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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. De Angelis, Luca & Monasterolo, Irene & Zanin, Luca, 2026. "Look up and ahead: How climate scenarios affect European sovereign credit risk," International Review of Economics & Finance, Elsevier, vol. 107(C).
    2. Ahn, Hie Joo & Rudd, Jeremy B., 2025. "(Re-)Connecting inflation and the labor market: A tale of two curves," Journal of Monetary Economics, Elsevier, vol. 153(C).
    3. 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.
    4. Hall, Robert E. & Kudlyak, Marianna, 2025. "The active role of the natural rate of unemployment," Research in Economics, Elsevier, vol. 79(4).
    5. Jonathon Hazell & Stephan Hobler, 2025. "Do Deficits Cause Inflation? A High Frequency Narrative Approach," Discussion Papers 2505, Centre for Macroeconomics (CFM).
    6. 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.
    7. Jonathon Hazell & Stephan Hobler, 2024. "Do Deficits Cause Inflation? A High Frequency Narrative Approach," Discussion Papers 2439, Centre for Macroeconomics (CFM).
    8. Luca Gagliardone & Mark Gertler, 2026. "Oil Prices, Monetary Policy, and Inflation Surges," American Economic Journal: Macroeconomics, American Economic Association, vol. 18(4), pages 468-501, October.
    9. Brož, Václav & Teplý, Petr, 2025. "From collapse to contagion: How bank failures influence stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 79(C).
    10. Ivan Todorov & Gergana Angelova, 2026. "The Phillips Curve in Bulgaria: Is the Trade-Off between Inflation and Unemployment Possible?," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 2, pages 433-446, June.
    11. Faberman, R. Jason & Mueller, Andreas I. & Şahin, Ayşegül, 2022. "Has the Willingness to Work Fallen during the Covid Pandemic?," Labour Economics, Elsevier, vol. 79(C).
    12. 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.
    13. Bårdsen, Gunnar & Nymoen, Ragnar, 2024. "U.S. wage-price dynamics, before, during and after COVID-19, through the lens of an empirical econometric model," Memorandum 1/2024, Oslo University, Department of Economics.
    14. Miguel Ampudia & Marco Jacopo Lombardi & Théodore Renault, 2024. "The wage-price pass-through across sectors: evidence from the euro area," BIS Working Papers 1192, Bank for International Settlements.
    15. 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.
    16. Kakuho Furukawa & Yoshihiko Hogen & Yosuke Kido, "undated". "Labor Market of Regular Workers in Japan: A Perspective from Job Advertisement Data," Bank of Japan Working Paper Series 23-E-7, Bank of Japan.
    17. 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).
    18. 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.
    19. Verbrugge, Randal & Zaman, Saeed, 2023. "The hard road to a soft landing: Evidence from a (modestly) nonlinear structural model," Energy Economics, Elsevier, vol. 123(C).
    20. Jonathan H. Wright, 2023. "Breaks in the Phillips Curve: Evidence from Panel Data," Finance and Economics Discussion Series 2023-015, Board of Governors of the Federal Reserve System (U.S.).
    21. 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.
    22. Ayşe Arı & Jørgen T. Lauridsen, 2025. "The Impact of Renewable Energy Diversity on Inflation: A Case Study Based on China," Sustainability, MDPI, vol. 17(17), pages 1-21, August.
    23. Jonathan Garita-Garita & Catalina Sandoval-Alvarado, 2023. "Estimating Labor Market Slackness in Costa Rica," Documentos de Trabajo 2302, Banco Central de Costa Rica.
    24. 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.

  2. Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2024. "Is There Hope for the Expectations Hypothesis?," Staff Reports 1098, Federal Reserve Bank of New York.

    Cited by:

    1. 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.

  3. Richard K. Crump & Nikolay Gospodinov & Ignacio Lopez Gaffney, 2024. "A New Jackknife Variance Estimator for Time-Series and 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.

  4. Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Yingjie Feng, 2024. "Nonlinear Binscatter Methods," Papers 2407.15276, arXiv.org, revised Aug 2026.

    Cited by:

    1. 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).

  5. 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.

  6. Nina Boyarchenko & Richard K. Crump & Leonardo Elias & Ignacio Lopez Gaffney, 2023. "Look Out for Outlook-at-Risk," Liberty Street Economics 20230517, Federal Reserve Bank of New York.

    Cited by:

    1. Lenza, Michele & Moutachaker, Inès & Paredes, Joan, 2025. "Density forecasts of inflation: A quantile regression forest approach," European Economic Review, Elsevier, vol. 178(C).

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

  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. Barthélemy, Jean & Gardin, Paul & Nguyen, Benoit, 2026. "Stablecoins and short-term funding markets," Journal of International Money and Finance, Elsevier, vol. 161(C).
    4. Matteo Aquilina & Andreas Schrimpf & Karamfil Todorov, 2023. "CP and CDs markets: a primer," BIS Quarterly Review, Bank for International Settlements, September.

  9. 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. 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.
    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. McNeil, James, 2023. "Monetary policy and the term structure of inflation expectations with information frictions," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).

  10. 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. Markku Lanne & Jani Luoto & Adam Rybarczyk, 2026. "Inference in Tightly Identified and Large-Scale Sign-Restricted SVARs," Papers 2604.22445, arXiv.org, revised May 2026.
    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. Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2022. "Nowcasting with large Bayesian vector autoregressions," Journal of Econometrics, Elsevier, vol. 231(2), pages 500-519.
    5. Addie, Ron & Taranto, Aldo, 2024. "Economic Similarities and their Application to Inflation," EconStor Preprints 283286, ZBW - Leibniz Information Centre for Economics.
    6. Kéa Baret & Frédérique Bec & Marion Cochard, 2025. "Quantifying Uncertainty in France’s Debt Trajectory: A VAR Based Analysis," Working papers 1019, Banque de France.
    7. Chan, Joshua C.C. & Pettenuzzo, Davide & Poon, Aubrey & Zhu, Dan, 2025. "Conditional forecasts in large Bayesian VARs with multiple equality and inequality constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 173(C).
    8. Harrison Katz & Robert E. Weiss, 2025. "Bayesian Shrinkage in High-Dimensional VAR Models: A Comparative Study," International Journal of Statistics and Probability, Canadian Center of Science and Education, vol. 14(3), pages 1-1, October.

  11. 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. Simone Letta & Pasquale Mirante, 2023. "Investigating the determinants of corporate bond credit spreads in the euro area," Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems) 36, Bank of Italy, Directorate General for Markets and Payment System.
    2. Rishmawi, José & Rojas, Cristian, 2026. "Impact of the access to Fogape-Covid program on firm delinquency: Evidence from commercial loans within the banking system," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 7(3).
    3. Boyarchenko, Nina & Kovner, Anna & Shachar, Or, 2022. "It’s what you say and what you buy: A holistic evaluation of the corporate credit facilities," Journal of Financial Economics, Elsevier, vol. 144(3), pages 695-731.

  12. Richard K. Crump & Domenico Giannone & David O. Lucca, 2020. "Reading the Tea Leaves of the U.S. Business Cycle—Part One," Liberty Street Economics 20200210, Federal Reserve Bank of New York.

    Cited by:

    1. Rahul Billakanti & Minchul Shin, 2026. "At-Risk Transformation for U.S. Recession Prediction," Papers 2603.07813, arXiv.org.

  13. Richard K. Crump & Domenico Giannone & David O. Lucca, 2020. "Reading the Tea Leaves of the U.S. Business Cycle—Part Two," Liberty Street Economics 20200212, Federal Reserve Bank of New York.

    Cited by:

    1. Rahul Billakanti & Minchul Shin, 2026. "At-Risk Transformation for U.S. Recession Prediction," Papers 2603.07813, arXiv.org.

  14. 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.

  15. 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.

  16. Cao, Shuo & Crump, Richard K. & Eusepi, Stefano & Moench, Emanuel, 2020. "Fundamental Disagreement about Monetary Policy and the Term Structure of Interest Rates," CEPR Discussion Papers 15122, Centre for Economic Policy Research.

    Cited by:

    1. Kenneth J. Singleton, 2021. "Presidential Address: How Much “Rationality” Is There in Bond‐Market Risk Premiums?," Journal of Finance, American Finance Association, vol. 76(4), pages 1611-1654, August.
    2. Marco Giacoletti & Kristoffer T. Laursen & Kenneth J. Singleton, 2021. "Learning From Disagreement in the U.S. Treasury Bond Market," Journal of Finance, American Finance Association, vol. 76(1), pages 395-441, February.
    3. Maryam Movahedifar & Hossein Hassani & Masoud Yarmohammadi & Mahdi Kalantari & Rangan Gupta, 2021. "A robust approach for outlier imputation: Singular Spectrum Decomposition," Working Papers 202164, University of Pretoria, Department of Economics.
    4. Christiane Baumeister, 2021. "Measuring Market Expectations," Working Papers 202163, University of Pretoria, Department of Economics.
    5. Ricardo Reis, 2020. "The People versus the Markets: A Parsimonious Model of Inflation Expectations," Discussion Papers 2033, Centre for Macroeconomics (CFM).

  17. 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. Hall, Robert E. & Kudlyak, Marianna, 2025. "The active role of the natural rate of unemployment," Research in Economics, Elsevier, vol. 79(4).
    2. 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).

  18. Crump, Richard K. & Eusepi, Stefano & Giannoni, Marc & Şahin, Ayşegül, 2019. "A Unified Approach to Measuring u," CEPR Discussion Papers 13939, Centre for Economic Policy Research.

    Cited by:

    1. 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.
    2. Jørgensen, Peter Lihn & Lansing, Kevin J., 2025. "Anchored inflation expectations and the slope of the Phillips curve," European Economic Review, Elsevier, vol. 178(C).
    3. Sebastian Heise & Fatih Karahan & Ayşegül Şahin, 2022. "The Missing Inflation Puzzle: The Role of the Wage‐Price Pass‐Through," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(S1), pages 7-51, February.
    4. Hie Joo Ahn & Bart Hobijn & Ayşegül Şahin, 2023. "The Dual U.S. Labor Market Uncovered," Working Paper Series WP 2023-18, Federal Reserve Bank of Chicago.
    5. Hall, Robert E. & Kudlyak, Marianna, 2025. "The active role of the natural rate of unemployment," Research in Economics, Elsevier, vol. 79(4).
    6. 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.
    7. 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.
    8. Peter D. Williams & Mr. Yasser Abdih & Emanuel Kopp, 2020. "Reading the Stars," IMF Working Papers 2020/136, International Monetary Fund.
    9. 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).
    10. Fatih Karahan & Benjamin Pugsley & Ayşegül Şahin, 2019. "Demographic origins of the startup deficit," Staff Reports 888, Federal Reserve Bank of New York.
    11. Mongey, Simon & Violante, Giovanni L., 2019. "Macro Recruiting Intensity from Micro Data," CEPR Discussion Papers 14004, Centre for Economic Policy Research.
    12. Hall, Robert E. & Kudlyak, Marianna, 2022. "The Inexorable Recoveries of Unemployment," IZA Discussion Papers 15135, IZA Network @ LISER.
    13. Skufi, Lorena & Papavangjeli, Meri & Geršl, Adam, 2025. "Migration, remittances, and wage-inflation spillovers: The case of Albania," Economic Systems, Elsevier, vol. 49(4).
    14. 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.
    15. Bruce Fallick & Pawel Krolikowski, 2019. "Excess Persistence in Employment of Disadvantaged Workers," Working Papers 18-01R, Federal Reserve Bank of Cleveland.
    16. 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).
    17. 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.).
    18. Fosso, Luca, 2025. "Decomposing US economic fluctuations: a trend-cycle approach," Working Paper Series 3138, European Central Bank.
    19. Kurt Graden Lunsford, 2023. "Business Cycles and Low-Frequency Fluctuations in the US Unemployment Rate," Working Papers 23-19, Federal Reserve Bank of Cleveland.
    20. 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.
    21. Del Negro, Marco & Lenza, Michele & Primiceri, Giorgio & Tambalotti, Andrea, 2020. "What's up with the Phillips Curve?," CEPR Discussion Papers 14583, Centre for Economic Policy Research.
    22. Sengul, Gonul & Tasci, Murat, 2020. "Unemployment flows, participation, and the natural rate of unemployment: Evidence from turkey," Journal of Macroeconomics, Elsevier, vol. 64(C).
    23. Murasawa Yasutomo, 2022. "Bayesian multivariate Beveridge–Nelson decomposition of I(1) and I(2) series with cointegration," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 26(3), pages 387-415, June.
    24. Bruce Fallick & Christopher L. Foote, 2022. "The Impact of the Age Distribution on Unemployment: Evidence from US States," Working Papers 22-27, Federal Reserve Bank of Cleveland.
    25. Canova, Fabio, 2020. "FAQ: How do I measure the Output gap?," CEPR Discussion Papers 14943, Centre for Economic Policy Research.
    26. Artem Vdovychenko, 2022. "Estimating the natural rate of unemployment for Ukraine," IHEID Working Papers 21-2022, Economics Section, The Graduate Institute of International Studies.
    27. Michaillat, Pascal & Saez, Emmanuel, 2019. "Beveridgean Unemployment Gap," CEPR Discussion Papers 14132, Centre for Economic Policy Research.
    28. Richard K. Crump & Nikolay Gospodinov & Hunter Wieman, 2023. "Sparse Trend Estimation," Staff Reports 1049, Federal Reserve Bank of New York.
    29. Serdar Birinci & Kurt See & Shu Lin Wee, 2021. "Job Applications and Labour Market Flows," Staff Working Papers 21-49, Bank of Canada.
    30. 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.
    31. 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.
    32. Ahn, Hie Joo, 2023. "Duration structure of unemployment hazards and the trend unemployment rate," Journal of Economic Dynamics and Control, Elsevier, vol. 151(C).
    33. John D. Burger & Francis E. Warnock & Veronica Cacdac Warnock, 2019. "The Natural Level of Capital Flows," NBER Working Papers 26184, National Bureau of Economic Research, Inc.
    34. Fujiwara, Ippei & Matsuyama, Kiminori, 2026. "Competition and the Phillips curve," Journal of Monetary Economics, Elsevier, vol. 159(C).
    35. 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.
    36. 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.
    37. 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.
    38. Jonathan Garita-Garita, 2025. "Estimación de la tasa natural de desempleo para Costa Rica," Ensayos de Política Económica 2503, Banco Central de Costa Rica.
    39. Mary C. Daly, 2022. "This Time Is Different…Because We Are," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, vol. 2022(05), pages 1-08, February.
    40. 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.
    41. Acharya, Sushant & Wee, Shu Lin, 2020. "On-the-job Search and the Productivity-Wage Gap," CEPR Discussion Papers 14430, Centre for Economic Policy Research.
    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.
    43. 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.
    44. Bart Hobijn & Ayşegül Şahin, 2021. "Maximum Employment and the Participation Cycle," NBER Working Papers 29222, National Bureau of Economic Research, Inc.
    45. 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.
    46. Jonathan Garita-Garita & Catalina Sandoval-Alvarado, 2023. "Estimating Labor Market Slackness in Costa Rica," Documentos de Trabajo 2302, Banco Central de Costa Rica.
    47. Eeckhout, Jan & Weng, Xi, 2024. "The technological origins of the decline in labor market dynamism," Journal of Economic Dynamics and Control, Elsevier, vol. 169(C).
    48. Canova, Fabio, 2020. "FAQ: How do I extract the output gap?," Working Paper Series 386, Sveriges Riksbank (Central Bank of Sweden).
    49. Saeed Zaman, 2021. "A Unified Framework to Estimate Macroeconomic Stars," Working Papers 21-23R2, Federal Reserve Bank of Cleveland, revised 31 May 2024.

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

    Cited by:

    1. Soroosh Soofi-Siavash & Emanuel Moench, 2021. "What Moves Treasury Yields?," Bank of Lithuania Working Paper Series 88, Bank of Lithuania.
    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 & Nyholm, Ken, 2025. "Why does the Cochrane–Piazzesi model predict treasury returns?," Journal of Empirical Finance, Elsevier, vol. 84(C).
    4. 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.
    5. Anghel, Dan Gabriel & Boitan, Iustina Alina & Marchewka-Bartkowiak, Kamilla, 2025. "Climate risk impact on Treasury securities pricing: A global perspective of short-term and long-term period," International Review of Financial Analysis, Elsevier, vol. 103(C).
    6. Boyarchenko, Nina & Crump, Richard K. & Kovner, Anna & Shachar, Or, 2025. "Corporate bond market distress," Journal of Monetary Economics, Elsevier, vol. 152(C).
    7. Andreas Schrimpf & Markus Sihvonen, 2025. "Inflation and the joint bond-FX spanning puzzle," BIS Working Papers 1320, Bank for International Settlements.

  20. 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. Evan Starr & Brent Goldfarb, 2020. "Binned scatterplots: A simple tool to make research easier and better," Strategic Management Journal, Wiley Blackwell, vol. 41(12), pages 2261-2274, December.
    2. Pedro S. Martins & Pedro Luis Silva & Madalena Temudo & Ana Pinho, 2026. "The Employment–Education Trade-off in School-Based Vocational Education: Evidence from Peers’ Choices," Working Papers wpdea2608, Department of Applied Economics at Universitat Autonoma of Barcelona.
    3. Crump, Richard K. & Eusepi, Stefano & Tambalotti, Andrea & Topa, Giorgio, 2022. "Subjective intertemporal substitution," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 118-133.
    4. Nicolás González-Pampillón & Jordi Jofre-Monseny, 2026. "How do cities absorb a large immigration shock? the role of housing," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 17(1), pages 1-30, March.
    5. Feng, Shuaizhang & Liu, Jieyi & Lu, Jingliang, 2026. "The decline of age-friendly jobs in China: Evidence from online job vacancies," Economic Modelling, Elsevier, vol. 155(C).
    6. Raphael Brade, 2024. "Short-Term Events, Long-Term Friends? Freshman Orientation Peers and Academic Performance," CESifo Working Paper Series 11046, CESifo.
    7. Bernal, David & García, Gustavo A. & Pérez Pérez, Jorge, 2025. "Better or worse job accessibility? Understanding changes in spatial mismatch: Evidence from Medellín, Colombia," Journal of Transport Geography, Elsevier, vol. 128(C).

  21. 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. Lenza, Michele & Moutachaker, Inès & Paredes, Joan, 2025. "Density forecasts of inflation: A quantile regression forest approach," European Economic Review, Elsevier, vol. 178(C).
    2. Richard K. Crump & João A. C. Santos, 2018. "Review of New York Fed studies on the effects of post-crisis banking reforms," Economic Policy Review, Federal Reserve Bank of New York, issue 24-2, pages 71-90.
    3. Filippo Busetto, 2024. "Asymmetric expectations of monetary policy," Bank of England Staff Working Paper series 1058, Bank of England.
    4. Nina Boyarchenko & Domenico Giannone & Or Shachar, 2018. "Flighty liquidity," Staff Reports 870, Federal Reserve Bank of New York.
    5. Martina Hengge, 2019. "Uncertainty as a Predictor of Economic Activity," IHEID Working Papers 19-2019, Economics Section, The Graduate Institute of International Studies.

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

    Cited by:

    1. Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Yingjie Feng, 2019. "On binscatter," Staff Reports 881, Federal Reserve Bank of New York.
    2. 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.
    3. Austin Pollok, 2025. "Predicting Realized Variance Out of Sample: Can Anything Beat The Benchmark?," Papers 2506.07928, arXiv.org.
    4. Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2017. "Dissecting Characteristics Nonparametrically," NBER Working Papers 23227, National Bureau of Economic Research, Inc.
    5. 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.
    6. 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).
    7. Calice, Giovanni & Lin, Ming-Tsung, 2024. "Sovereign momentum currency returns," International Review of Financial Analysis, Elsevier, vol. 96(PB).
    8. Useong Shin, 2026. "Overshooting the Coordinate: Where Factor Corrections Land on Characteristic Axes," Papers 2607.05091, arXiv.org, revised Jul 2026.
    9. 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.
    10. Guidolin, Massimo & Ionta, Serena, 2026. "Predictive sorting of cryptocurrencies based on fundamentals and sentiment," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 107(C).
    11. Guillaume Coqueret, 2022. "Characteristics-driven returns in equilibrium," Papers 2203.07865, arXiv.org.
    12. 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.
    13. 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.
    14. Silvia Bressan & Alex Weissensteiner, 2024. "On the time‐varying relationship between coskewness and returns of banks," Review of Financial Economics, John Wiley & Sons, vol. 42(1), pages 21-38, January.
    15. 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).
    16. Kim, Junyong, 2024. "Zoom in on momentum," International Review of Financial Analysis, Elsevier, vol. 94(C).
    17. Matias D. Cattaneo & Richard K. Crump & Yingjie Feng & Weining Wang, 2022. "Beta-Sorted Portfolios," Papers 2208.10974, arXiv.org, revised Sep 2026.

  23. 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. Bańbura, Marta & Leiva-Leon, Danilo & Menz, Jan-Oliver, 2021. "Do inflation expectations improve model-based inflation forecasts?," Working Paper Series 2604, European Central Bank.
    2. Halberstadt, Arne, 2021. "Decomposing the yield curve with linear regressions and survey information," Discussion Papers 27/2021, Deutsche Bundesbank.
    3. 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.
    4. Ethan Struby, 2018. "Macroeconomic Disagreement in Treasury Yields," Working Papers 2018-04, Carleton College, Department of Economics.
    5. Silvia Miranda-Agrippino & Sinem Hacioglu Hoke & Kristina Bluwstein, 2018. "When Creativity Strikes: News Shocks and Business Cycle Fluctuations," Discussion Papers 1823, Centre for Macroeconomics (CFM).
    6. Kliem, Martin & Meyer-Gohde, Alexander, 2017. "(Un)expected monetary policy shocks and term premia," Discussion Papers 30/2017, Deutsche Bundesbank.
    7. NAKAJIMA, Jouchi, 2023. "Estimating trend inflation in a regime-switching Phillips curve," Discussion Paper Series 750, Institute of Economic Research, Hitotsubashi University.
    8. Michael D. Bauer & Glenn D. Rudebusch, 2019. "Interest Rates Under Falling Stars," Working Paper Series 2017-16, Federal Reserve Bank of San Francisco.
    9. 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.
    10. Thomas M. Mertens & John C. Williams, 2018. "What to expect from the lower bound on interest rates: evidence from derivatives prices," Staff Reports 865, Federal Reserve Bank of New York.
    11. 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.
    12. Eusepi, Stefano & Giannoni, Marc P. & Preston, Bruce, 2018. "Some implications of learning for price stability," European Economic Review, Elsevier, vol. 106(C), pages 1-20.
    13. 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.
    14. Halberstadt, Arne, 2023. "Decomposing the yield curve with linear regressions and survey information," The Quarterly Review of Economics and Finance, Elsevier, vol. 91(C), pages 25-39.
    15. Bruno Feunou & Jean-Sébastien Fontaine, 2021. "Debt-Secular Economic Changes and Bond Yields," Staff Working Papers 21-14, Bank of Canada.
    16. Nitschka, Thomas & Ramelet, Marc-Antoine, 2023. "Shock and awe? Bond yield responses to domestic monetary policy in a small-open economy," Economics Letters, Elsevier, vol. 231(C).
    17. 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.
    18. 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.
    19. Del Negro, Marco & Giannone, Domenico & Giannoni, Marc P. & Tambalotti, Andrea, 2019. "Global trends in interest rates," Journal of International Economics, Elsevier, vol. 118(C), pages 248-262.
    20. 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.
    21. 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.
    22. Schupp, Fabian, 2020. "The (ir)relevance of the nominal lower bound for real yield curve analysis," Working Paper Series 2476, European Central Bank.

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

    Cited by:

    1. Park, Sunjin, 2022. "Heterogeneous beliefs in macroeconomic growth prospects and the carry risk premium," Journal of Banking & Finance, Elsevier, vol. 136(C).
    2. 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, The Center for Economic Research.
    3. Glas, Alexander & Heinisch, Katja, 2021. "Conditional macroeconomic forecasts: Disagreement, revisions and forecast errors," IWH Discussion Papers 7/2021, Halle Institute for Economic Research (IWH).
    4. Chenyu Hou & Tao Wang, 2025. "Uncovering Subjective Models from Survey Expectations," Staff Working Papers 25-31, Bank of Canada.
    5. Jean-Paul Renne & Sarah Mouabbi & Adrien Tschopp, 2026. "Inflation and Growth Risk: Balancing the Scales with Surveys," Working papers 1036, Banque de France.
    6. 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.
    7. Bartosz Maćkowiak & Filip Matějka & Mirko Wiederholt, 2023. "Rational Inattention: A Review," Sciences Po Economics Publications (main) hal-03878692, HAL.
    8. Richard K. Crump & Stefano Eusepi & Emanuel Moench & Bruce Preston, 2021. "The Term Structure of Expectations," Staff Reports 992, Federal Reserve Bank of New York.
    9. Tsiaplias, Sarantis, 2020. "Time-Varying Consumer Disagreement and Future Inflation," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
    10. Cao, Shuo & Crump, Richard K. & Eusepi, Stefano & Moench, Emanuel, 2020. "Fundamental Disagreement about Monetary Policy and the Term Structure of Interest Rates," CEPR Discussion Papers 15122, Centre for Economic Policy Research.
    11. 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.
    12. 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.
    13. Chini, Emilio Zanetti, 2023. "Can we estimate macroforecasters’ mis-behavior?," Journal of Economic Dynamics and Control, Elsevier, vol. 149(C).
    14. Giovanni Angelini, 2026. "The Shape of Macroeconomic Beliefs," Papers 2606.30040, arXiv.org.
    15. Ehrmann, Michael & Hubert, Paul, 2023. "Information acquisition ahead of monetary policy announcements," Working Paper Series 2770, European Central Bank.
    16. 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.
    17. Bauer, Christian & Symann, Paul & Umlandt, Dennis, 2025. "The impact of heterogeneous consumption and productivity expectations on factor risk premia," Economics Letters, Elsevier, vol. 247(C).
    18. Camille Cornand & Paul Hubert, 2021. "Information frictions in inflation expectations among five types of economic agents," Sciences Po Economics Publications (main) halshs-03351632, HAL.
    19. Crump, Richard K. & Eusepi, Stefano & Tambalotti, Andrea & Topa, Giorgio, 2022. "Subjective intertemporal substitution," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 118-133.
    20. Yin, Libo & Zhu, Xiaoye & Su, Zhi & Guo, Hongliang, 2025. "Is disagreement beneficial for market efficiency? Evidence from ESG ratings," Journal of International Money and Finance, Elsevier, vol. 154(C).
    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. 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.
    23. 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.
    24. Chen, Heng & Liu, Yicheng, 2026. "Expectation and confusion: Evidence and theory," Journal of Economic Theory, Elsevier, vol. 235(C).
    25. 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.
    26. Vania Esady, 2022. "Real and nominal effects of monetary shocks under time-varying disagreement," Bank of England Staff Working Paper series 1007, Bank of England.
    27. Michael D. Bauer & Carolin E. Pflueger & Adi Sunderam, 2022. "Perceptions about Monetary Policy," CESifo Working Paper Series 10182, CESifo.
    28. An, Zidong & Zheng, Xinye, 2023. "Diligent forecasters can make accurate predictions despite disagreeing with the consensus," Economic Modelling, Elsevier, vol. 125(C).
    29. Alistair Macaulay, 2026. "The Causal Effects of Heterogeneous Expectation Formation in General Equilibrium," School of Economics Discussion Papers 0326, School of Economics, University of Surrey.
    30. Glas, Alexander, 2020. "Five dimensions of the uncertainty–disagreement linkage," International Journal of Forecasting, Elsevier, vol. 36(2), pages 607-627.
    31. 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).
    32. Cole, Stephen J. & Milani, Fabio, 2021. "Heterogeneity in individual expectations, sentiment, and constant-gain learning," Journal of Economic Behavior & Organization, Elsevier, vol. 188(C), pages 627-650.
    33. McNeil, James, 2023. "Monetary policy and the term structure of inflation expectations with information frictions," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
    34. 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.
    35. Benhima, Kenza & Poilly, Céline, 2021. "Does demand noise matter? Identification and implications," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 278-295.
    36. Sergio A. Lago Alves & Waldyr Dutra Areosa & Carlos Viana de Carvalho, 2026. "Beating the “pros” with a semi-structural model of their own inflation forecasts," Staff Working Papers 26-11, Bank of Canada.
    37. 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.
    38. 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).
    39. 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.
    40. 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).
    41. Camille Cornand & Paul Hubert, 2022. "Information Frictions Across Various Types of Inflation Expectations," Working papers 873, Banque de France.
    42. 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.
    43. 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 presidential impeachment," Review of Development Economics, Wiley Blackwell, vol. 26(4), pages 2356-2393, November.
    44. Pasquale Della Corte & Aleksejs Krecetovs, 2024. "Current Account Uncertainty and Currency Premia," Management Science, INFORMS, vol. 70(9), pages 5795-5815, September.
    45. Dahlquist, Magnus & Ibert, Markus, 2026. "Institutions’ return expectations across assets and time," Journal of Financial Economics, Elsevier, vol. 175(C).
    46. 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.
    47. 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.

  25. 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, Centre for Economic Policy Research.

    Cited by:

    1. Jiang, Zhuhua & Ozcelebi, Oguzhan & Lü, Zheng & El Khoury, Rim & Yoon, Seong-Min, 2026. "The impact of financial uncertainty on the price dynamics of global bond funds," Global Finance Journal, Elsevier, vol. 69(C).
    2. 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).
    3. Piergiorgio Alessandri & Antonio M. Conti & Fabrizio Venditti, 2016. "The Financial Stability Dark Side of Monetary Policy," BCAM Working Papers 1601, Birkbeck Centre for Applied Macroeconomics.
    4. Chen, Yu-Lun & Yang, J. Jimmy, 2021. "Trader positions in VIX futures," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 1-17.
    5. 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).
    6. Richard K. Crump & Miro Everaert & Domenico Giannone & Sean Hundtofte, 2018. "Changing Risk-Return Profiles," Staff Reports 850, Federal Reserve Bank of New York.
    7. 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.
    8. Xiang, Yun & He, Jiaxuan, 2022. "Pairs trading and asset pricing," Pacific-Basin Finance Journal, Elsevier, vol. 72(C).
    9. 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.
    10. 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).
    11. Sun, Jianchun & Zhang, Shunming, 2025. "Trading behavior, asset price, and market quality: Based on probabilistic attitude," Journal of Financial Markets, Elsevier, vol. 76(C).
    12. 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.
    13. 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.
    14. Asano, Takao & Cai, Xiaojing & Sakemoto, Ryuta, 2025. "Global foreign exchange volatility, ambiguity, and currency carry trades," Journal of Banking & Finance, Elsevier, vol. 178(C).
    15. 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.
    16. 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).
    17. 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).
    18. 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).
    19. 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.
    20. Petar Sabtchevsky & Paul Whelan & Andrea Vedolin & Philippe Mueller, 2017. "Variance Risk Premia on Stocks and Bonds," 2017 Meeting Papers 1161, Society for Economic Dynamics.
    21. Bodilsen, Simon & Eriksen, Jonas N. & Grønborg, Niels S., 2021. "Asset pricing and FOMC press conferences," Journal of Banking & Finance, Elsevier, vol. 128(C).
    22. 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.
    23. 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.
    24. Adrian, Tobias & Stackman, Daniel & Vogt, Erik, 2019. "Global Price of Risk and Stabilization Policies," CEPR Discussion Papers 13435, Centre for Economic Policy Research.
    25. 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.
    26. 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.
    27. Aytürk, Yusuf & Asutay, Mehmet & Aksak, Ercument, 2026. "Examining the impact of geopolitical risks on the international Sukuk market," Finance Research Letters, Elsevier, vol. 101(C).
    28. Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2019. "Vulnerable Growth," American Economic Review, American Economic Association, vol. 109(4), pages 1263-1289, April.
    29. Nektarios Aslanidis & Charlotte Christiansen & Christos S. Savva, 2021. "Quantile Risk–Return Trade-Off," JRFM, MDPI, vol. 14(6), pages 1-14, June.
    30. 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.
    31. 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).
    32. Ballis, Antonis & Karagiorgis, Ariston & Anastasiou, Dimitrios & Kallandranis, Christos, 2025. "Cryptocurrency dynamics during global crises: Insights from Bitcoin’s interplay with traditional markets," International Review of Economics & Finance, Elsevier, vol. 103(C).
    33. Thomas M. Eisenbach & Gregory Phelan, 2022. "Fragility of Safe Asset Markets," Staff Reports 1026, Federal Reserve Bank of New York.
    34. Nakagawa, Kei & Sakemoto, Ryuta, 2022. "Market uncertainty and correlation between Bitcoin and Ether," Finance Research Letters, Elsevier, vol. 50(C).
    35. Hodula, Martin & Szabo, Milan & Bajzík, Josef, 2024. "Retail fund flows and performance: Insights from supervisory data," Emerging Markets Review, Elsevier, vol. 59(C).
    36. Venmans, Frank, 2021. "The leverage anomaly in U.S. bank stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    37. Lehnert, Thorsten, 2022. "Flight-to-safety and retail investor behavior," International Review of Financial Analysis, Elsevier, vol. 81(C).
    38. Liu, Xiaochun, 2017. "Unfolded risk-return trade-offs and links to Macroeconomic Dynamics," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 1-19.
    39. 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.
    40. Fang, Yang & Chen, Cathy Yi-Hsuan & Jiang, Chunxia, 2025. "A flight-to-safety from Bitcoin to stock markets: Evidence from cyber attacks," International Review of Financial Analysis, Elsevier, vol. 103(C).
    41. Adrian, Tobias & Moench, Emanuel & Shin, Hyun Song, 2016. "Dynamic Leverage Asset Pricing," CEPR Discussion Papers 11466, Centre for Economic Policy Research.
    42. Bansal, Naresh & Stivers, Chris, 2022. "Bond risk’s role in the equity risk-return tradeoff," Journal of Financial Markets, Elsevier, vol. 60(C).
    43. 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.
    44. Kučera, Adam & Kočenda, Evžen & Maršál, Aleš, 2025. "Yield curve dynamics and fiscal policy shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 178(C).
    45. Thorsten Lehnert, 2023. "Environmental policy and equity prices," PLOS ONE, Public Library of Science, vol. 18(7), pages 1-13, July.
    46. Alemany, Nuria & Aragó, Vicent & Salvador, Enrique, 2025. "Uncovering the risk-return trade-off through ridge regressions," Finance Research Letters, Elsevier, vol. 71(C).
    47. 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.
    48. Xinyang Li, 2025. "Tail risk and Flight-to-Safety," Journal of Asset Management, Palgrave Macmillan, vol. 26(4), pages 386-410, July.
    49. Richard K. Crump & Nikolay Gospodinov, 2019. "Deconstructing the yield curve," Staff Reports 884, Federal Reserve Bank of New York.
    50. 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.
    51. 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).
    52. Joseph, Byrne & Sakemoto, Ryuta, 2020. "The Conditional Risk and Return Trade-Off on Currency Portfolios," MPRA Paper 99497, University Library of Munich, Germany.
    53. 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).
    54. Akhtaruzzaman, Md & Boubaker, Sabri & Lucey, Brian M. & Sensoy, Ahmet, 2021. "Is gold a hedge or a safe-haven asset in the COVID–19 crisis?," Economic Modelling, Elsevier, vol. 102(C).
    55. Byrne, Joseph P. & Sakemoto, Ryuta, 2025. "Commodity correlation risk," Journal of Commodity Markets, Elsevier, vol. 38(C).
    56. 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).
    57. 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.
    58. Alan Chernoff & Julapa Jagtiani & Nathaniel Yoshida, 2026. "Flight to Safety: Evaluating Stablecoin’s Role as a Safe-Haven Asset in DeFi Markets," Working Papers 26-24, Federal Reserve Bank of Philadelphia.
    59. 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).
    60. Iryna Kaminska & Matt Roberts-Sklar, 2015. "A global factor in variance risk premia and local bond pricing," Bank of England Staff Working Paper series 576, Bank of England.

  26. Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2015. "Regression Based Estimation of Dynamic Asset Pricing Models," CEPR Discussion Papers 10449, Centre for Economic Policy Research.

    Cited by:

    1. Baltzer, Markus & Koehl, Alexandra & Reitz, Stefan, 2019. "Procyclical leverage in Europe and its role in asset pricing," Discussion Papers 10/2019, Deutsche Bundesbank.
    2. Gabor Pinter, 2018. "Macroeconomic Shocks and Risk Premia," Discussion Papers 1812, Centre for Macroeconomics (CFM).
    3. Umlandt, Dennis, 2023. "Score-driven asset pricing: Predicting time-varying risk premia based on cross-sectional model performance," Journal of Econometrics, Elsevier, vol. 237(2).
    4. Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2022. "The time-varying risk price of currency portfolios," Journal of International Money and Finance, Elsevier, vol. 124(C).
    5. Sakemoto, Ryuta, 2019. "Currency carry trades and the conditional factor model," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 198-208.
    6. Cai, Zongwu & Juhl, Ted, 2023. "The distribution of rolling regression estimators," Journal of Econometrics, Elsevier, vol. 235(2), pages 1447-1463.
    7. Martin Pažický, 2021. "Predicting Recessions in Germany Using the German and the US Yield Curve," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(3), pages 263-291, December.
    8. Valentin Haddad & Serhiy Kozak & Shrihari Santosh, 2017. "Predicting Relative Returns," NBER Working Papers 23886, National Bureau of Economic Research, Inc.
    9. Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2017. "The Time-Varying Risk Price of Currency Carry Trades," MPRA Paper 80788, University Library of Munich, Germany.
    10. Zhang, Han & Xiong, Xiong & Guo, Bin, 2025. "The stock return predictability of treasury bond yield in China," Journal of Empirical Finance, Elsevier, vol. 84(C).
    11. 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.
    12. Chib, Siddhartha & Smith, Simon C., 2026. "Structural breaks, model uncertainty and factor selection," Journal of Econometrics, Elsevier, vol. 256(PB).
    13. 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.
    14. Richard K. Crump & Nikolay Gospodinov & Ignacio Lopez Gaffney, 2024. "A New Jackknife Variance Estimator for Time-Series and Panel Regressions," Staff Reports 1133, Federal Reserve Bank of New York.
    15. 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.
    16. Bauer, Christian & Symann, Paul & Umlandt, Dennis, 2025. "The impact of heterogeneous consumption and productivity expectations on factor risk premia," Economics Letters, Elsevier, vol. 247(C).
    17. Ryuta Sakemoto, 2025. "Time‐varying group common factors in the stock market anomalies," The Financial Review, Eastern Finance Association, vol. 60(2), pages 481-507, May.
    18. J. Benson Durham, 2013. "Arbitrage-free models of stocks and bonds," Staff Reports 656, Federal Reserve Bank of New York.
    19. Qi-an Chen & Huashi Li & Jianyi Lin & Yunfeng Gao, 2025. "The Role of Housing Mortgage Leverage in Stock Asset Pricing: Evidence from the Chinese A-share Market," The Journal of Real Estate Finance and Economics, Springer, vol. 71(2), pages 209-253, August.
    20. 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.
    21. 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.
    22. Caldeira, João F. & Cordeiro, Werley C., 2026. "Decomposing nominal and real yield curves and inflation forecasting: Evidence from Brazil," Economics Letters, Elsevier, vol. 258(C).
    23. 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.
    24. 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.
    25. Josh Davis & Cristian Fuenzalida & Alan M. Taylor, 2019. "The Natural Rate Puzzle: Global Macro Trends and the Market-Implied r," NBER Working Papers 26560, National Bureau of Economic Research, Inc.
    26. 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.
    27. 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.
    28. 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.).
    29. Tobias Adrian & Emanuel Moench & Hyun Song Shin, 2013. "Dynamic Leverage Asset Pricing," Staff Reports 625, Federal Reserve Bank of New York.
    30. 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.
    31. Bruce E. Hansen, 2018. "Johansen’s Reduced Rank Estimator Is GMM," Econometrics, MDPI, vol. 6(2), pages 1-9, May.
    32. Peter Van Tassel, 2017. "Global Variance Term Premia and Intermediary Risk Appetite," 2017 Meeting Papers 149, Society for Economic Dynamics.
    33. Nikolay Gospodinov, 2017. "Asset Co-movements: Features and Challenges," FRB Atlanta Working Paper 2017-11, Federal Reserve Bank of Atlanta.
    34. 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).
    35. 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).
    36. Joseph, Byrne & Sakemoto, Ryuta, 2020. "The Conditional Risk and Return Trade-Off on Currency Portfolios," MPRA Paper 99497, University Library of Munich, Germany.
    37. Stefan Behrendt, 2017. "Low Long-Term Interest Rates - An alternative View," Jena Economics Research Papers 2017-001, Friedrich-Schiller-University Jena.
    38. Liao Zhu & Robert A. Jarrow & Martin T. Wells, 2020. "Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model," Papers 2011.04171, arXiv.org, revised Apr 2021.
    39. Claudio Borio & Piti Disyatat & Phurichai Rungcharoenkitkul, 2019. "What anchors for the natural rate of interest?," BIS Working Papers 777, Bank for International Settlements.
    40. Smith, Simon C. & Timmermann, Allan, 2022. "Have risk premia vanished?," Journal of Financial Economics, Elsevier, vol. 145(2), pages 553-576.
    41. 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.
    42. Yuxin Liu & Jimin Lin & Achintya Gopal, 2024. "NeuralBeta: Estimating Beta Using Deep Learning," Papers 2408.01387, arXiv.org, revised Oct 2024.
    43. Ludovit Odor & Pavol Povala, 2016. "Risk Premiums in Slovak Government Bonds," Discussion Papers Discussion Paper No. 3/20, Council for Budget Responsibility.
    44. 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.
    45. Ryuta Sakemoto, 2025. "Risk price decomposition and the output gap," The Financial Review, Eastern Finance Association, vol. 60(1), pages 121-146, February.
    46. Matias D. Cattaneo & Richard K. Crump & Yingjie Feng & Weining Wang, 2022. "Beta-Sorted Portfolios," Papers 2208.10974, arXiv.org, revised Sep 2026.
    47. Chadha, Pearlean & Berrill, Jenny, 2024. "International operations and international influences – Investing in UK firms," International Review of Economics & Finance, Elsevier, vol. 96(PB).
    48. Uddin, Ajim & Tao, Xinyuan & Yu, Dantong, 2023. "Attention based dynamic graph neural network for asset pricing," Global Finance Journal, Elsevier, vol. 58(C).
    49. Liao Zhu, 2021. "The Adaptive Multi-Factor Model and the Financial Market," Papers 2107.14410, arXiv.org, revised Aug 2021.

  27. 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. D'Acunto, Francesco & Hoang, Daniel & Weber, Michael, 2021. "Managing households' expectations with unconventional policies," Working Paper Series in Economics 148, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
    2. Francesco D'Acunto & Daniel Hoang & Michael Weber, 2016. "Unconventional Fiscal Policy, Inflation Expectations, and Consumption Expenditure," CESifo Working Paper Series 5793, CESifo.
    3. Mineyama, Tomohide & Tokuoka, Kiichi, 2025. "Investigating how inflation expectations affect precautionary wealth," Japan and the World Economy, Elsevier, vol. 73(C).
    4. Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2016. "The term structure of expectations and bond yields," Staff Reports 775, Federal Reserve Bank of New York.
    5. Ángelo Gutiérrez-Daza, 2024. "Business Cycles when Consumers Learn by Shopping," Working Papers 2024-12, Banco de México.
    6. Guido Bulligan & Paolo Farroni, 2026. "Explaining the recent dynamics of the saving rate in the euro area: evidence from the Consumer Expectations Survey," Questioni di Economia e Finanza (Occasional Papers) 1046, Bank of Italy, Economic Research and International Relations Area.
    7. Euiyoung Jung, 2021. "Rigid Wages, Endogenous Job Destruction, and Destabilizing Spirals," Working Papers halshs-03213006, HAL.
    8. Zhu, Jialiang & Atitianti, Philip Akrofi & Appiah-Kubi, Michael & Amoah, Joseph, 2025. "The paradox of assistance: Chinese aid in Africa and economic expectations," China Economic Review, Elsevier, vol. 94(PB).
    9. Ciril Bosch-Rosa & Frank Heinemann & Baptiste Massenot & Thomas Meissner, 2026. "Different Consumption Responses to Equivalent Changes in the Real Interest Rate," Rationality and Competition Discussion Paper Series 578, CRC TRR 190 Rationality and Competition.
    10. Michael Weber & Yuriy Gorodnichenko & Olivier Coibion, 2022. "The Expected, Perceived, and Realized Inflation of U.S. Households before and during the COVID19 Pandemic," NBER Working Papers 29640, National Bureau of Economic Research, Inc.
    11. 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.
    12. 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.
    13. 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.
    14. Coibion, Olivier & Georgarakos, Dimitris & Gorodnichenko, Yuriy & Kenny, Geoff & Weber, Michael, 2021. "The effect of macroeconomic uncertainty on household spending," Working Paper Series 2557, European Central Bank.
    15. Francesco D’Acunto & Daniel Hoang & Maritta Paloviita & Michael Weber, 2019. "IQ, Expectations, and Choice," NBER Working Papers 25496, National Bureau of Economic Research, Inc.
    16. David Staines, 2023. "Stochastic Equilibrium the Lucas Critique and Keynesian Economics," Papers 2312.16214, arXiv.org, revised Jun 2024.
    17. 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.
    18. Daniel R. Carroll & Eric Young, 2017. "Neoclassical Inequality," Working Papers 14-32R2, Federal Reserve Bank of Cleveland.
    19. Andrade, Philippe & Gautier, Erwan & Mengus, Eric, 2023. "What matters in households’ inflation expectations?," Journal of Monetary Economics, Elsevier, vol. 138(C), pages 50-68.
    20. Lena Dräger & Michael J. Lamla, 2024. "Consumers' macroeconomic expectations," Journal of Economic Surveys, Wiley Blackwell, vol. 38(2), pages 427-451, April.
    21. Luis Armona & Andreas Fuster & Basit Zafar, 2016. "Home price expectations and behavior: evidence from a randomized information experiment," Staff Reports 798, Federal Reserve Bank of New York.
    22. 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.
    23. Coibion, Olivier & Gorodnichenko, Yuriy & Ropele, Tiziano, 2022. "Inflation Expectations and Firm Decisions: New Causal Evidence," Department of Economics, Working Paper Series qt54f0k77k, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    24. Piccolo, Jessica & Gorodnichenko, Yuriy, 2025. "Homeownership and Attention to Inflation: Evidence from Information Treatments," IZA Discussion Papers 17770, IZA Network @ LISER.
    25. 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, IZA Network @ LISER.
    26. Binder, Carola Conces & Kamdar, Rupal & Ryngaert, Jane M., 2024. "Partisan expectations and COVID-era inflation," Journal of Monetary Economics, Elsevier, vol. 148(S).
    27. 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.
    28. Francesco D'Acunto & Daniel Hoang & Michael Weber, 2018. "Unconventional Fiscal Policy," CESifo Working Paper Series 6862, CESifo.
    29. Lena Dräger, 2023. "Central Bank Communication with the General Public," CESifo Working Paper Series 10713, CESifo.
    30. Corneo, Giacomo, 2026. "Economic growth and imperialism," European Journal of Political Economy, Elsevier, vol. 93(C).
    31. Meeks, Roland & Monti, Francesca, 2023. "Heterogeneous beliefs and the Phillips curve," Journal of Monetary Economics, Elsevier, vol. 139(C), pages 41-54.
    32. 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.
    33. Cato, Misina & Schmidt, Tobias, 2023. "Households' expectations and regional COVID-19 dynamics," Discussion Papers 02/2023, Deutsche Bundesbank.
    34. Alistair Macaulay & Chenchuan Shi, 2025. "Ambiguity Aversion, Portfolio Choice, and Life Expectancy," School of Economics Discussion Papers 0425, School of Economics, University of Surrey.
    35. Luo, Yulei & Nie, Jun & Wang, Haijun, 2022. "Ignorance, pervasive uncertainty, and household finance," Journal of Economic Theory, Elsevier, vol. 199(C).
    36. Francesco D'Acunto & Daniel Hoang & Maritta Paloviita & Michael Weber, 2019. "Human Frictions to the Transmission of Economic Policy," 2019 Meeting Papers 339, Society for Economic Dynamics.
    37. 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.
    38. Euiyoung Jung, 2021. "Rigid Wages, Endogenous Job Destruction, and Destabilizing Spirals," PSE Working Papers halshs-03213006, HAL.
    39. Marenčák, Michal & Nghiem, Giang, 2025. "Elasticity of intertemporal substitution in the euro area," Journal of Economic Behavior & Organization, Elsevier, vol. 229(C).
    40. 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).
    41. 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.
    42. Krüger, Jacqueline & Dinger, Valeriya, 2026. "Expected inflation and saving in categories," Discussion Papers 18/2026, Deutsche Bundesbank.
    43. Dimitris Georgarakos & Yuriy Gorodnichenko & Olivier Coibion & Geoff Kenny, 2025. "The Causal Effects of Inflation Uncertainty on Households' Beliefs and Actions," IMES Discussion Paper Series 25-E-12, Institute for Monetary and Economic Studies, Bank of Japan.
    44. Philip Schnattinger & Prachi Srivastava, 2025. "Household Inflation Uncertainty and Wage Growth Expectations," CESifo Working Paper Series 12216, CESifo.
    45. Yulei Luo & Jun Nie & Eric R Young, 2020. "Ambiguity, Low Risk-Free Rates and Consumption Inequality," The Economic Journal, Royal Economic Society, vol. 130(632), pages 2649-2679.
    46. Michal Marencak, 2023. "State-dependent inflation expectations and consumption choices," Working and Discussion Papers WP 10/2023, Research Department, National Bank of Slovakia.
    47. Qian, Wei, 2025. "House price expectations and household spending— A survey-based experiment," Journal of Economic Behavior & Organization, Elsevier, vol. 235(C).
    48. 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.
    49. Lenard Lieb & Johannes Schuffels, 2022. "Inflation expectations and consumer spending: the role of household balance sheets," Empirical Economics, Springer, vol. 63(5), pages 2479-2512, November.
    50. 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.
    51. 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).
    52. Adrian Monninger & Kyung Woong Koh & Tao Wang, 2026. "Seeing the Economy through Colored Glasses: Partisanship in Macro and (not in) Micro Expectations," Staff Working Papers 26-24, Bank of Canada.
    53. 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).
    54. Roh, Tai-Yong & Min, Byoung-Kyu, 2026. "Unfiltered consumption and the elasticity of intertemporal substitution," Economics Letters, Elsevier, vol. 267(C).
    55. 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.
    56. Francesco D'Acunto & Ulrike M. Malmendier & Michael Weber, 2022. "What Do the Data Tell Us about Inflation Expectations?," CESifo Working Paper Series 9602, CESifo.
    57. Viral V. Acharya & Matteo Crosignani & Tim Eisert & Christian Eufinger, 2023. "How Do Supply Shocks to Inflation Generalize? Evidence from the Pandemic Era in Europe," NBER Working Papers 31790, National Bureau of Economic Research, Inc.
    58. Duca, Ioana A. & Kenny, Geoff & Reuter, Andreas, 2018. "Inflation expectations, consumption and the lower bound: micro evidence from a large euro area survey," Working Paper Series 2196, European Central Bank.
    59. Jain, Monica & Kostyshyna, Olena & Zhang, Xu, 2025. "Expectations of inflation, wages and spending: Evidence from a consumer survey," Economics Letters, Elsevier, vol. 256(C).
    60. Lena Dräger & Klaus Gründler & Niklas Potrafke, 2025. "Peer Effects in Macroeconomic Expectations," CESifo Working Paper Series 11892, CESifo.
    61. McCloud, Nadine, 2024. "What has inflation targeting done for household consumption?," International Review of Financial Analysis, Elsevier, vol. 95(PC).
    62. 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.

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

    Cited by:

    1. Park, Sunjin, 2022. "Heterogeneous beliefs in macroeconomic growth prospects and the carry risk premium," Journal of Banking & Finance, Elsevier, vol. 136(C).
    2. Kajal Lahiri & Huaming Peng & Xuguang Simon Sheng, 2021. "Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity," Working Papers 2021-005, The George Washington University, The Center for Economic Research.
    3. Glas, Alexander & Heinisch, Katja, 2021. "Conditional macroeconomic forecasts: Disagreement, revisions and forecast errors," IWH Discussion Papers 7/2021, Halle Institute for Economic Research (IWH).
    4. Chenyu Hou & Tao Wang, 2025. "Uncovering Subjective Models from Survey Expectations," Staff Working Papers 25-31, Bank of Canada.
    5. Cordeiro, Yara de Almeida Campos & Gaglianone, Wagner Piazza & Issler, João Victor, 2016. "Inattention in individual expectations," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 776, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    6. Glas, Alexander & Heinisch, Katja, 2023. "Conditional macroeconomic survey forecasts: Revisions and errors," Journal of International Money and Finance, Elsevier, vol. 138(C).
    7. Dovern, Jonas, 2014. "A Multivariate Analysis of Forecast Disagreement: Confronting Models of Disagreement with SPF Data," Working Papers 0571, University of Heidelberg, Department of Economics.
    8. Jean-Paul Renne & Sarah Mouabbi & Adrien Tschopp, 2026. "Inflation and Growth Risk: Balancing the Scales with Surveys," Working papers 1036, Banque de France.
    9. Pedersen, Michael, 2019. "Anomalies in macroeconomic prediction errors–evidence from Chilean private forecasters," International Journal of Forecasting, Elsevier, vol. 35(3), pages 1100-1107.
    10. Silvia Miranda-Agrippino & Giovanni Ricco, 2017. "The transmission of monetary policy shocks," Bank of England Staff Working Paper series 657, Bank of England.
    11. Elisabeth Falck & Mathias Hoffmann & Patrick Hürtgen, 2018. "Disagreement and Monetary Policy," 2018 Meeting Papers 655, Society for Economic Dynamics.
    12. Conrad, Christian & Lahiri, Kajal, 2023. "Heterogeneous expectations among professional forecasters," ZEW Discussion Papers 23-062, ZEW - Leibniz Centre for European Economic Research.
    13. Lena Dräger & Michael J. Lamla, 2015. "Disagreement à la Taylor: Evidence from Survey Microdata," Macroeconomics and Finance Series 201503, University of Hamburg, Department of Socioeconomics.
    14. Yoosoon Chang & Fabio Gómez-Rodríguez & Mr. Gee Hee Hong, 2022. "The Effects of Economic Shocks on Heterogeneous Inflation Expectations," IMF Working Papers 2022/132, International Monetary Fund.
    15. Giacomini, Raffaella & Skreta, Vasiliki & Turen, Javier, 2016. "Models, inattention and expectation updates," LSE Research Online Documents on Economics 86245, London School of Economics and Political Science, LSE Library.
    16. Pawel Smietanka & Nicholas Bloom & Paul Mizen, 2018. "Business investment, cash holding and uncertainty since the Great Financial Crisis," Bank of England Staff Working Paper series 753, Bank of England.
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    18. Ding Dong & Zheng Liu & Pengfei Wang & Min Wei, 2025. "Inflation Disagreement Weakens the Power of Monetary Policy," Working Paper Series 2024-27, Federal Reserve Bank of San Francisco.
    19. Richard K. Crump & Stefano Eusepi & Emanuel Moench & Bruce Preston, 2021. "The Term Structure of Expectations," Staff Reports 992, Federal Reserve Bank of New York.
    20. Tsiaplias, Sarantis, 2020. "Time-Varying Consumer Disagreement and Future Inflation," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
    21. Cao, Shuo & Crump, Richard K. & Eusepi, Stefano & Moench, Emanuel, 2020. "Fundamental Disagreement about Monetary Policy and the Term Structure of Interest Rates," CEPR Discussion Papers 15122, Centre for Economic Policy Research.
    22. Buss, Adrian & Dumas, Bernard & Uppal, Raman & Vilkov, Grigory, 2016. "The intended and unintended consequences of financial-market regulations: A general equilibrium analysis," SAFE Working Paper Series 124, Leibniz Institute for Financial Research SAFE.
    23. Lien, Donald & Sun, Yuchen & Zhang, Chengsi, 2021. "Uncertainty, confidence, and monetary policy in China," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 1347-1358.
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    26. Chini, Emilio Zanetti, 2023. "Can we estimate macroforecasters’ mis-behavior?," Journal of Economic Dynamics and Control, Elsevier, vol. 149(C).
    27. Andrade, Philippe & Gautier, Erwan & Mengus, Eric, 2023. "What matters in households’ inflation expectations?," Journal of Monetary Economics, Elsevier, vol. 138(C), pages 50-68.
    28. Beckmann, Joscha & Reitz, Stefan, 2018. "Information Rigidities and Exchange Rate Expectations," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181628, Verein für Socialpolitik / German Economic Association.
    29. Travis J. Berge & Andrew C. Chang & Nitish R. Sinha, 2019. "Evaluating the Conditionality of Judgmental Forecasts," Finance and Economics Discussion Series 2019-002, Board of Governors of the Federal Reserve System (U.S.).
    30. Andrade, Philippe & Gaballo, Gaetano & Mengus, Eric & Mojon, Benoît, 2016. "Forward Guidance and Heterogeneous Beliefs," HEC Research Papers Series 1192, HEC Paris.
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    32. 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.
    33. 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.
    34. 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.
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    36. 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.
    37. Bauer, Christian & Symann, Paul & Umlandt, Dennis, 2025. "The impact of heterogeneous consumption and productivity expectations on factor risk premia," Economics Letters, Elsevier, vol. 247(C).
    38. Camille Cornand & Paul Hubert, 2021. "Information frictions in inflation expectations among five types of economic agents," Sciences Po Economics Publications (main) halshs-03351632, HAL.
    39. Crump, Richard K. & Eusepi, Stefano & Tambalotti, Andrea & Topa, Giorgio, 2022. "Subjective intertemporal substitution," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 118-133.
    40. 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.
    41. Yin, Libo & Zhu, Xiaoye & Su, Zhi & Guo, Hongliang, 2025. "Is disagreement beneficial for market efficiency? Evidence from ESG ratings," Journal of International Money and Finance, Elsevier, vol. 154(C).
    42. 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.
    43. 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.
    44. 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.
    45. 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.
    46. 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.
    47. 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.
    48. Chen, Heng & Liu, Yicheng, 2026. "Expectation and confusion: Evidence and theory," Journal of Economic Theory, Elsevier, vol. 235(C).
    49. Jonas Dovern & Matthias Hartmann, 2017. "Forecast performance, disagreement, and heterogeneous signal-to-noise ratios," Empirical Economics, Springer, vol. 53(1), pages 63-77, August.
    50. 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.
    51. Leonardo Melosi, 2016. "Signaling Effects of Monetary Policy," Working Paper Series WP-2016-14, Federal Reserve Bank of Chicago.
    52. 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.
    53. Junichi Kikuchi & Yoshiyuki Nakazono, 2020. "The Formation of Inflation Expectations: Micro-data Evidence from Japan," Working Papers e144, Tokyo Center for Economic Research.
    54. Vania Esady, 2022. "Real and nominal effects of monetary shocks under time-varying disagreement," Bank of England Staff Working Paper series 1007, Bank of England.
    55. Michael D. Bauer & Carolin E. Pflueger & Adi Sunderam, 2022. "Perceptions about Monetary Policy," CESifo Working Paper Series 10182, CESifo.
    56. An, Zidong & Zheng, Xinye, 2023. "Diligent forecasters can make accurate predictions despite disagreeing with the consensus," Economic Modelling, Elsevier, vol. 125(C).
    57. 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.
    58. Alistair Macaulay, 2026. "The Causal Effects of Heterogeneous Expectation Formation in General Equilibrium," School of Economics Discussion Papers 0326, School of Economics, University of Surrey.
    59. Glas, Alexander, 2020. "Five dimensions of the uncertainty–disagreement linkage," International Journal of Forecasting, Elsevier, vol. 36(2), pages 607-627.
    60. Šauer, Radek, 2016. "The imperfect-common-knowledge Phillips curve: Calvo versus Rotemberg," Discussion Papers 50/2016, Deutsche Bundesbank.
    61. 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.
    62. 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).
    63. Hoffmann, Mathias & Hürtgen, Patrick, 2016. "Inflation expectations, disagreement, and monetary policy," Economics Letters, Elsevier, vol. 146(C), pages 59-63.
    64. Cole, Stephen J. & Milani, Fabio, 2021. "Heterogeneity in individual expectations, sentiment, and constant-gain learning," Journal of Economic Behavior & Organization, Elsevier, vol. 188(C), pages 627-650.
    65. McNeil, James, 2023. "Monetary policy and the term structure of inflation expectations with information frictions," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
    66. 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.
    67. 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.
    68. Sushant Acharya, 2014. "Costly information, planning complementarities and the Phillips Curve," Staff Reports 698, Federal Reserve Bank of New York.
    69. Benhima, Kenza & Poilly, Céline, 2021. "Does demand noise matter? Identification and implications," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 278-295.
    70. Sergio A. Lago Alves & Waldyr Dutra Areosa & Carlos Viana de Carvalho, 2026. "Beating the “pros” with a semi-structural model of their own inflation forecasts," Staff Working Papers 26-11, Bank of Canada.
    71. 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.
    72. 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.
    73. Daniel Andrei & Bruce Carlin & Michael Hasler, 2014. "Model Disagreement and Economic Outlook," NBER Working Papers 20190, National Bureau of Economic Research, Inc.
    74. 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.
    75. 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).
    76. 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.
    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.
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  29. 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. Joshua A. Jacobs & Rajdeep Sengupta, 2025. "The Changing Investor Composition of U.S. Treasuries, Pt. 2: Who’s Buying U.S. Treasuries?," Economic Bulletin, Federal Reserve Bank of Kansas City, pages 1-4, July.
    2. 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).

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

    Cited by:

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

  31. 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. 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.
    2. Diego Alejandro Mart�nez Cruz & Jos� Fernando Moreno Guti�rrez & Juan Sebasti�n Rojas Moreno, 2015. "Evoluci�n de la relaci�n entre bonos locales y externos del gobierno colombiano frente a choques de riesgo," Borradores de Economia 14112, Banco de la Republica.
    3. Diego Alejandro Martínez Cruz & José Fernando Moreno Gutiérrez & Juan Sebastián Rojas Moreno, 2015. "Evolución de la relación entre bonos locales y externos del gobierno colombiano frente a choques de riesgo," Borradores de Economia 919, Banco de la Republica de Colombia.
    4. Peter Tillmann, 2020. "Monetary Policy Uncertainty and the Response of the Yield Curve to Policy Shocks," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(4), pages 803-833, June.

  32. 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).

  33. 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. 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.
    2. Acosta, Miguel & Ajello, Andrea & Bauer, Michael D. & Loria, Francesca & Miranda-Agrippino, Silvia, 2025. "Financial market effects of FOMC communication: Evidence from a new event-study database," IMFS Working Paper Series 227, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    3. Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2016. "The term structure of expectations and bond yields," Staff Reports 775, Federal Reserve Bank of New York.
    4. Richard K. Crump & Stefano Eusepi & Marc Giannoni & Ayşegül Şahin, 2019. "A unified approach to measuring u," Staff Reports 889, Federal Reserve Bank of New York.
    5. James McNeil, 2020. "Estimation of Impulse response functions with term structure local projections," Working Papers daleconwp2020-05, Dalhousie University, Department of Economics.
    6. Martin M Andreasen & Jens H E Christensen & Simon Riddell, 2021. "The TIPS Liquidity Premium [Decomposing real and nominal yield curves]," Review of Finance, European Finance Association, vol. 25(6), pages 1639-1675.
    7. Timmermann, Allan & Pettenuzzo, Davide & Gargano, Antonio, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," CEPR Discussion Papers 10104, Centre for Economic Policy Research.
    8. Kaminska, Iryna & Mumtaz, Haroon & Šustek, Roman, 2021. "Monetary policy surprises and their transmission through term premia and expected interest rates," Journal of Monetary Economics, Elsevier, vol. 124(C), pages 48-65.
    9. 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.
    10. Speck, Christian, 2023. "Pricing the Bund term structure with linear regressions – without an observable short rate," Discussion Papers 08/2023, Deutsche Bundesbank.
    11. 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.
    12. Wang,Dieter, 2021. "Natural Capital and Sovereign Bonds," Policy Research Working Paper Series 9606, The World Bank.
    13. Eguren Martin, Fernando & Meldrum, Andrew & Yan, Wen, 2021. "No-Arbitrage pricing of GDP-Linked bonds," Journal of Banking & Finance, Elsevier, vol. 126(C).
    14. 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.
    15. 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.
    16. 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.
    17. Mitsuru Katagiri, 2018. "Equilibrium Yield Curve, the Phillips Curve, and Monetary Policy," IMF Working Papers 2018/242, International Monetary Fund.
    18. Michael D. Bauer & Aeimit Lakdawala & Philippe Mueller, 2019. "Market-based monetary policy uncertainty," CESifo Working Paper Series 7621, CESifo.
    19. 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.
    20. Hammoudeh, Shawkat & Reboredo, Juan C., 2018. "Oil price dynamics and market-based inflation expectations," Energy Economics, Elsevier, vol. 75(C), pages 484-491.
    21. Berardi, Andrea & Plazzi, Alberto, 2022. "Dissecting the yield curve: The international evidence," Journal of Banking & Finance, Elsevier, vol. 134(C).
    22. 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.
    23. 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).
    24. 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.
    25. Kliem, Martin & Meyer-Gohde, Alexander, 2017. "(Un)expected monetary policy shocks and term premia," Discussion Papers 30/2017, Deutsche Bundesbank.
    26. 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.
    27. 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.
    28. Juan Andrés Espinosa-Torres & Luis Fernando Melo-Velandia & José Fernando Moreno-Gutiérrez, 2015. "Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del gobierno colombiano," Borradores de Economia 903, Banco de la Republica de Colombia.
    29. 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.
    30. 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.
    31. Jens H. E. Christensen & Mark M. Spiegel, 2022. "Central Bank Credibility During COVID-19: Evidence from Japan," Working Paper Series 2021-24, Federal Reserve Bank of San Francisco.
    32. Rodrigo Guimaraes & Gabor Pinter & Jean-Charles Wijnandts, 2023. "The liquidity state-dependence of monetary policy transmission," Bank of England Staff Working Paper series 1045, Bank of England.
    33. 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.
    34. 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.
    35. Iryna Kaminska & Gabriele Zinna, 2020. "Official Demand for U.S. Debt: Implications for U.S. Real Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(2-3), pages 323-364, March.
    36. GONÇALVES, Sílvia & PERRON, Benoit, 2018. "Bootstrapping factor models with cross sectional dependence," Cahiers de recherche 2018-07, Universite de Montreal, Departement de sciences economiques.
    37. Lengyel, Andras, 2026. "Government bond issuance surprises and the term structure of interest rates in the UK," Journal of Banking & Finance, Elsevier, vol. 189(C).
    38. 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.
    39. 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.
    40. Sylvérie Herbert & Paul Hubert & Mathias Lé, 2025. "When does Monetary Policy Matter? Policy Stance vs. Term Premium News," Working papers 1017, Banque de France.
    41. Caldeira, João F. & Cordeiro, Werley C., 2026. "Decomposing nominal and real yield curves and inflation forecasting: Evidence from Brazil," Economics Letters, Elsevier, vol. 258(C).
    42. Maryam Movahedifar & Hossein Hassani & Masoud Yarmohammadi & Mahdi Kalantari & Rangan Gupta, 2021. "A robust approach for outlier imputation: Singular Spectrum Decomposition," Working Papers 202164, University of Pretoria, Department of Economics.
    43. 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.
    44. 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.
    45. 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.
    46. 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.
    47. 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.
    48. 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).
    49. 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.
    50. Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2015. "Regression Based Estimation of Dynamic Asset Pricing Models," CEPR Discussion Papers 10449, Centre for Economic Policy Research.
    51. 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).
    52. Samuel Hanson & David O. Lucca & Jonathan H. Wright, 2017. "Rate-Amplifying Demand and the Excess Sensitivity of Long-Term Rates," Staff Reports 810, Federal Reserve Bank of New York.
    53. 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.
    54. Roussellet, Guillaume, 2025. "The term structure of macroeconomic risks at the effective lower bound," Journal of Econometrics, Elsevier, vol. 248(C).
    55. Götz, Martin, 2018. "Financial constraints and corporate environmental responsibility," SAFE Working Paper Series 241, Leibniz Institute for Financial Research SAFE.
    56. Goetz, Martin, 2019. "Financing conditions and toxic emissions," SAFE Working Paper Series 254, Leibniz Institute for Financial Research SAFE.
    57. 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.
    58. Christiane Baumeister, 2021. "Measuring Market Expectations," Working Papers 202163, University of Pretoria, Department of Economics.
    59. 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).
    60. Christensen, Jens H.E. & Gillan, James M., 2022. "Does quantitative easing affect market liquidity?," Journal of Banking & Finance, Elsevier, vol. 134(C).
    61. 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).
    62. 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.
    63. 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.
    64. 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.
    65. 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.
    66. 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.
    67. Roman Sustek, 2021. "Yield curve and the business cycle in conventional times," Discussion Papers 2122, Centre for Macroeconomics (CFM).
    68. 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.
    69. Andrew Meldrum & Matt Roberts-Sklar, 2015. "Long-run priors for term structure models," Bank of England Staff Working Paper series 575, Bank of England.
    70. Peter Tillmann, 2020. "Monetary Policy Uncertainty and the Response of the Yield Curve to Policy Shocks," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(4), pages 803-833, June.
    71. 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.
    72. Munch Grønlund, Asger & Jørgensen, Kasper & Schupp, Fabian, 2024. "Measuring market-based core inflation expectations," Working Paper Series 2908, European Central Bank.
    73. Ciccarelli, Matteo & García, Juan Angel, 2015. "International spillovers in inflation expectations," Working Paper Series 1857, European Central Bank.
    74. 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.
    75. 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.
    76. 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.
    77. Lemke, Wolfgang & Werner, Thomas, 2020. "Dissecting long-term Bund yields in the run-up to the ECB’s public sector purchase programme," Journal of Banking & Finance, Elsevier, vol. 111(C).
    78. Berardi, Andrea, 2023. "Term premia and short rate expectations in the euro area," Journal of Empirical Finance, Elsevier, vol. 74(C).
    79. 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.
    80. Boeckx, Jef & Iania, Leonardo & Wauters, Joris, 2023. "Macroeconomic drivers of Inflation Expectations and Inflation Risk Premia," LIDAM Discussion Papers LFIN 2023003, Université catholique de Louvain, Louvain Finance (LFIN).
    81. 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.
    82. 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.).
    83. 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.
    84. 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.
    85. 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).
    86. 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.

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

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

    Cited by:

    1. Matias D. Cattaneo & Max H. Farrell & Michael Jansson & Ricardo Masini, 2022. "Higher-order Refinements of Small Bandwidth Asymptotics for Density-Weighted Average Derivative Estimators," Papers 2301.00277, arXiv.org, revised Feb 2024.
    2. 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.
    3. Čížek, Pavel & Lei, Jinghua, 2018. "Identification and estimation of nonseparable single-index models in panel data with correlated random effects," Journal of Econometrics, Elsevier, vol. 203(1), pages 113-128.
    4. Yukitoshi Matsushita & Taisuke Otsu, 2017. "Likelihood inference on semiparametric models: Average derivative and treatment effect," STICERD - Econometrics Paper Series 592, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    5. Andrew Ang & Dennis Kristensen, 2011. "Testing Conditional Factor Models," NBER Working Papers 17561, National Bureau of Economic Research, Inc.
    6. 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.
    7. 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.
    8. 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.
    9. 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.
    10. Farrell, Max H., 2015. "Robust inference on average treatment effects with possibly more covariates than observations," Journal of Econometrics, Elsevier, vol. 189(1), pages 1-23.
    11. Rothe, Christoph & Firpo, Sergio, 2013. "Semiparametric Estimation and Inference Using Doubly Robust Moment Conditions," IZA Discussion Papers 7564, IZA Network @ LISER.
    12. Matias D. Cattaneo & Michael Jansson, 2019. "Average Density Estimators: Efficiency and Bootstrap Consistency," Papers 1904.09372, arXiv.org, revised Dec 2020.
    13. Lee, Seong-ho & Ma, Yanyuan & Ronchetti, Elvezio, 2025. "Semiparametric approach to estimation of marginal mean effects and marginal quantile effects," Journal of Econometrics, Elsevier, vol. 249(PA).
    14. Jia Li & Dacheng Xiu, 2016. "Generalized Method of Integrated Moments for High‐Frequency Data," Econometrica, Econometric Society, vol. 84(4), pages 1613-1633, July.
    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. Yassine Sbai Sassi, 2023. "The Ordinary Least Eigenvalues Estimator," Papers 2304.12554, arXiv.org.
    17. Sadikoglu, Serhan, 2019. "Essays in econometric theory," Other publications TiSEM 99d83644-f9dc-49e3-a4e1-5, Tilburg University, School of Economics and Management.
    18. 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.
    19. Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2011. "Semiparametric Estimation with Generated Covariates," IZA Discussion Papers 6084, IZA Network @ LISER.
    20. 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.
    21. 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.
    22. 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.
    23. 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.
    24. Max H. Farrell & Tengyuan Liang & Sanjog Misra, 2020. "Deep Learning for Individual Heterogeneity," Papers 2010.14694, arXiv.org, revised Jun 2026.

  36. 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. 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.
    2. Yulia Kotlyarova & Marcia Schafgans & Victoria Zinde-Walsh, 2011. "Adapting Kernel Estimation to Uncertain Smoothness," Working Papers daleconwp2011-01, Dalhousie University, Department of Economics.
    3. Clara Lía Machado & Carlos León & Miguel Sarmiento & Freddy Cepeda & Orlando Chipatecua & Jorge cely, 2010. "Riesgo Sistémico y Estabilidad del Sistema de Pagos de Alto Valor en Colombia: Análisis bajo Topología de Redes y Simulación de Pagos," Borradores de Economia 627, Banco de la Republica de Colombia.
    4. Paulo M.D.C. Parente & Richard J. Smith, 2018. "Quasi-Maximum Likelihood and the Kernel Block Bootstrap for Nonlinear Dynamic Models," Working Papers REM 2018/59, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    5. Cattaneo, Matias D. & Farrell, Max H. & Jansson, Michael & Masini, Ricardo P., 2025. "Higher-order refinements of small bandwidth asymptotics for density-weighted average derivative estimators," Journal of Econometrics, Elsevier, vol. 252(PB).
    6. Clara Lia Machado & Carlos Le�n & Miguel Sarmiento & Orlando Chipatecua, 2010. "Riesgo Sist�mico y Estabilidad del Sistema de Pagos de Alto Valor en Colombia: An�lisis bajo Topolog�a de Redes y Simulaci�n de Pagos," Borradores de Economia 7669, Banco de la Republica.
    7. Konrad Menzel, 2021. "Bootstrap With Cluster‐Dependence in Two or More Dimensions," Econometrica, Econometric Society, vol. 89(5), pages 2143-2188, September.
    8. Clara Machado & Carlos León & Miguel Sarmiento & Freddy Cepeda & Orlando Chipatecua & Jorge Cely, 2011. "Riesgo Sistémico Y Estabilidad Del Sistema De Pagos De Alto Valor En Colombia: Análisis Bajo," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 29(65), pages 106-175, June.
    9. Paulo M.D.C. Parente & Richard J. Smith, 2018. "Generalised Empirical Likelihood Kernel Block Bootstrapping," Working Papers REM 2018/55, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    10. Robert Griffiths & Richard Barron & Michelle Gleeson & Mark Danese & Anthony O’Hagan & Victoria Chia & Jason Legg & Gary Lyman, 2012. "Granulocyte-Colony Stimulating Factor Use and Medical Costs after Initial Adjuvant Chemotherapy in Older Patients with Early-Stage Breast Cancer," PharmacoEconomics, Springer, vol. 30(2), pages 103-118, February.
    11. Yulia Kotlyarova & Marcia M. A. Schafgans & Victoria Zinde-Walsh, 2021. "Rates of Expansions for Functional Estimators," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 121-139, December.

  37. 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. 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.
    2. 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).
    3. Jörg Ankel‐Peters & Nathan Fiala & Florian Neubauer, 2025. "Is economics self‐correcting? Replications in the American Economic Review," Economic Inquiry, Western Economic Association International, vol. 63(2), pages 463-485, April.
    4. 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.
    5. 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).
    6. Sara LaLumia & James Sallee, 2011. "The Value of Honesty: Empirical Estimates from the Case of the Missing Children," Department of Economics Working Papers 2011-05, Department of Economics, Williams College.
    7. 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.
    8. 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.
    9. Ankel-Peters, Jörg & Fiala, Nathan & Neubauer, Florian, 2023. "Is Economics Self-Correcting? Replications in the American Economic Review," I4R Discussion Paper Series 68, The Institute for Replication (I4R).
    10. 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).
    11. 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.
    12. 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.
    13. Regina T. Riphahn & Frederik Wiynck, 2017. "Fertility effects of child benefits," Journal of Population Economics, Springer;European Society for Population Economics, vol. 30(4), pages 1135-1184, October.
    14. 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.
    15. Wookun Kim, 2023. "Baby Bonus, Fertility, and Missing Women," Departmental Working Papers 2308, Southern Methodist University, Department of Economics.
    16. 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.
    17. 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.
    18. Elmallakh, Nelly, 2021. "Fertility, Family Policy, and Labor Supply: Quasi-Experimental Evidence from France," GLO Discussion Paper Series 984, Global Labor Organization (GLO).
    19. 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.
    20. 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).
    21. 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.

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

    Cited by:

    1. Hällsten, Martin, 2012. "Is it ever too late to study? The economic returns on late tertiary degrees in Sweden," Economics of Education Review, Elsevier, vol. 31(1), pages 179-194.
    2. Heiler, Phillip & Kazak, Ekaterina, 2021. "Valid inference for treatment effect parameters under irregular identification and many extreme propensity scores," Journal of Econometrics, Elsevier, vol. 222(2), pages 1083-1108.
    3. Brantly Callaway & Derek Dyal & Pedro H. C. Sant'Anna & Emmanuel S. Tsyawo, 2025. "Beyond Parallel Trends: An Identification-Strategy-Robust Approach to Causal Inference with Panel Data," Papers 2511.21977, arXiv.org.
    4. Gonzalez, Felipe & Prem, Mounu & von Dessauer, Cristine, 2023. "Empowerment or Indoctrination? Women Centers Under Dictatorship," SocArXiv 64mf9, Center for Open Science.
    5. Heid, Benedikt & Márquez-Ramos, Laura, 2023. "International environmental agreements and imperfect enforcement: Evidence from CITES," Journal of Environmental Economics and Management, Elsevier, vol. 118(C).
    6. Black, Dan A. & Joo, Joonhwi & LaLonde, Robert & Smith, Jeffrey A. & Taylor, Evan J., 2022. "Simple Tests for Selection: Learning More from Instrumental Variables," Labour Economics, Elsevier, vol. 79(C).
    7. Tarek Azzam & Michael Bates & David Fairris, 2020. "Do Learning Communities Increase First Year College Retention? Testing Sample Selection and External Validity of Randomized Control Trials," Working Papers 202022, University of California at Riverside, Department of Economics, revised Jul 2020.
    8. Vishalie Shah & Andrew M. Jones & Ivana Malenica & Taufik Hidayat & Noemi Kreif, 2025. "Using Policy Learning to Inform Health Insurance Targeting: A Case Study of Indonesia," Health Economics, John Wiley & Sons, Ltd., vol. 34(12), pages 2270-2296, December.
    9. Gary King & Christopher Lucas & Richard A. Nielsen, 2017. "The Balance‐Sample Size Frontier in Matching Methods for Causal Inference," American Journal of Political Science, John Wiley & Sons, vol. 61(2), pages 473-489, April.
    10. Miguel Cantillo, 2015. "Dynamic Investment with Adverse Selection and Moral Hazard," Working Papers 201501, Universidad de Costa Rica, revised Mar 2015.
    11. Bernard Black & José-Antonio Espín-Sánchez & Eric French & Kate Litvak, 2017. "The Long-Term Effect of Health Insurance on Near-Elderly Health and Mortality," American Journal of Health Economics, MIT Press, vol. 3(3), pages 281-311, Summer.
    12. Hill, Matthew J. & Maestas, Nicole & Mullen, Kathleen J., 2016. "Employer accommodation and labor supply of disabled workers," Labour Economics, Elsevier, vol. 41(C), pages 291-303.
    13. Tamara Bischof & Boris Kaiser, 2019. "Who Cares When You Close Down? The Effects of Primary Care Practice Closures on Patients," Diskussionsschriften dp1907, Universitaet Bern, Departement Volkswirtschaft.
    14. Daniel Burkhard & Christian Schmid & Kaspar W thrich, 2015. "Financial incentives and physician prescription behavior: Evidence from dispensing regulations," Diskussionsschriften dp1511, Universitaet Bern, Departement Volkswirtschaft.
    15. Dettmann, Eva & Becker, Claudia & Schmeißer, Christian, 2010. "Is there a Superior Distance Function for Matching in Small Samples?," IWH Discussion Papers 3/2010, Halle Institute for Economic Research (IWH).
    16. Prem, Mounu & Vargas, Juan F. & Namen, Olga, 2020. "The Human Capital Peace Dividend," SocArXiv kd4pb, Center for Open Science.
    17. Guido Blasio & Samuele Poy, 2017. "THE IMPACT OF LOCAL WAGE REGULATION ON EMPLOYMENT: A BORDER ANALYSIS FROM ITALY IN THE 1950s," Journal of Regional Science, Wiley Blackwell, vol. 57(1), pages 48-74, January.
    18. Brenøe, Anne & Canaan, Serena & Royer, Heather & Harmon, Nikolaj, 2022. "Is Parental Leave Costly for Firms and Coworkers?," VfS Annual Conference 2022 (Basel): Big Data in Economics 264012, Verein für Socialpolitik / German Economic Association.
    19. Dettmann, E. & Becker, C. & Schmeißer, C., 2011. "Distance functions for matching in small samples," Computational Statistics & Data Analysis, Elsevier, vol. 55(5), pages 1942-1960, May.
    20. Cappelli, Gabriele & Baten, Jörg, 2016. "The Evolution of Human Capital in Africa, 1730 – 1970: A Colonial Legacy?," CEPR Discussion Papers 11273, Centre for Economic Policy Research.
    21. Kono, Hisaki & Sawada, Yasuyuki & Shonchoy, Abu S., 2016. "DVD-based distance-learning program for university entrance exams -- RCT experiments in rural Bangladesh," IDE Discussion Papers 580, Institute of Developing Economies, Japan External Trade Organization(JETRO).
    22. Koch, Nicolas & Basse Mama, Houdou, 2019. "Does the EU Emissions Trading System induce investment leakage? Evidence from German multinational firms," Energy Economics, Elsevier, vol. 81(C), pages 479-492.
    23. David J. Harding & Lisa Sanbonmatsu & Greg J. Duncan & Lisa A. Gennetian & Lawrence F. Katz & Ronald C. Kessler & Jeffrey R. Kling & Matthew Sciandra & Jens Ludwig, 2021. "Evaluating Contradictory Experimental and Non-Experimental Estimates of Neighborhood Effects on Economic Outcomes for Adults," NBER Working Papers 28454, National Bureau of Economic Research, Inc.
    24. Mengqi Li, 2025. "Fragility in Average Treatment Effect on the Treated under Limited Covariate Support," Papers 2506.08950, arXiv.org.
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  39. Matias D. Cattaneo & Richard K. Crump & Michael Jansson, 2009. "Robust Data-Driven Inference for Density-Weighted Average Derivatives," CREATES Research Papers 2009-46, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Hiroaki Kaido, 2014. "Asymptotically efficient estimation of weighted average derivatives with an interval censored variable," CeMMAP working papers 03/14, Institute for Fiscal Studies.
    2. Matias D. Cattaneo & Max H. Farrell & Michael Jansson & Ricardo Masini, 2022. "Higher-order Refinements of Small Bandwidth Asymptotics for Density-Weighted Average Derivative Estimators," Papers 2301.00277, arXiv.org, revised Feb 2024.
    3. Matias D. Cattaneo & Michael Jansson & Whitney K. Newey, 2015. "Alternative Asymptotics and the Partially Linear Model with Many Regressors," Papers 1505.08120, arXiv.org.
    4. 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.
    5. 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.
    6. Belloni, Alexandre & Chernozhukov, Victor & Chetverikov, Denis & Fernández-Val, Iván, 2019. "Conditional quantile processes based on series or many regressors," Journal of Econometrics, Elsevier, vol. 213(1), pages 4-29.
    7. 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.
    8. Dennis Kristensen, 2009. "Semiparametric modelling and estimation (in Russian)," Quantile, Quantile, issue 7, pages 53-83, September.
    9. Yukitoshi Matsushita & Taisuke Otsu, 2017. "Likelihood inference on semiparametric models: Average derivative and treatment effect," STICERD - Econometrics Paper Series 592, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    10. Andrews, Donald W.K. & Shi, Xiaoxia, 2014. "Nonparametric inference based on conditional moment inequalities," Journal of Econometrics, Elsevier, vol. 179(1), pages 31-45.
    11. 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.
    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. Valeri Voev, 2009. "On the Economic Evaluation of Volatility Forecasts," CREATES Research Papers 2009-56, Department of Economics and Business Economics, Aarhus University.
    14. Lee, Seong-ho & Ma, Yanyuan & Ronchetti, Elvezio, 2025. "Semiparametric approach to estimation of marginal mean effects and marginal quantile effects," Journal of Econometrics, Elsevier, vol. 249(PA).
    15. Dong, Hao & Otsu, Taisuke & Taylor, Luke, 2021. "Average derivative estimation under measurement error," LSE Research Online Documents on Economics 106489, London School of Economics and Political Science, LSE Library.
    16. 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.
    17. 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.
    18. Lin, Yingqian & Tu, Yundong, 2025. "Identification and inference for semiparametric single index transformation models," Journal of Econometrics, Elsevier, vol. 251(C).
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    21. 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.

  40. 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. 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.
    2. Matsushita, Yukitoshi & Otsu, Taisuke, 2021. "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.
    3. 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.
    4. Cattaneo, Matias D. & Farrell, Max H. & Jansson, Michael & Masini, Ricardo P., 2025. "Higher-order refinements of small bandwidth asymptotics for density-weighted average derivative estimators," Journal of Econometrics, Elsevier, vol. 252(PB).
    5. 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.
    6. Farrell, Max H., 2015. "Robust inference on average treatment effects with possibly more covariates than observations," Journal of Econometrics, Elsevier, vol. 189(1), pages 1-23.
    7. Bryan S. Graham, 2024. "Sparse Network Asymptotics for Logistic Regression Under Possible Misspecification," Econometrica, Econometric Society, vol. 92(6), pages 1837-1868, November.
    8. Dong, Hao & Otsu, Taisuke & Taylor, Luke, 2021. "Average derivative estimation under measurement error," LSE Research Online Documents on Economics 106489, London School of Economics and Political Science, LSE Library.
    9. Bryan S. Graham, 2019. "Network Data," Papers 1912.06346, arXiv.org.
    10. Hiroaki Kaido, 2014. "Asymptotically efficient estimation of weighted average derivatives with an interval censored variable," CeMMAP working papers CWP03/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    11. Kaicheng Chen & Harold D. Chiang, 2026. "Cross-Fitting-Free Debiased Machine Learning with Multiway Dependence," Papers 2602.11333, arXiv.org, revised Sep 2026.
    12. 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.
    13. Bryan S. Graham, 2019. "Dyadic Regression," Papers 1908.09029, arXiv.org.
    14. Lin, Yingqian & Tu, Yundong, 2025. "Identification and inference for semiparametric single index transformation models," Journal of Econometrics, Elsevier, vol. 251(C).
    15. Graham, Bryan S. & Niu, Fengshi & Powell, James L., 2024. "Kernel density estimation for undirected dyadic data," Journal of Econometrics, Elsevier, vol. 240(2).
    16. Bryan S. Graham, 2020. "Sparse network asymptotics for logistic regression," Papers 2010.04703, arXiv.org.
    17. Graham, Bryan S., 2020. "Network data," Handbook of Econometrics,, Elsevier.
    18. Dennis Kristensen, 2009. "Semiparametric Modelling and Estimation: A Selective Overview," CREATES Research Papers 2009-44, Department of Economics and Business Economics, Aarhus University.
    19. Bryan S. Graham, 2019. "Network Data," CeMMAP working papers CWP71/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    20. 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.
    21. Yulia Kotlyarova & Marcia M. A. Schafgans & Victoria Zinde-Walsh, 2021. "Rates of Expansions for Functional Estimators," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 121-139, December.
    22. 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.

  41. 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. Marusca De Castris & Guido Pellegrini, 2015. "Caratteristiche delle imprese ed eterogeneit? degli effetti degli incentivi alla r&s," SCIENZE REGIONALI, FrancoAngeli Editore, vol. 2015(3 Suppl.), pages 61-79.
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    1. 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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    3. Tetsuya Kaji, 2019. "Theory of Weak Identification in Semiparametric Models," Papers 1908.10478, arXiv.org, revised Aug 2020.
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  43. 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, IZA Network @ LISER.

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    1. Jeffrey Clemens, 2015. "The Minimum Wage and the Great Recession: Evidence from the Current Population Survey," NBER Working Papers 21830, National Bureau of Economic Research, Inc.
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    3. 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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    11. Manuel S. Santos & Juan Pablo Rincon-Zapatero, 2007. "Moving the Goalposts: Differentiability of the Value Function without Interiority Assumptions," Working Papers 0614, University of Miami, Department of Economics.
    12. Kevin Lang & Russell Weinstein, 2012. "Evaluating Student Outcomes at For-Profit Colleges," NBER Working Papers 18201, National Bureau of Economic Research, Inc.
    13. Deininger, Klaus & Liu, Yanyan, 2013. "Economic and Social Impacts of an Innovative Self-Help Group Model in India," World Development, Elsevier, vol. 43(C), pages 149-163.
    14. Richard K. Crump & V. Joseph Hotz & Guido W. Imbens & Oscar A. Mitnik, 2006. "Moving the Goalposts: Addressing Limited Overlap in the Estimation of Average Treatment Effects by Changing the Estimand," NBER Technical Working Papers 0330, National Bureau of Economic Research, Inc.
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    17. 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.
    18. Christiano A. Coelho & João Manoel Pinho de Mello & Leonardo Rezende, 2007. "Are Public Banks pro-Competitive? Evidence from Concentrated Local Markets in Brazil," Textos para discussão 551, Department of Economics PUC-Rio (Brazil), revised Sep 2007.
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    20. Nan L. Maxwell & Dana Rotz, 2017. "Potential Assistance for Disadvantaged Workers: Employment Social Enterprises," Journal of Labor Research, Springer, vol. 38(2), pages 145-168, June.
    21. Ahmed Elsayed & Soiliou Daw Namoro & Rania Roushdy, 2022. "Empowering women in conservative settings: evidence from an intervention in rural Egypt," Review of Economics of the Household, Springer, vol. 20(4), pages 1287-1322, December.
    22. Philip J. Cook & Robert MacCoun & Clara Muschkin & Jacob Vigdor, 2008. "The negative impacts of starting middle school in sixth grade," Journal of Policy Analysis and Management, John Wiley & Sons, Ltd., vol. 27(1), pages 104-121.
    23. Dana Rotz & Nan Maxwell & Adam Dunn, "undated". "Economic Self-Sufficiency and Life Stability One Year After Starting a Social Enterprise Job," Mathematica Policy Research Reports 24697e16229b4f6b8fd5763f2, Mathematica Policy Research.
    24. Deininger, Klaus & Liu, Yanyan, 2009. "Longer-term economic impacts of self-help groups in india," Policy Research Working Paper Series 4886, The World Bank.
    25. 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.
    26. Deininger, Klaus & Liu, Yanyan, 2009. "Economic and social impacts of self-help groups in India," Policy Research Working Paper Series 4884, The World Bank.
    27. Keyon Vafa & Susan Athey & David M. Blei, 2024. "Estimating Wage Disparities Using Foundation Models," Papers 2409.09894, arXiv.org, revised Apr 2025.
    28. 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.
    29. Sudhanshu Handa & John Maluccio, 2008. "Matching the gold standard: Comparing experimental and non-experimental evaluation techniques for a geographically targeted program," Middlebury College Working Paper Series 0813, Middlebury College, Department of Economics.
    30. Juan Robalino & Alexander Pfaff, 2013. "Ecopayments and Deforestation in Costa Rica: A Nationwide Analysis of PSA’s Initial Years," Land Economics, University of Wisconsin Press, vol. 89(3), pages 432-448.
    31. Kevin P. Josey & Elizabeth Juarez‐Colunga & Fan Yang & Debashis Ghosh, 2021. "A framework for covariate balance using Bregman distances," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(3), pages 790-816, September.
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    33. Li, Lingling & Tchetgen Tchetgen, Eric & van der Vaart, Aad & Robins, James M., 2011. "Higher order inference on a treatment effect under low regularity conditions," Statistics & Probability Letters, Elsevier, vol. 81(7), pages 821-828, July.
    34. David Arbour & Harsh Parikh & Bijan Niknam & Elizabeth Stuart & Kara Rudolph & Avi Feller, 2025. "Regularizing Extrapolation in Causal Inference," Papers 2509.17180, arXiv.org, revised Apr 2026.
    35. Blättler, Kevin & Wallimann, Hannes & von Arx, Widar, 2024. "Free public transport to the destination: A causal analysis of tourists’ travel mode choice," Transportation Research Part A: Policy and Practice, Elsevier, vol. 187(C).
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    37. Pablo Gonzalez Ginestet & Ales Kotalik & David M. Vock & Julian Wolfson & Erin E. Gabriel, 2021. "Stacked inverse probability of censoring weighted bagging: A case study in the InfCareHIV Register," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 70(1), pages 51-65, January.
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    48. Tiffany (Tianhui) Cai & Hongseok Namkoong & Steve Yadlowsky, 2026. "Diagnosing Model Performance Under Distribution Shift," Operations Research, INFORMS, vol. 74(2), pages 898-916, March.
    49. Timothy B Armstrong & Michal Kolesár, 2018. "A Simple Adjustment for Bandwidth Snooping," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 85(2), pages 732-765.
    50. 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.
    51. Shikuku, Kelvin Mashisia, 2019. "Information exchange links, knowledge exposure, and adoption of agricultural technologies in northern Uganda," World Development, Elsevier, vol. 115(C), pages 94-106.
    52. Megan Sheahan & Yanyan Liu & Sudha Narayanan & Christopher B. Barrett, 2020. "Disaggregated labor supply implications of guaranteed employment in India," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2020-035, Indira Gandhi Institute of Development Research, Mumbai, India.
    53. Jason Fletcher & David Frisvold, 2014. "The long run health returns to college quality," Review of Economics of the Household, Springer, vol. 12(2), pages 295-325, June.
    54. Suzuki, Aya & Igei, Kengo, 2017. "Can Efficient Provision of Business Development Services Bring Better Results for SMEs?: Evidence from a Networking Project in Thailand," Working Papers 147, JICA Research Institute.
    55. D’Amour, Alexander & Ding, Peng & Feller, Avi & Lei, Lihua & Sekhon, Jasjeet, 2021. "Overlap in observational studies with high-dimensional covariates," Journal of Econometrics, Elsevier, vol. 221(2), pages 644-654.
    56. Mohammad Mahbubur Rahman, 2012. "Estimating the Effects of Social Safety Net Programmes in Bangladesh on Calorie Consumption of Poor Households," Bangladesh Development Studies, Bangladesh Institute of Development Studies (BIDS), vol. 35(2), pages 67-85.
    57. Suzuki, Aya & Mano, Yukichi & Abebe, Girum, 2018. "Earnings, savings, and job satisfaction in a labor-intensive export sector: Evidence from the cut flower industry in Ethiopia," World Development, Elsevier, vol. 110(C), pages 176-191.
    58. Guy David & Lorens A. Helmchen & Robert A. Henderson, 2009. "Does advanced medical technology encourage hospitalist use and their direct employment by hospitals?," Health Economics, John Wiley & Sons, Ltd., vol. 18(2), pages 237-247, February.
    59. Peng Ding, 2022. "Peng Ding’s contribution to the Discussion of ‘Assumption‐lean inference for generalised linear model parameters’ by Vansteelandt and Dukes," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(3), pages 691-693, July.
    60. Chen, Shaohua & Mu, Ren & Ravallion, Martin, 2008. "Are there lasting impacts of aid to poor areas ? Evidence from rural China," Policy Research Working Paper Series 4084, The World Bank.
    61. Subharup Guha & Yi Li, 2026. "Bayesian Estimation of Propensity Scores for Integrating Multiple Cohorts with High-Dimensional Covariates," Statistics in Biosciences, Springer;International Chinese Statistical Association, vol. 18(1), pages 46-67, March.
    62. D'Elia, Vanesa Valeria & Grand, Mariana Conte & León, Sonia, 2020. "Bus rapid transit and property values in Buenos Aires: Combined spatial hedonic pricing and propensity score techniques," Research in Transportation Economics, Elsevier, vol. 80(C).
    63. Fletcher, Jason M. & Frisvold, David E., 2011. "College selectivity and young adult health behaviors," Economics of Education Review, Elsevier, vol. 30(5), pages 826-837, October.
    64. Stewart, James I., 2012. "Migration to U.S. frontier cities and job opportunity, 1860–1880," Explorations in Economic History, Elsevier, vol. 49(4), pages 528-542.
    65. Wagstaff, Adam & Lindelow, Magnus & Gao Jun & Xu Ling & Qian Juncheng, 2007. "Extending health insurance to the rural population : an impact evaluation of China's new cooperative medical scheme," Policy Research Working Paper Series 4150, The World Bank.
    66. Kathleen Beegle & Joachim De Weerdt & Stefan Dercon, 2007. "Orphanhood and the long-run impact on children," CSAE Working Paper Series 2007-08, Centre for the Study of African Economies, University of Oxford.
    67. Shor, Boris & McCarty, Nolan, 2010. "The Ideological Mapping of American Legislatures," Papers 8-11-2010, Princeton University, Research Program in Political Economy.
    68. Mohammad Mahbubur Rahman, 2014. "Estimating the Average Treatment Effect of Social Safety Net Programmes in Bangladesh," Journal of Development Studies, Taylor & Francis Journals, vol. 50(11), pages 1550-1569, November.
    69. Fahner, Gerald, 2012. "Estimating causal effects of credit decisions," International Journal of Forecasting, Elsevier, vol. 28(1), pages 248-260.
    70. Susan Athey & Guido Imbens & Thai Pham & Stefan Wager, 2017. "Estimating Average Treatment Effects: Supplementary Analyses and Remaining Challenges," Papers 1702.01250, arXiv.org.
    71. Nolan McCarty & Keith T. Poole & Howard Rosenthal, 2009. "Does Gerrymandering Cause Polarization?," American Journal of Political Science, John Wiley & Sons, vol. 53(3), pages 666-680, July.
    72. Onur Baser, 2007. "Propensity Score Matching with Limited Overlap," Economics Bulletin, AccessEcon, vol. 9(8), pages 1-8.
    73. Li, Weijun & Bai, Xiwen & Yang, Dong & Hou, Yao, 2023. "Maritime connectivity, transport infrastructure expansion and economic growth: A global perspective," Transportation Research Part A: Policy and Practice, Elsevier, vol. 170(C).
    74. Yang Shu, 2018. "Propensity Score Weighting for Causal Inference with Clustered Data," Journal of Causal Inference, De Gruyter, vol. 6(2), pages 1-19, September.
    75. Ganesh Karapakula, 2023. "Stable Probability Weighting: Large-Sample and Finite-Sample Estimation and Inference Methods for Heterogeneous Causal Effects of Multivalued Treatments Under Limited Overlap," Papers 2301.05703, arXiv.org, revised Jan 2023.
    76. Deon Filmer & Norbert Schady, 2008. "Getting Girls into School: Evidence from a Scholarship Program in Cambodia," Economic Development and Cultural Change, University of Chicago Press, vol. 56(3), pages 581-617, April.

Articles

  1. 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.
  2. 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. Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2026. "Fiscal monitoring with VARs," Working Paper Series 3186, European Central Bank.
    2. 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.

  3. 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.
  4. 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.
  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. 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).

  7. 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. Kleibergen, Frank & Kong, Lingwei, 2025. "Identification robust inference for the risk premium in term structure models," Journal of Econometrics, Elsevier, vol. 248(C).
    3. Dennis Schroers, 2024. "Robust Functional Data Analysis for Stochastic Evolution Equations in Infinite Dimensions," Papers 2401.16286, arXiv.org, revised Sep 2025.
    4. Kirsten, Oliver & Süssmuth, Bernd, 2025. "Forecasting the unforecastable: An independent component analysis for majority game-like global cryptocurrencies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 665(C).
    5. Dennis Schroers, 2024. "Dynamically Consistent Analysis of Realized Covariations in Term Structure Models," Papers 2406.19412, arXiv.org.
    6. 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.).
    7. Jungbin Hwang & Feifan Wang, 2025. "Sieve Bootstrap Approach to Robust Term Premia Analysis," Working papers 2025-10, University of Connecticut, Department of Economics.
    8. 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.
    9. Andreas Schrimpf & Markus Sihvonen, 2025. "Inflation and the joint bond-FX spanning puzzle," BIS Working Papers 1320, Bank for International Settlements.

  8. 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.
  9. 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.
  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. 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.
  12. 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.
  13. 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.
  14. 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.
  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. "Bootstrapping Density-Weighted Average Derivatives," Econometric Theory, Cambridge University Press, vol. 30(6), pages 1135-1164, December.
    See citations under working paper version above.
  17. 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.
  18. 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.
  19. 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. Etienne Vaccaro-Grange, 2025. "Quantitative easing, tightening, and the term premium channel in the Euro Area," Empirical Economics, Springer, vol. 69(6), pages 3089-3125, December.
    3. Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2015. "Regression-based estimation of dynamic asset pricing models," Journal of Financial Economics, Elsevier, vol. 118(2), pages 211-244.
    4. Maurice Obstfeld & Haonan Zhou, 2023. "The Global Dollar Cycle," NBER Working Papers 31004, National Bureau of Economic Research, Inc.
    5. Rodrigo Vergara & Elías Albagli, 2015. "Tasas de Interés de Largo Plazo en Economías Desarrolladas: Tendencias Recientes e Implicancias de Política Monetaria en Chile," Economic Policy Papers Central Bank of Chile 52, Central Bank of Chile.
    6. Jiang, Zhuhua & Ozcelebi, Oguzhan & Lü, Zheng & El Khoury, Rim & Yoon, Seong-Min, 2026. "The impact of financial uncertainty on the price dynamics of global bond funds," Global Finance Journal, Elsevier, vol. 69(C).
    7. Moench, Emanuel & Soofi-Siavash, Soroosh, 2022. "What moves treasury yields?," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1016-1043.
    8. Fulvio Pegoraro & Siegel, A. F. & Luca Tiozzo Pezzoli, 2014. "Specification Analysis of International Treasury Yield Curve Factors," Working papers 490, Banque de France.
    9. Görtz, Christoph & Yeromonahos, Mallory, 2022. "Asymmetries in risk premia, macroeconomic uncertainty and business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
    10. Camelia Minoiu & Andrés Schneider & Min Wei, 2025. "Why Does the Yield Curve Predict GDP Growth? The Role of Banks," FRB Atlanta Working Paper 2025-5, Federal Reserve Bank of Atlanta.
    11. Jonathan Hambur & Richard Finlay, 2018. "Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia," RBA Research Discussion Papers rdp2018-02, Reserve Bank of Australia.
    12. 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.
    13. Ali Rayeni & Hosein Naderi, 2025. "Predicting the Canadian Yield Curve Using Machine Learning Techniques," IJFS, MDPI, vol. 13(3), pages 1-30, September.
    14. 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.
    15. Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2016. "The term structure of expectations and bond yields," Staff Reports 775, Federal Reserve Bank of New York.
    16. 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," Finance and Economics Discussion Series 2018-002, Board of Governors of the Federal Reserve System (U.S.).
    17. Matteo Cacciatore & Bruno Feunou & Galip Kemal Ozhan, 2024. "The Neutral Interest Rate: Past, Present and Future," Discussion Papers 2024-03, Bank of Canada.
    18. Drew D. Creal & Jing Cynthia Wu, 2014. "Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility," NBER Working Papers 20115, National Bureau of Economic Research, Inc.
    19. 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.
    20. Ellison, Martin & Tischbirek, Andreas, 2018. "Beauty Contests and the Term Structure," CEPR Discussion Papers 12762, Centre for Economic Policy Research.
    21. Liu, Haiqin, 2026. "Conventional vs innovative monetary policy transmission in China: Term-structure and credit-spread effects," Finance Research Letters, Elsevier, vol. 95(C).
    22. Martin M Andreasen & Andrew Meldrum, 2015. "Dynamic term structure models: the best way to enforce the zero lower bound in the United States," Bank of England Staff Working Paper series 550, Bank of England.
    23. Croitoru Lucian, 2015. "The Tendency Towards Secondarity in Managing Global Imbalances," Scientific Annals of Economics and Business, Paradigm, vol. 62(3), pages 291-311, November.
    24. 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.).
    25. 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).
    26. 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.
    27. 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.
    28. Rita Pimentel & Morten Risstad & Sjur Westgaard, 2022. "Predicting interest rate distributions using PCA & quantile regression," Digital Finance, Springer, vol. 4(4), pages 291-311, December.
    29. 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).
    30. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2016. "The economic value of predicting bond risk premia," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 247-267.
    31. Lloyd, Simon & Ostry, Daniel, 2024. "The asymmetric effects of quantitative tightening and easing on financial markets," Economics Letters, Elsevier, vol. 238(C).
    32. Brandao-Marques, Luis & Gelos, Gaston & Melgar, Natalia, 2018. "Country transparency and the global transmission of financial shocks," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 56-72.
    33. 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.
    34. Dongho Song, 2016. "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," Boston College Working Papers in Economics 915, Boston College Department of Economics, revised 19 Jul 2016.
    35. Kaminska, Iryna & Mumtaz, Haroon & Šustek, Roman, 2021. "Monetary policy surprises and their transmission through term premia and expected interest rates," Journal of Monetary Economics, Elsevier, vol. 124(C), pages 48-65.
    36. 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.
    37. Halberstadt, Arne, 2021. "Decomposing the yield curve with linear regressions and survey information," Discussion Papers 27/2021, Deutsche Bundesbank.
    38. 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.
    39. 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.
    40. Vázquez, Jesús & Aguilar, Pablo, 2021. "Adaptive learning with term structure information," European Economic Review, Elsevier, vol. 134(C).
    41. Stéphane Lhuissier & Benoît Nguyen, 2025. "Revisiting the Dynamic Impact of Asset Purchases: A Survey‐Based Identification," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(7), pages 846-861, November.
    42. Speck, Christian, 2023. "Pricing the Bund term structure with linear regressions – without an observable short rate," Discussion Papers 08/2023, Deutsche Bundesbank.
    43. Tianxiang Hao & Qingfu Liu & Deyu Miao & Yiuman Tse, 2025. "Predicting Commodity Returns Through Image‐Based Price Patterns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(12), pages 2434-2456, December.
    44. François Gourio & Phuong Ngo, 2020. "Risk Premia at the ZLB: A Macroeconomic Interpretation," Working Paper Series WP 2020-01, Federal Reserve Bank of Chicago.
    45. 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.
    46. 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.
    47. 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.
    48. Dubiel-Teleszynski, Tomasz & Kalogeropoulos, Konstantinos & Karouzakis, Nikolaos, 2024. "Sequential learning and economic benefits from dynamic term structure models," LSE Research Online Documents on Economics 123659, London School of Economics and Political Science, LSE Library.
    49. Steenkamp, Daan & Erasmus, Ruan, 2022. "Term premium estimation for South Africa," MPRA Paper 114895, University Library of Munich, Germany.
    50. Richard K. Crump & Stefano Eusepi & Emanuel Moench & Bruce Preston, 2021. "The Term Structure of Expectations," Staff Reports 992, Federal Reserve Bank of New York.
    51. Passmore, Wayne & Temesvary, Judit, 2022. "How investor demands for safety influence bank capital and liquidity trade-offs," Journal of Financial Stability, Elsevier, vol. 60(C).
    52. Riccardo Rebonato & Ivan Saroka & Vlad Putiatyn, 2020. "Principal-Component-Based Gaussian Affine Term Structure Models: Constraints And Their Financial Implications," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-25, March.
    53. Alexander Guarín & José Fernando Moreno & Hernando Vargas, 2014. "An empirical analysis of the relationship between US and Colombian long-term sovereign bond yields," BIS Papers chapters, in: Bank for International Settlements (ed.), The transmission of unconventional monetary policy to the emerging markets, volume 78, pages 129-158, Bank for International Settlements.
    54. 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.
    55. 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.
    56. Cao, Shuo & Crump, Richard K. & Eusepi, Stefano & Moench, Emanuel, 2020. "Fundamental Disagreement about Monetary Policy and the Term Structure of Interest Rates," CEPR Discussion Papers 15122, Centre for Economic Policy Research.
    57. 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.
    58. Wang, Zhuo & Liu, Tong & Chen, Mizhou, 2026. "Current stance vs. future guidance: LLM evidence on how PBC communication shapes the yield curve," Economics Letters, Elsevier, vol. 259(C).
    59. Antonio Diez de los Rios, 2013. "A New Linear Estimator for Gaussian Dynamic Term Structure Models," Staff Working Papers 13-10, Bank of Canada.
    60. Jessica James & Michael Leister & Christoph Rieger, 2017. "An empirical method of calculating the term premium," Quantitative Finance, Taylor & Francis Journals, vol. 17(12), pages 1783-1793, December.
    61. Peter D. Williams & Mr. Yasser Abdih & Emanuel Kopp, 2020. "Reading the Stars," IMF Working Papers 2020/136, International Monetary Fund.
    62. NAKAJIMA, Jouchi, 2025. "Impact of US Monetary Policy Spillovers and Yield Curve Control Policy," Discussion Paper Series 760, Institute of Economic Research, Hitotsubashi University.
    63. 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.
    64. 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.
    65. Shrey Lingampalli, 2026. "GENIUS Effects on the Stablecoin Economy," Papers 2603.24842, arXiv.org, revised Mar 2026.
    66. 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.
    67. Edward N. Gamber (CBO), 2017. "Did Treasury Debt Markets Anticipate the Persistent Decline in Long-Term Interest Rates?: Working Paper 2017-07," Working Papers 53153, Congressional Budget Office.
    68. 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.
    69. Lucas Herrenbrueck & Xinhao Dong & Zijian Wang, 2026. "Urgency, Liquidity, and the Price of Convenience," Discussion Papers dp26-12, Department of Economics, Simon Fraser University.
    70. Jochen O. Mierau & Mark Mink, 2018. "A Descriptive Model of Banking and Aggregate Demand," De Economist, Springer, vol. 166(2), pages 207-237, June.
    71. Ayush Jha & Abootaleb Shirvani & Ali Jaffri & Svetlozar T. Rachev & Frank J. Fabozzi, 2025. "Advancing Portfolio Optimization: Adaptive Minimum-Variance Portfolios and Minimum Risk Rate Frameworks," Papers 2501.15793, arXiv.org.
    72. 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.
    73. Garcia, Piero & Quineche, Ricardo & Zapata, Juan, 2026. "Temporal asymmetries in monetary transmission: Implications for interest rate policies," Journal of Policy Modeling, Elsevier, vol. 48(3).
    74. Marcello Pericoli & Marco Taboga, 2018. "Nearly exact Bayesian estimation of non-linear no-arbitrage term structure models," Temi di discussione (Economic working papers) 1189, Bank of Italy, Economic Research and International Relations Area.
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    355. 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.
    356. Michael Callaghan, 2017. "Is the market always right? Improving federal funds rate forecasts by adjusting for the term premium," Reserve Bank of New Zealand Analytical Notes series AN2017/08, Reserve Bank of New Zealand.
    357. Thomas Mcinish & Christopher J. Neely & Jade Planchon, 2024. "Unconventional Monetary Policy and the Behavior of Shorts," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(4), pages 805-835, June.
    358. 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.
    359. 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.
    360. Leo Krippner & Michael Callaghan, 2016. "Short-term risk premiums and policy rate expectations in the United States," Reserve Bank of New Zealand Analytical Notes series AN2016/07, Reserve Bank of New Zealand.
    361. Paul Rudel & Peter Tillmann, 2018. "News Shock Spillovers: How the Euro Area Responds to Expected Fed Policy," MAGKS Papers on Economics 201832, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    362. 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.
    363. Christos Ioannidis & Kook Ka, 2021. "Economic Policy Uncertainty and Bond Risk Premia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(6), pages 1479-1522, September.
    364. Erkko Etula, 2009. "Broker-dealer risk appetite and commodity returns," Staff Reports 406, Federal Reserve Bank of New York.
    365. 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).
    366. Jens H. E. Christensen & Daan Steenkamp, 2026. "A Market-Based Assessment of the Outlook for Inflation Expectations and Monetary Policy in South Africa," Working Paper Series 2026-03, Federal Reserve Bank of San Francisco.
    367. Martin M. Andreasen & Kasper Jørgensen, 2016. "Explaining Asset Prices with Low Risk Aversion and Low Intertemporal Substitution," CREATES Research Papers 2016-16, Department of Economics and Business Economics, Aarhus University.

  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.

Chapters

  1. Richard K. Crump & Miro Everaert & Domenico Giannone & C. Sean Hundtofte, 2024. "Changing Risk-Return Profiles," Springer Books, in: Matteo Barigozzi & Siegfried Hörmann & Davy Paindaveine (ed.), Recent Advances in Econometrics and Statistics, pages 283-302, Springer.
    See citations under working paper version above.Sorry, no citations of chapters recorded.
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