(C), pages 126-150.
    10. Kliem, Martin & Meyer-Gohde, Alexander, 2017. "(Un)expected Monetary Policy Shocks and Term Premia," SFB 649 Discussion Papers 2017-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    11. 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.
    12. 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.
    13. Simon Beyeler & Sylvia Kaufmann, 2016. "Factor augmented VAR revisited - A sparse dynamic factor model approach," Working Papers 16.08, Swiss National Bank, Study Center Gerzensee.
    14. Speck, Christian, 2023. "Pricing the Bund term structure with linear regressions – without an observable short rate," Discussion Papers 08/2023, Deutsche Bundesbank.
    15. François Gourio & Phuong Ngo, 2020. "Risk Premia at the ZLB: A Macroeconomic Interpretation," Working Paper Series WP 2020-01, Federal Reserve Bank of Chicago.
    16. Luis Fernando Melo-Velandia & Juan J. Ospina-Tejeiro & Julian A. Parra-Polania, 2020. "Effects of Banco de la Republica’s Communication on the Yield Curve," Borradores de Economia 1137, Banco de la Republica de Colombia.
    17. Tobias Adrian & Richard K. Crump & Emanuel Moench, 2011. "Regression-based estimation of dynamic asset pricing models," Staff Reports 493, Federal Reserve Bank of New York.
    18. Salman Huseynov, 2021. "Long and short memory in dynamic term structure models," CREATES Research Papers 2021-15, Department of Economics and Business Economics, Aarhus University.
    19. Uluc Aysun, 2025. "Maturity mismatches and the transmission of term premium shocks through bank lending," Working Papers 2025-01, University of Central Florida, Department of Economics.
    20. Antonio Diez de los Rios, 2013. "A New Linear Estimator for Gaussian Dynamic Term Structure Models," Staff Working Papers 13-10, Bank of Canada.
    21. Martin Ellison & Andreas Tischbirek, 2021. "Beauty Contests and the Term Structure [Risk Premia and Term Premia in General Equilibrium]," Journal of the European Economic Association, European Economic Association, vol. 19(4), pages 2234-2282.
    22. NAKAJIMA, Jouchi, 2025. "Impact of US Monetary Policy Spillovers and Yield Curve Control Policy," Discussion Paper Series 760, Institute of Economic Research, Hitotsubashi University.
    23. 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.
    24. B. De Backer & M. Deroose & Ch. Van Nieuwenhuyze, 2019. "Is a recession imminent? The signal of the yield curve," Economic Review, National Bank of Belgium, issue i, pages 69-93, June.
    25. Plakandaras, Vasilios & Gogas, Periklis & Papadimitriou, Theophilos & Gupta, Rangan, 2019. "A re-evaluation of the term spread as a leading indicator," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 476-492.
    26. Mr. Luis Brandão-Marques & Mr. Gaston Gelos & Ms. Natalia Melgar, 2013. "Country Transparency and the Global Transmission of Financial Shocks," IMF Working Papers 2013/156, International Monetary Fund.
    27. Alexander Guarín & José Fernando Moreno & Hernando Vargas, 2014. "An Empirical Analysis of the Relationship between US and Colombian Long-Term Sovereign Bond Yields?," Borradores de Economia 11311, Banco de la Republica.
    28. 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.
    29. Andreasen, Martin M & Meldrum, Andrew, 2015. "Market beliefs about the UK monetary policy life-off horizon: a no-arbitrage shadow rate term structure model approach," Bank of England working papers 541, Bank of England.
    30. Vasilios Plakandaras & Periklis Gogas & Theophilos Papadimitriou & Rangan Gupta, 2016. "The Term Premium as a Leading Macroeconomic Indicator," Working Papers 201613, University of Pretoria, Department of Economics.
    31. Tobias Adrian & J. Nellie Liang, 2014. "Monetary policy, financial conditions, and financial stability," Staff Reports 690, Federal Reserve Bank of New York.
    32. Bruno Feunou & Zabi Tarshi, 2024. "Deriving Longer-Term Inflation Expectations and Inflation Risk Premium Measures for Canada," Discussion Papers 2024-09, Bank of Canada.
    33. Bandi, Federico M. & Bretscher, Lorenzo & Tamoni, Andrea, 2023. "Return predictability with endogenous growth," Journal of Financial Economics, Elsevier, vol. 150(3).
    34. Obstfeld, Maurice & Cerutti, Eugenio & Zhou, Haonan, 2019. "Covered Interest Parity Deviations: Macrofinancial Determinants," CEPR Discussion Papers 13886, C.E.P.R. Discussion Papers.
    35. Hitesh Doshi & Kris Jacobs & Rui Liu, 2021. "Information in the Term Structure: A Forecasting Perspective," Management Science, INFORMS, vol. 67(8), pages 5255-5277, August.
    36. Michael D. Bauer & Glenn D. Rudebusch, 2019. "Interest Rates Under Falling Stars," Working Paper Series 2017-16, Federal Reserve Bank of San Francisco.
    37. De Graeve, Ferre & Queijo von Heideken, Virginia, 2013. "Identifying Fiscal Inflation," Working Paper Series 273, Sveriges Riksbank (Central Bank of Sweden).
    38. Kaszab, Lorant & Marsal, Ales, 2013. "Fiscal Policy and the Nominal Term Premium," Cardiff Economics Working Papers E2013/13, Cardiff University, Cardiff Business School, Economics Section.
    39. Elías Albagli & Danilo Leiva-Leon & Diego Saravia, 2016. "U.S. Monetary Spillovers to Latin America: The Role of Long-term Interest Rates," Central Banking, Analysis, and Economic Policies Book Series, in: Elías Albagli & Diego Saravia & Michael Woodford (ed.),Monetary Policy through Asset Markets: Lessons from Unconventional Measures and Implications for an Integrated World, edition 1, volume 24, chapter 9, pages 285-307, Central Bank of Chile.
    40. Charles T. Carlstrom & Timothy S. Fuerst & Matthias Paustian, 2017. "Targeting Long Rates in a Model with Segmented Markets," American Economic Journal: Macroeconomics, American Economic Association, vol. 9(1), pages 205-242, January.
    41. Elizondo Rocío, 2023. "The Three Intelligible Factors of the Yield Curve in Mexico," Working Papers 2023-13, Banco de México.
    42. Bu, Chunya & Rogers, John & Wu, Wenbin, 2021. "A unified measure of Fed monetary policy shocks," Journal of Monetary Economics, Elsevier, vol. 118(C), pages 331-349.
    43. Marcello Pericoli & Marco Taboga, 2022. "Nearly Exact Bayesian Estimation of Non-linear No-Arbitrage Term-Structure Models [Pricing the Term Structure with Linear Regressions]," Journal of Financial Econometrics, Oxford University Press, vol. 20(5), pages 807-838.
    44. 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.
    45. Abbritti, Mirko & Carcel, Hector & Gil-Alana, Luis & Moreno, Antonio, 2023. "Term premium in a fractionally cointegrated yield curve," Journal of Banking & Finance, Elsevier, vol. 149(C).
    46. Li, Junye & Sarno, Lucio & Zinna, Gabriele, 2024. "Risks and risk premia in the US Treasury market," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
    47. Dániel Horváth & Péter Kálmán & Zalán Kocsis & Imre Ligeti, 2014. "What factors influence the yield curve?," MNB Bulletin (discontinued), Magyar Nemzeti Bank (Central Bank of Hungary), vol. 9(1), pages 28-39, March.
    48. Emanuel Kopp & Peter D. Williams, 2018. "A Macroeconomic Approach to the Term Premium," IMF Working Papers 2018/140, International Monetary Fund.
    49. Andreasen, Martin M. & Christensen, Bent Jesper, 2015. "The SR approach: A new estimation procedure for non-linear and non-Gaussian dynamic term structure models," Journal of Econometrics, Elsevier, vol. 184(2), pages 420-451.
    50. Michael D. Bauer & Glenn D. Rudebusch, 2017. "Resolving the Spanning Puzzle in Macro-Finance Term Structure Models," Review of Finance, European Finance Association, vol. 21(2), pages 511-553.
    51. De Backer, Bruno & Dewachter, Hans & Iania, Leonardo, 2021. "Macrofinancial information on the post-COVID-19 economic recovery: Will it be V, U or L-shaped?," LIDAM Reprints LFIN 2021007, Université catholique de Louvain, Louvain Finance (LFIN).
    52. 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.
    53. Sanjay K. Nawalkha & Xiaoyang Zhuo, 2022. "A Theory of Equivalent Expectation Measures for Contingent Claim Returns," Journal of Finance, American Finance Association, vol. 77(5), pages 2853-2906, October.
    54. Jonathan Hambur & Qazi Haque, 2024. "Can we Use High‐Frequency Data to Better Understand the Effects of Monetary Policy and its Communication? Yes and No!," The Economic Record, The Economic Society of Australia, vol. 100(328), pages 3-43, March.
    55. Wayne Passmore & Judit Temesvary, 2020. "Investor Demands for Safety, Bank Capital, and Liquidity Measurement," Finance and Economics Discussion Series 2020-079, Board of Governors of the Federal Reserve System (U.S.).
    56. Martin M. Andreasen & Tom Engsted & Stig V. Møller & Magnus Sander, 2016. "Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia," CREATES Research Papers 2016-26, Department of Economics and Business Economics, Aarhus University.
    57. Martin M. Andreasen, 2021. "The New Keynesian Model and Bond Yields," CREATES Research Papers 2021-01, Department of Economics and Business Economics, Aarhus University.
    58. Juan Andrés Espinosa-Torres & Luis Fernando Melo-Velandía & José Fernando Moreno-Gutiérrez, 2015. "Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del gobierno colombiano," Borradores de Economia 13700, Banco de la Republica.
    59. 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.
    60. 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.
    61. Eric McCoy, 2019. "A Calibration of the Term Premia to the Euro Area," European Economy - Discussion Papers 110, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    62. De Santis, Roberto A. & Tornese, Tommaso, 2024. "US monetary policy is more powerful in low economic growth regimes," Working Paper Series 2919, European Central Bank.
    63. 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.
    64. 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).
    65. Matthew Greenwood-Nimmo & Daan Steenkamp & Rossouw van Jaarsveld, 2022. "A banklevel analysis of interest rate passthrough in South Africa," Working Papers 11027, South African Reserve Bank.
    66. 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.
    67. Lakdawala, Aeimit & Moreland, Timothy & Schaffer, Matthew, 2021. "The international spillover effects of US monetary policy uncertainty," Journal of International Economics, Elsevier, vol. 133(C).
    68. Peter Hooper & Frederic S. Mishkin & Amir Sufi, 2019. "Prospects for Inflation in a High Pressure Economy: Is the Phillips Curve Dead or is It Just Hibernating?," NBER Working Papers 25792, National Bureau of Economic Research, Inc.
    69. Russell Barnett & Konrad Zmitrowicz, 2018. "Assessing the Impact of Demand Shocks on the US Term Premium," Discussion Papers 18-7, Bank of Canada.
    70. Januj Juneja, 2025. "What is the Effect of Restrictions Imposed by Principal Components Analysis on the Empirical Performance of Dynamic Term Structure Models?," Computational Economics, Springer;Society for Computational Economics, vol. 65(5), pages 2505-2543, May.
    71. Mitsuru Katagiri & Koji Takahashi, 2017. "Do Term Premiums Matter? Transmission via Exchange Rate Dynamics," Bank of Japan Working Paper Series 17-E-7, Bank of Japan.
    72. 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.
    73. José Renato Haas Ornelas & Roberto Baltieri Mauad, 2017. "Volatility Risk Premia and Future Commodity Returns," Working Papers Series 455, Central Bank of Brazil, Research Department.
    74. Böhl, Gregor & Goy, Gavin & Strobel, Felix, 2020. "A structural investigation of quantitative easing," IMFS Working Paper Series 142, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    75. Chernov, Mikhail & Creal, Drew & Hördahl, Peter, 2020. "Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds," CEPR Discussion Papers 14986, C.E.P.R. Discussion Papers.
    76. Tobias Adrian & Erkko Etula, 2010. "Funding liquidity risk and the cross-section of stock returns," Staff Reports 464, Federal Reserve Bank of New York.
    77. Edward N Gamber & Julie K Smith, 2020. "Monetary policy and the yield curve," Economics Bulletin, AccessEcon, vol. 40(1), pages 407-424.
    78. Fricke, Christoph & Menkhoff, Lukas, 2014. "Financial conditions, macroeconomic factors and (un)expected bond excess returns," Discussion Papers 35/2014, Deutsche Bundesbank.
    79. 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.
    80. Dedola, Luca & Georgiadis, Georgios & Gräb, Johannes & Mehl, Arnaud, 2020. "Does a big bazooka matter? Quantitative easing policies and exchange rates," Research Bulletin, European Central Bank, vol. 76.
    81. Bundick, Brent & Herriford, Trenton & Smith, A. Lee, 2024. "The Term Structure of Monetary Policy Uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 160(C).
    82. Georgiadis, Georgios & Jarociński, Marek, 2023. "Global spillovers from multi-dimensional US monetary policy," Working Paper Series 2881, European Central Bank.
    83. Lo Duca, Marco & Nicoletti, Giulio & Vidal Martinez, Ariadna, 2014. "Global corporate bond issuance: what role for US quantitative easing?," Working Paper Series 1649, European Central Bank.
    84. Ali Alichi & Kevin Clinton & Charles Freedman & Mr. Ondrej Kamenik & Michel Juillard & Mr. Douglas Laxton & Mr. Jarkko Turunen & Hou Wang, 2015. "Avoiding Dark Corners: A Robust Monetary Policy Framework for the United States," IMF Working Papers 2015/134, International Monetary Fund.
    85. Candelon, Bertrand & Moura, Rubens, 2021. "A Multicountry Model of the Term Structures of Interest Rates with a GVAR," LIDAM Discussion Papers LFIN 2021007, Université catholique de Louvain, Louvain Finance (LFIN).
    86. Michael D. Bauer & Thomas M. Mertens, 2018. "Information in the Yield Curve about Future Recessions," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.
    87. Alberto Ortiz-Bolaños & Sebastián Cadavid-Sánchez & Gerardo Kattan-Rodríguez, 2018. "Targeting Long-term Rates in a Model with Financial Frictions and Regime Switching," Investigación Conjunta-Joint Research, in: Alberto Ortiz-Bolaños (ed.), Monetary Policy and Financial Stability in Latin America and the Caribbean, edition 1, volume 1, chapter 6, pages 159-219, Centro de Estudios Monetarios Latinoamericanos, CEMLA.
    88. Peter Van Tassel, 2017. "Global Variance Term Premia and Intermediary Risk Appetite," 2017 Meeting Papers 149, Society for Economic Dynamics.
    89. Chen, Zhengyang, 2019. "The Long-term Rate and Interest Rate Volatility in Monetary Policy Transmission," MPRA Paper 96339, University Library of Munich, Germany.
    90. Teddy Lazebnik & Tzach Fleischer & Amit Yaniv-Rosenfeld, 2023. "Benchmarking Biologically-Inspired Automatic Machine Learning for Economic Tasks," Sustainability, MDPI, vol. 15(14), pages 1-9, July.
    91. Carlo Altavilla & Domenico Giannone & Michèle Modugno, 2014. "Low Frequency Effects of Macroeconomic News on Government Bond Yields," Working Papers ECARES ECARES 2014-34, ULB -- Universite Libre de Bruxelles.
    92. Almeida, Caio & Ardison, Kym & Kubudi, Daniela, 2014. "Approximating Risk Premium on a Parametric Arbitrage-free Term Structure Model," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 34(2), November.
    93. Erkko Etula, 2013. "Broker-Dealer Risk Appetite and Commodity Returns," Journal of Financial Econometrics, Oxford University Press, vol. 11(3), pages 486-521, June.
    94. Januj Juneja, 2015. "An evaluation of alternative methods used in the estimation of Gaussian term structure models," Review of Quantitative Finance and Accounting, Springer, vol. 44(1), pages 1-24, January.
    95. Phurichai Rungcharoenkitkul & Fabian Winkler, 2022. "The Natural Rate of Interest Through a Hall of Mirrors," Finance and Economics Discussion Series 2022-010, Board of Governors of the Federal Reserve System (U.S.).
    96. Camelia Minoiu & Andrés Schneider & Min Wei, 2023. "Why Does the Yield Curve Predict GDP Growth? The Role of Banks," FRB Atlanta Working Paper 2023-14, Federal Reserve Bank of Atlanta.
    97. Davis, Josh & Fuenzalida, Cristian & Huetsch, Leon & Mills, Benjamin & Taylor, Alan M., 2024. "Global natural rates in the long run: Postwar macro trends and the market-implied r∗ in 10 advanced economies," Journal of International Economics, Elsevier, vol. 149(C).
    98. Maciej Stefański, 2021. "Macroeconomic Effects of Quantitative Easing Using Mid-sized Bayesian Vector Autoregressions," KAE Working Papers 2021-068, Warsaw School of Economics, Collegium of Economic Analysis.
    99. Fricke, Christoph, 2012. "Expected and unexpected bond excess returns: Macroeconomic and market microstructure effects," Hannover Economic Papers (HEP) dp-493, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    100. Thomas H. McInish & Christopher J. Neely & Jade Planchon, 2017. "Unconventional monetary policy and the behavior of shorts," Working Papers 2017-031, Federal Reserve Bank of St. Louis, revised 30 Sep 2021.
    101. Richhild Moessner & Phurichai Rungcharoenkitkul, 2019. "The zero lower bound, forward guidance and how markets respond to news," BIS Quarterly Review, Bank for International Settlements, March.
    102. Grzegorz Wesoƚowski, 2018. "Do long-term interest rates drive GDP and inflation in small open economies? Evidence from Poland," Applied Economics, Taylor & Francis Journals, vol. 50(57), pages 6174-6192, December.
    103. Mr. Manmohan Singh & Rohit Goel, 2019. "Pledged Collateral Market's Role in Transmission to Short-Term Market Rates," IMF Working Papers 2019/106, International Monetary Fund.
    104. Juan Andrés Espinosa-Torres & Jose E. Gomez-Gonzalez & Luis Fernando Melo-Velandia & José Fernando Moreno-Gutiérrez, 2015. "The International Transmission of Risk: Causal Relations Among Developed and Emerging Countries’ Term Premia," Borradores de Economia 12609, Banco de la Republica.
    105. Elias Albagli & Luis Ceballos & Sebastián Claro & Damian Romero, 2018. "Channels of US monetary policy spillovers to international bond markets," BIS Working Papers 719, Bank for International Settlements.
    106. Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne & Guillaume Roussellet, 2017. "Staying at zero with affine processes : an application to term structure modelling," Rue de la Banque, Banque de France, issue 52, november.
    107. Mierau, Joachim & Mink, Mark, 2016. "A descriptive model of banking an aggregate demand," Research Report 16011-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
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    250. Maciej Stefański, 2023. "Quantitative Easing During the COVID-19 Pandemic: A Cross-Country Study," KAE Working Papers 2023-088, Warsaw School of Economics, Collegium of Economic Analysis.
    251. Adrian, Tobias & Kiff, John & Shin, Hyun Song, 2018. "Liquidity, Leverage, and Regulation Ten Years after the Global Financial Crisis," CEPR Discussion Papers 13350, C.E.P.R. Discussion Papers.
    252. Kim, Daehwan & Moneta, Fabio, 2021. "Long-term foreign exchange risk premia and inflation risk," International Review of Financial Analysis, Elsevier, vol. 78(C).
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    254. 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.
    255. 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.
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    257. Joseph P Byrne & Shuo Cao, 2024. "Decomposing Uncertainty in Macro-Finance Term Structure Models," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 14(3), pages 428-449.
    258. 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.
    259. Markus Leippold & Felix Matthys, 2022. "Economic Policy Uncertainty and the Yield Curve [Pricing the term structure with linear regressions]," Review of Finance, European Finance Association, vol. 26(4), pages 751-797.
    260. 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.
    261. Matteo Cacciatore & Bruno Feunou & Galip Kemal Ozhan, 2024. "The Neutral Interest Rate: Past, Present and Future," Discussion Papers 2024-03, Bank of Canada.
    262. Bruna, Karel & Tran, Quang Van, 2020. "The central banks’ ability to control variability of money market interest rates: The case of inflation targeting countries," Journal of Economic Behavior & Organization, Elsevier, vol. 176(C), pages 384-402.
    263. Andreasen, Martin M & Meldrum, Andrew, 2015. "Dynamic term structure models: the best way to enforce the zero lower bound in the United States," Bank of England working papers 550, Bank of England.
    264. Jeff W. Huther & Jane E. Ihrig & Elizabeth C. Klee, 2017. "The Federal Reserve's Portfolio and its Effect on Interest Rates," Finance and Economics Discussion Series 2017-075, Board of Governors of the Federal Reserve System (U.S.).
    265. Ying, Shan & Sheen, Jeffrey & Gu, Xin & Wang, Ben Zhe, 2025. "Does monetary policy uncertainty moderate the transmission of policy shocks to government bond yields?," Journal of International Money and Finance, Elsevier, vol. 154(C).
    266. Christensen, Bent Jesper & van der Wel, Michel, 2019. "An asset pricing approach to testing general term structure models," Journal of Financial Economics, Elsevier, vol. 134(1), pages 165-191.
    267. Juneja, Januj A., 2016. "Financial crises and estimation bias in international bond markets," Research in International Business and Finance, Elsevier, vol. 38(C), pages 593-607.
    268. Vázquez, Jesús & Aguilar, Pablo, 2021. "Adaptive learning with term structure information," European Economic Review, Elsevier, vol. 134(C).
    269. 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.
    270. Januj Amar Juneja, 2021. "How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models?," Computational Management Science, Springer, vol. 18(1), pages 73-97, January.
    271. Richard K. Crump & Stefano Eusepi & Emanuel Moench & Bruce Preston, 2021. "The Term Structure of Expectations," Staff Reports 992, Federal Reserve Bank of New York.
    272. Roman Horvath & Lorant Kaszab & Ales Marsal, 2022. "Interest rate rules and inflation risks in a macro‐finance model," Scottish Journal of Political Economy, Scottish Economic Society, vol. 69(4), pages 416-440, September.
    273. Peter D. Williams & Mr. Yasser Abdih & Emanuel Kopp, 2020. "Reading the Stars," IMF Working Papers 2020/136, International Monetary Fund.
    274. 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.
    275. Stephanie E. Curcuru & Steven B. Kamin & Canlin Li & Marius del Giudice Rodriguez, 2018. "International Spillovers of Monetary Policy : Conventional Policy vs. Quantitative Easing," International Finance Discussion Papers 1234, Board of Governors of the Federal Reserve System (U.S.).
    276. Mr. Ralph Chami & Mr. Thomas F. Cosimano & Ms. Celine Rochon & Julieta Yung, 2020. "Riding the Yield Curve: Risk Taking Behavior in a Low Interest Rate Environment," IMF Working Papers 2020/053, International Monetary Fund.
    277. Falk Bräuning & José Fillat & J. Christina Wang, 2020. "Corporate Debt Maturity and Monetary Policy," Current Policy Perspectives 88967, Federal Reserve Bank of Boston.
    278. Sophocles N. Brissimis & Evangelia A. Georgiou, 2022. "The effects of Federal Reserve's quantitative easing and balance sheet normalization policies on long-term interest rates," Working Papers 299, Bank of Greece.
    279. Rebecca Hellerstein, 2011. "Global bond risk premiums," Staff Reports 499, Federal Reserve Bank of New York.
    280. 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.
    281. Mr. Phurichai Rungcharoenkitkul, 2011. "Risk Sharing and Financial Contagion in Asia: An Asset Price Perspective," IMF Working Papers 2011/242, International Monetary Fund.
    282. Sylvérie Herbert & Klodiana Istrefi & Béatrice Sagna, 2024. "Coordinating the Message: Media Coverage of Fed News and Market Reactions," Working papers 983, Banque de France.
    283. 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.
    284. Ken Nyholm, 2018. "A Rotated Dynamic Nelson†Siegel Model," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 47(1), pages 113-124, February.
    285. Bulíř, Aleš & Vlček, Jan, 2021. "Monetary transmission: Are emerging market and low-income countries different?," Journal of Policy Modeling, Elsevier, vol. 43(1), pages 95-108.
    286. Luis Ceballos & Jorge A. Fornero & Andrés Gatty, 2017. "Nuevas estimaciones de la tasa real neutral de Chile," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 20(3), pages 120-143, December.
    287. Li, Jing, 2018. "Essays on model uncertainty in financial models," Other publications TiSEM 202cd910-7ef1-4db4-94ae-d, Tilburg University, School of Economics and Management.
    288. Oshima, Katsuhiro, 2020. "Search for yield and business cycles," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    289. 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.
    290. Robert L. Hetzel, 2016. "A Proposal to Clarify the Objectives and Strategy of Monetary Policy," Working Paper 16-11, Federal Reserve Bank of Richmond.
    291. Martin M. Andreasen & Andrew C. Meldrum, 2018. "A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States," Finance and Economics Discussion Series 2018-056, Board of Governors of the Federal Reserve System (U.S.).
    292. Stefania D’Amico & N Aaron Pancost, 2022. "Special Repo Rates and the Cross-Section of Bond Prices: The Role of the Special Collateral Risk Premium [Pr icing the term structure with linear regressions]," Review of Finance, European Finance Association, vol. 26(1), pages 117-162.
    293. Brent Bundick & Trenton Herriford & Andrew Lee Smith, 2017. "Forward Guidance, Monetary Policy Uncertainty, and the Term Premium," Research Working Paper RWP 17-7, Federal Reserve Bank of Kansas City.
    294. Tanaka, Hiroatsu, 2025. "Equilibrium yield curves with imperfect information," Journal of Monetary Economics, Elsevier, vol. 149(C).
    295. Januj Amar Juneja, 2022. "A Computational Analysis of the Tradeoff in the Estimation of Different State Space Specifications of Continuous Time Affine Term Structure Models," Computational Economics, Springer;Society for Computational Economics, vol. 60(1), pages 173-220, June.
    296. Martin M. Andreasen & Andrew Meldrum, 2014. "Dynamic term structure models: The best way to enforce the zero lower bound," CREATES Research Papers 2014-47, Department of Economics and Business Economics, Aarhus University.
    297. J. Benson Durham, 2013. "More on U.S. Treasury term premiums: spot and expected measures," Staff Reports 658, Federal Reserve Bank of New York.
    298. Mr. Tao Wu, 2014. "Unconventional Monetary Policy and Long-Term Interest Rates," IMF Working Papers 2014/189, International Monetary Fund.
    299. Christian Grisse & Silvio Schumacher, 2018. "Term structure dynamics at low and negative interest rates—evidence from Switzerland," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 154(1), pages 1-17, December.
    300. Jonathan Hambur & Qazi Haque, 2023. "Can we use high-frequency yield data to better understand the effects of monetary policy and its communication? Yes and no!," School of Economics and Public Policy Working Papers 2023-03 Classification-E4, University of Adelaide, School of Economics and Public Policy.
    301. Herwartz, Helmut & Rohloff, Hannes, 2018. "Less bang for the buck? Assessing the role of inflation uncertainty for U.S. monetary policy transmission in a data rich environment," University of Göttingen Working Papers in Economics 358, University of Goettingen, Department of Economics.
    302. Daejin Kim, 2025. "Term Structure and Risk Premiums of Commodity Futures With Linear Regressions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(2), pages 118-142, February.
    303. Norman R. Swanson & Weiqi Xiong & Xiye Yang, 2020. "Predicting interest rates using shrinkage methods, real‐time diffusion indexes, and model combinations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(5), pages 587-613, August.
    304. Giuseppe Grande & Adriana Grasso & Gabriele Zinna, 2019. "The effectiveness of the ECB’s asset purchases at the lower bound," Questioni di Economia e Finanza (Occasional Papers) 541, Bank of Italy, Economic Research and International Relations Area.
    305. Benjamin H Cohen & Peter Hördahl & Dora Xia, 2018. "Term premia: models and some stylised facts," BIS Quarterly Review, Bank for International Settlements, March.
    306. Juneja, Januj, 2017. "How Germany benefits the most from its Eurozone membership," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1074-1088.
    307. Sanveer Hariparsad & Eben Maré, 2024. "Optimal Monetary and Fiscal Policies to Maximise Non-Parallel Risk Premia in Sovereign Bond Markets," JRFM, MDPI, vol. 17(11), pages 1-33, November.
    308. Emanuel Mönch, 2019. "The term structures of global yields," BIS Papers chapters, in: Bank for International Settlements (ed.), Asia-Pacific fixed income markets: evolving structure, participation and pricing, volume 102, pages 3-15, Bank for International Settlements.
    309. Bruno Feunou & Jean-Sébastien Fontaine, 2021. "Debt-Secular Economic Changes and Bond Yields," Staff Working Papers 21-14, Bank of Canada.
    310. Gianni Amisano & Oreste Tristani, 2023. "Monetary policy and long‐term interest rates," Quantitative Economics, Econometric Society, vol. 14(2), pages 689-716, May.
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    312. Bluwstein, Kristina & Yung, Julieta, 2019. "Back to the real economy: the effects of risk perception shocks on the term premium and bank lending," Bank of England working papers 806, Bank of England.
    313. 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.
    314. Miescu, Mirela & Mumtaz, Haroon & Theodoridis, Konstantinos, 2024. "Non-linear Dynamics of Oil Supply News Shocks," Cardiff Economics Working Papers E2024/18, Cardiff University, Cardiff Business School, Economics Section.
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    321. 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).
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  19. Matias D. Cattaneo & Richard K. Crump & Michael Jansson, 2013. "Generalized Jackknife Estimators of Weighted Average Derivatives," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 108(504), pages 1243-1256, December.
    See citations under working paper version above.
  20. Cattaneo, Matias D. & Crump, Richard K. & Jansson, Michael, 2012. "Optimal inference for instrumental variables regression with non-Gaussian errors," Journal of Econometrics, Elsevier, vol. 167(1), pages 1-15.
    See citations under working paper version above.
  21. Richard Crump & Gopi Shah Goda & Kevin J. Mumford, 2011. "Fertility and the Personal Exemption: Comment," American Economic Review, American Economic Association, vol. 101(4), pages 1616-1628, June.
    See citations under working paper version above.
  22. Cattaneo, Matias D. & Crump, Richard K. & Jansson, Michael, 2010. "Robust Data-Driven Inference for Density-Weighted Average Derivatives," Journal of the American Statistical Association, American Statistical Association, vol. 105(491), pages 1070-1083.
    See citations under working paper version above.
  23. Richard K. Crump & V. Joseph Hotz & Guido W. Imbens & Oscar A. Mitnik, 2009. "Dealing with limited overlap in estimation of average treatment effects," Biometrika, Biometrika Trust, vol. 96(1), pages 187-199.
    See citations under working paper version above.
  24. Richard K. Crump & V. Joseph Hotz & Guido W. Imbens & Oscar A. Mitnik, 2008. "Nonparametric Tests for Treatment Effect Heterogeneity," The Review of Economics and Statistics, MIT Press, vol. 90(3), pages 389-405, August.
    See citations under working paper version above.
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