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Jens Henrik Eggert Christensen

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. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2013. "A Probability-Based Stress Test of Federal Reserve Assets and Income," Working Paper Series 2013-38, Federal Reserve Bank of San Francisco.

    Mentioned in:

    1. Open Letter to Senator Rand Paul
      by Stephen G. Cecchetti in Huffington Post Business on 2015-09-06 19:54:41
    2. Do central banks need capital?
      by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2015-05-26 17:19:47
    3. Open Letter to Senator Rand Paul
      by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2015-08-23 18:43:47

Working papers

  1. Remy Beauregard & Jens H. E. Christensen & Eric Fischer & Simon Zhu, 2021. "Inflation Expectations and Risk Premia in Emerging Bond Markets: Evidence from Mexico," Working Paper Series 2021-08, Federal Reserve Bank of San Francisco.

    Cited by:

    1. Christensen, Jens H.E. & Fischer, Eric & Shultz, Patrick J., 2021. "Bond flows and liquidity: Do foreigners matter?," Journal of International Money and Finance, Elsevier, vol. 117(C).

  2. Jens H. E. Christensen & Nikola Mirkov, 2021. "The Safety Premium of Safe Assets," Working Paper Series 2019-28, Federal Reserve Bank of San Francisco.

    Cited by:

    1. 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.
    2. Timothy Mark Grant & Andrei-Dragoş Popescu & Radu-Gabriel Stăuceanu & Dan-Valeriu Voinea, 2020. "Acacia Protocol – A Proposal Of Structured Products For And Within The Decentralized Finance Ecosystem," Social Sciences and Education Research Review, Department of Communication, Journalism and Education Sciences, University of Craiova, vol. 7(1), pages 362-387, July.
    3. Jens H. E. Christensen & Jose A. Lopez & Paul Mussche, 2021. "International Evidence on Extending Sovereign Debt Maturities," Working Paper Series 2021-19, Federal Reserve Bank of San Francisco.

  3. 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.

    Cited by:

    1. Habibi Khalaj, Ali & Halgamuge, Saman K., 2017. "A Review on efficient thermal management of air- and liquid-cooled data centers: From chip to the cooling system," Applied Energy, Elsevier, vol. 205(C), pages 1165-1188.

  4. Jens H. E. Christensen & Eric Fischer & Patrick Shultz, 2019. "Bond Flows and Liquidity: Do Foreigners Matter?," Working Paper Series 2019-08, Federal Reserve Bank of San Francisco.

    Cited by:

    1. Jae Young Jang & Min Jae Park, 2019. "A Study on Global Investors’ Criteria for Investment in the Local Currency Bond Markets Using AHP Methods: The Case of the Republic of Korea," Risks, MDPI, vol. 7(4), pages 1-20, October.

  5. Jens H. E. Christensen & Mark M. Spiegel, 2019. "Assessing Abenomics: Evidence from Inflation-Indexed Japanese Government Bonds," Working Paper Series 2019-15, Federal Reserve Bank of San Francisco.

    Cited by:

    1. Schupp, Fabian, 2020. "The (ir)relevance of the nominal lower bound for real yield curve analysis," Discussion Papers 32/2020, Deutsche Bundesbank.

  6. 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.

    Cited by:

    1. Brandyn Bok & Marco Del Negro & Domenico Giannone & Marc Giannoni & Eric Qian & Andrea Tambalotti, 2019. "Global Trends in Interest Rates," Liberty Street Economics 20190227, Federal Reserve Bank of New York.
    2. Brand, Claus & Goy, Gavin & Lemke, Wolfgang, 2021. "Natural rate chimera and bond pricing reality," Working Paper Series 2612, European Central Bank.
    3. He Nie & Jordan Roulleau-Pasdeloup, 2022. "Online Appendix to "The promises (and perils) of control-contingent forward guidance"," Online Appendices 21-153, Review of Economic Dynamics.
    4. Michael D. Bauer & Glenn D. Rudebusch, 2020. "Interest Rates under Falling Stars," American Economic Review, American Economic Association, vol. 110(5), pages 1316-1354, May.
    5. Jens H. E. Christensen & Jose A. Lopez & Paul L. Mussche, 2022. "Extrapolating Long-Maturity Bond Yields for Financial Risk Measurement," Management Science, INFORMS, vol. 68(11), pages 8286-8300, November.
    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. Christiane Baumeister, 2021. "Measuring Market Expectations," Working Papers 202163, University of Pretoria, Department of Economics.
    8. Michael D. Bauer & Glenn D. Rudebusch, 2020. "The Rising Cost of Climate Change: Evidence from the Bond Market," Working Paper Series 2020-25, Federal Reserve Bank of San Francisco.
    9. Jens H. E. Christensen & Simon Thinggaard Hetland, 2023. "Passive Quantitative Easing: Bond Supply Effects through a Halt to Debt Issuance," Working Paper Series 2023-24, Federal Reserve Bank of San Francisco.
    10. Neri, Stefano & Gerali, Andrea, 2019. "Natural rates across the Atlantic," Journal of Macroeconomics, Elsevier, vol. 62(C).
    11. Jens H. E. Christensen & Eric Fischer & Patrick Shultz, 2019. "Bond Flows and Liquidity: Do Foreigners Matter?," Working Paper Series 2019-08, Federal Reserve Bank of San Francisco.
    12. Dan Costin NIȚESCU & Cristian ANGHEL, 2023. "Impact of Macroeconomic and Banking Indicators on Lending Rates - A Global Perspective," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 64-77, March.
    13. Marc Peter Radke & Manuel Rupprecht, 2021. "Household Wealth: Low-Yielding and Poorly Structured?," JRFM, MDPI, vol. 14(3), pages 1-40, March.
    14. Guihai Zhao, 2020. "Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields," Staff Working Papers 20-14, Bank of Canada.
    15. Michael D. Bauer & Glenn D. Rudebusch, 2021. "Climate Change Costs Rise as Interest Rates Fall," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, vol. 2021(28), pages 1-05, October.
    16. Kábrt, Tomáš & Brůna, Karel, 2022. "Asymmetric effects of foreign capital on income inequality: The case of the Post-China 16 countries," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 613-626.
    17. Aditya Aladangady & Etienne Gagnon & Benjamin K. Johannsen & William B. Peterman, 2021. "Macroeconomic Implications of Inequality and Income Risk," Finance and Economics Discussion Series 2021-073, Board of Governors of the Federal Reserve System (U.S.).
    18. 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.
    19. Luis Ceballos & Jens H. E. Christensen & Damian Romero, 2023. "Market-Based Estimates of the Natural Real Rate: Evidence from Latin American Bond Markets," Working Paper Series 2024-01, Federal Reserve Bank of San Francisco.
    20. Bruno Feunou & Jean-Sébastien Fontaine, 2021. "Debt-Secular Economic Changes and Bond Yields," Staff Working Papers 21-14, Bank of Canada.
    21. Brandyn Bok & Thomas M. Mertens & John C. Williams, 2022. "Macroeconomic Drivers and the Pricing of Uncertainty, Inflation, and Bonds," Working Paper Series 2022-06, Federal Reserve Bank of San Francisco.
    22. Jens H. E. Christensen & Jose A. Lopez & Paul Mussche, 2021. "International Evidence on Extending Sovereign Debt Maturities," Working Paper Series 2021-19, Federal Reserve Bank of San Francisco.
    23. Berardi, Andrea & Plazzi, Alberto, 2022. "Dissecting the yield curve: The international evidence," Journal of Banking & Finance, Elsevier, vol. 134(C).
    24. Simona Malovaná & Josef Bajzík & Dominika Ehrenbergerová & Jan Janků, 2023. "A prolonged period of low interest rates in Europe: Unintended consequences," Journal of Economic Surveys, Wiley Blackwell, vol. 37(2), pages 526-572, April.
    25. Stefano Neri & Giuseppe Ferrero & Marco Gross, 2017. "On secular stagnation and low interest rates: demography matters," Temi di discussione (Economic working papers) 1137, Bank of Italy, Economic Research and International Relations Area.
    26. Eo, Yunjong & Kang, Kyu Ho, 2020. "The effects of conventional and unconventional monetary policy on forecasting the yield curve," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
    27. Karel Brůna & Jiří Pour, 2023. "Population aging and structural over/underinvestment," Economic Change and Restructuring, Springer, vol. 56(4), pages 2339-2383, August.
    28. Luis Ceballos & Jens H. E. Christensen & Damian Romero, 2024. "A Post-Pandemic New Normal for Interest Rates in Emerging Bond Markets? Evidence from Chile," Working Paper Series 2024-04, Federal Reserve Bank of San Francisco.
    29. Andreasen, Martin M. & Christensen, Jens H.E. & Rudebusch, Glenn D., 2019. "Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices," Journal of Econometrics, Elsevier, vol. 212(1), pages 26-46.
    30. Corneo, Giacomo, 2017. "Ein Staatsfonds, der eine soziale Dividende finanziert," Discussion Papers 2017/13, Free University Berlin, School of Business & Economics.
    31. Reuven Glick, 2019. "R* and the Global Economy," Working Paper Series 2019-18, Federal Reserve Bank of San Francisco.
    32. Rennert, Kevin & Prest, Brian C. & Pizer, William & Newell, Richard G. & Anthoff, David & Kingdon, Cora & Rennels, Lisa & Cooke, Roger & Raftery, Adrian E. & Ševčíková, Hana & Errickson, Frank, 2021. "The Social Cost of Carbon: Advances in Long-Term Probabilistic Projections of Population, GDP, Emissions, and Discount Rates," RFF Working Paper Series 21-28, Resources for the Future.
    33. Christensen, Jens H.E. & Fischer, Eric & Shultz, Patrick J., 2021. "Bond flows and liquidity: Do foreigners matter?," Journal of International Money and Finance, Elsevier, vol. 117(C).
    34. 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.
    35. 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.
    36. Jens H. E. Christensen & Sarah Mouabbi, 2024. "The Natural Rate of Interest in the Euro Area: Evidence from Inflation-Indexed Bonds," Working Paper Series 2024-08, Federal Reserve Bank of San Francisco.
    37. Jens H. E. Christensen & Nikola Mirkov & Xin Zhang, 2023. "Quantitative Easing and Safe Asset Scarcity: Evidence from International Bond Safety Premia," Working Paper Series 2023-23, Federal Reserve Bank of San Francisco.
    38. Jens H. E. Christensen & Mark M. Spiegel, 2019. "Assessing Abenomics: Evidence from Inflation-Indexed Japanese Government Bonds," Working Paper Series 2019-15, Federal Reserve Bank of San Francisco.
    39. Cristhian Hernando Ruiz Cardozo & Jens H. E. Christensen, 2023. "The Benefit of Inflation-Indexed Debt: Evidence from an Emerging Bond Market," Working Paper Series 2023-04, Federal Reserve Bank of San Francisco.

  7. Jens H. E. Christensen & Jose A. Lopez & Patrick Shultz, 2017. "Is There an On-the-Run Premium in TIPS?," Working Paper Series 2017-10, Federal Reserve Bank of San Francisco.

    Cited by:

    1. Magnani, Jacopo & Wang, Yabin, 2020. "Bond Lending and the Law of One Price in China's Treasury Markets," MPRA Paper 105027, University Library of Munich, Germany.
    2. 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.
    3. W. Arrata & B. Nguyen & I. Rahmouni-Rousseau & M. Vari, 2017. "Eurosystem’s asset purchases and money market rates," Working papers 652, Banque de France.
    4. Christensen, Jens H.E. & Fischer, Eric & Shultz, Patrick J., 2021. "Bond flows and liquidity: Do foreigners matter?," Journal of International Money and Finance, Elsevier, vol. 117(C).

  8. Martin M. Andreasen & Jens H. E. Christensen & Glenn D. Rudebusch, 2017. "Term Structure Analysis with Big Data," Working Paper Series 2017-21, Federal Reserve Bank of San Francisco.

    Cited by:

    1. Antonio Díaz & Francisco Jareño & Eliseo Navarro, 2020. "Yield curves from different bond data sets," Review of Derivatives Research, Springer, vol. 23(2), pages 191-226, July.
    2. Natraj Raman & Jochen L. Leidner, 2018. "Municipal Bond Pricing: A Data Driven Method," IJFS, MDPI, vol. 6(3), pages 1-19, September.
    3. Díaz, Antonio & Jareño, Francisco & Navarro, Eliseo, 2018. "Zero-coupon interest rates: Evaluating three alternative datasets," Economics Discussion Papers 2018-67, Kiel Institute for the World Economy (IfW Kiel).
    4. Koo, Bonsoo & La Vecchia, Davide & Linton, Oliver, 2021. "Estimation of a nonparametric model for bond prices from cross-section and time series information," Journal of Econometrics, Elsevier, vol. 220(2), pages 562-588.
    5. Antonio Díaz & Francisco Jareño & Eliseo Navarro, 2022. "Yield curve data choice and potential moral hazard: An empirical exercise on pricing callable bonds," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2124-2145, April.
    6. Koo, B. & La Vecchia, D. & Linton, O., 2019. "Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information," Cambridge Working Papers in Economics 1916, Faculty of Economics, University of Cambridge.
    7. Umut Akovali & Kamil Yilmaz, 2021. "Unconventional Monetary Policy and Bond Market Connectedness in the New Normal," Koç University-TUSIAD Economic Research Forum Working Papers 2101, Koc University-TUSIAD Economic Research Forum.

  9. Jens H. E. Christensen & Signe Krogstrup, 2016. "A Portfolio Model of Quantitative Easing," Working Paper Series 2016-12, Federal Reserve Bank of San Francisco.

    Cited by:

    1. Stéphane Lhuissier & Urszula Szczerbowicz, 2022. "Monetary Policy and Corporate Debt Structure," Post-Print hal-04459541, HAL.
    2. Huberto M. Ennis, 2014. "A Simple General Equilibrium Model of Large Excess Reserves," Working Paper 14-14, Federal Reserve Bank of Richmond.
    3. Ellen Ryan & Karl Whelan, 2023. "A Model of QE, Reserve Demand, and the Money Multiplier," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(2-3), pages 407-439, March.
    4. Gries, Thomas & Mitschke, Alexandra, 2019. "Systemic instability of the interbank credit market: A contribution to a resilient financial system," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203582, Verein für Socialpolitik / German Economic Association.
    5. Jens H. E. Christensen & Simon Thinggaard Hetland, 2023. "Passive Quantitative Easing: Bond Supply Effects through a Halt to Debt Issuance," Working Paper Series 2023-24, Federal Reserve Bank of San Francisco.
    6. David M. Arseneau & David E. Rappoport & Alexandros Vardoulakis, 2017. "Private and Public Liquidity Provision in Over-the-Counter Markets," Finance and Economics Discussion Series 2017-033, Board of Governors of the Federal Reserve System (U.S.).
    7. Arce, Óscar & Nuño, Galo & Thaler, Dominik & Thomas, Carlos, 2020. "A large central bank balance sheet? Floor vs corridor systems in a New Keynesian environment," Journal of Monetary Economics, Elsevier, vol. 114(C), pages 350-367.
    8. Cawley, Cormac & Finnegan, Marie, 2019. "Transmission channels of central bank asset purchases in the Irish economy," MPRA Paper 96547, University Library of Munich, Germany.
    9. Krogstrup, Signe & Tille, Cédric, 2018. "Foreign currency bank funding and global factors," Kiel Working Papers 2104, Kiel Institute for the World Economy (IfW Kiel).
    10. Paludkiewicz, Karol, 2018. "Unconventional monetary policy, bank lending, and security holdings: The yield-induced portfolio rebalancing channel," Discussion Papers 22/2018, Deutsche Bundesbank.
    11. Dr. Christian Grisse & Dr. Silvio Schumacher, 2017. "The response of long-term yields to negative interest rates: evidence from Switzerland," Working Papers 2017-10, Swiss National Bank.
    12. Jens H. E. Christensen & Nikola Mirkov & Xin Zhang, 2023. "Quantitative Easing and Safe Asset Scarcity: Evidence from International Bond Safety Premia," Working Paper Series 2023-23, Federal Reserve Bank of San Francisco.
    13. Tischer, Johannes, 2018. "Quantitative easing, portfolio rebalancing and credit growth: Micro evidence from Germany," Discussion Papers 20/2018, Deutsche Bundesbank.

  10. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2014. "Can Spanned Term Structure Factors Drive Stochastic Yield Volatility?," Working Paper Series 2014-3, Federal Reserve Bank of San Francisco.

    Cited by:

    1. Recchioni, Maria Cristina & Tedeschi, Gabriele, 2017. "From bond yield to macroeconomic instability: A parsimonious affine model," European Journal of Operational Research, Elsevier, vol. 262(3), pages 1116-1135.
    2. Minchul Shin & Molin Zhong, 2015. "Does Realized Volatility Help Bond Yield Density Prediction?," Finance and Economics Discussion Series 2015-115, Board of Governors of the Federal Reserve System (U.S.).
    3. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2012. "Pricing deflation risk with U.S. Treasury yields," Working Paper Series 2012-07, Federal Reserve Bank of San Francisco.
    4. Takamizawa, Hideyuki, 2022. "How arbitrage-free is the Nelson–Siegel model under stochastic volatility?," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 205-223.
    5. Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne & Guillaume Roussellet, 2017. "Staying at zero with affine processes : an application to term structure modelling," Rue de la Banque, Banque de France, issue 52, november.
    6. Christensen, Jens H.E. & Fischer, Eric & Shultz, Patrick J., 2021. "Bond flows and liquidity: Do foreigners matter?," Journal of International Money and Finance, Elsevier, vol. 117(C).

  11. Jens H. E. Christensen & Signe Krogstrup, 2014. "Transmission of Quantitative Easing: The Role of Central Bank Reserves," Working Paper Series 2014-18, Federal Reserve Bank of San Francisco.

    Cited by:

    1. Urbschat, Florian & Watzka, Sebastian, 2020. "Quantitative easing in the Euro Area – An event study approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 14-36.
    2. christiaan Pattipeilohy, 2016. "A comparative analysis of developments in central bank balance sheet composition," BIS Working Papers 559, Bank for International Settlements.
    3. Monnet, Eric & Vari, Miklos, 2020. "A dilemma between liquidity regulation and monetary policy: some history and theory," CEPR Discussion Papers 15001, C.E.P.R. Discussion Papers.
    4. Christian Grisse & Silvio Schumacher, 2018. "Term structure dynamics at low and negative interest rates—evidence from Switzerland," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 154(1), pages 1-17, December.
    5. Nicole Aregger & Jessica Leutert, 2023. "Countering Appreciation Pressure with Unconventional Monetary Policy: The Role of Financial Frictions," International Journal of Central Banking, International Journal of Central Banking, vol. 19(4), pages 251-337, October.
    6. Jens H. E. Christensen & Jose A. Lopez & Paul L. Mussche, 2022. "Extrapolating Long-Maturity Bond Yields for Financial Risk Measurement," Management Science, INFORMS, vol. 68(11), pages 8286-8300, November.
    7. De Rezende, Rafael B. & Ristiniemi, Annukka, 2018. "A shadow rate without a lower bound constraint," Working Paper Series 355, Sveriges Riksbank (Central Bank of Sweden).
    8. Gan‐Ochir Doojav & Davaasukh Damdinjav, 2023. "The macroeconomic effects of unconventional monetary policies in a commodity‐exporting economy: Evidence from Mongolia," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4627-4654, October.
    9. Ulrich Volz & Ansgar Belke & Irina Dubova, 2017. "Bond Yield Spillovers from Major Advanced Economies to Emerging Asia," Working Papers 203, Department of Economics, SOAS University of London, UK.
    10. Buchholz, Manuel & Schmidt, Kirsten & Tonzer, Lena, 2017. "Do conventional monetary policy instruments matter in unconventional times?," IWH Discussion Papers 12/2017, Halle Institute for Economic Research (IWH).
    11. Christensen, Jens H.E. & Gillan, James M., 2022. "Does quantitative easing affect market liquidity?," Journal of Banking & Finance, Elsevier, vol. 134(C).
    12. Arce, Óscar & Nuño, Galo & Thaler, Dominik & Thomas, Carlos, 2020. "A large central bank balance sheet? Floor vs corridor systems in a New Keynesian environment," Journal of Monetary Economics, Elsevier, vol. 114(C), pages 350-367.
    13. Dr. Lucas Marc Fuhrer & Dr. Basil Guggenheim & Dr. Matthias Jüttner, 2018. "What do Swiss franc Libor futures really tell us?," Working Papers 2018-06, Swiss National Bank.
    14. Christensen, Jens H.E. & Spiegel, Mark M., 2023. "Central bank credibility during COVID-19: Evidence from Japan," Journal of International Money and Finance, Elsevier, vol. 131(C).
    15. Christian Bittner & Alexander Rodnyansky & Farzad Saidi & Yannick Timmer, 2021. "Mixing QE and Interest Rate Policies at the Effective Lower Bound: Micro Evidence from the Euro Area," CESifo Working Paper Series 9363, CESifo.
    16. Ivan Hajdukovic, 2022. "Transmission mechanisms of conventional and unconventional monetary policies in open economies," Post-Print hal-03912666, HAL.
    17. Jens H. E. Christensen & Nikola Mirkov, 2021. "The safety premium of safe assets," Working Papers 2021-02, Swiss National Bank.
    18. John Kandrac & Bernd Schlusche, 2021. "Quantitative Easing and Bank Risk Taking: Evidence from Lending," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(4), pages 635-676, June.
    19. Sophocles N. Brissimis & Evangelia A. Georgiou, 2022. "The effects of Federal Reserve's quantitative easing and balance sheet normalization policies on long-term interest rates," Working Papers 299, Bank of Greece.
    20. Richard Finlay & Dmitry Titkov & Michelle Xiang, 2023. "The Yield and Market Function Effects of the Reserve Bank of Australia's Bond Purchases," The Economic Record, The Economic Society of Australia, vol. 99(326), pages 359-384, September.
    21. Anders Vredin, 2015. "Inflation targeting and financial stability: providing policymakers with relevant information," BIS Working Papers 503, Bank for International Settlements.
    22. Jakl Jakub, 2019. "The True Nature of the Portfolio Balance Channel of Quantitative Easing Policy," Review of Economic Perspectives, Sciendo, vol. 19(2), pages 95-117, June.
    23. Andreasen, Martin M. & Christensen, Jens H.E. & Rudebusch, Glenn D., 2019. "Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices," Journal of Econometrics, Elsevier, vol. 212(1), pages 26-46.
    24. Ernest Gnan, 2015. "Implications of ultra-low interest rates for financial institutions’ asset liability management – a policy-oriented overview," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 52-76.
    25. Markus Heckel & Kiyohiko G. Nishimura, 2020. "Unconventional Monetary Policy through Open Market Operations: A Principal Component Analysis," CARF F-Series CARF-F-501, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    26. Kang‐Soek Lee & Richard A. Werner, 2023. "Are lower interest rates really associated with higher growth? New empirical evidence on the interest rate thesis from 19 countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3960-3975, October.
    27. Paludkiewicz, Karol, 2018. "Unconventional monetary policy, bank lending, and security holdings: The yield-induced portfolio rebalancing channel," Discussion Papers 22/2018, Deutsche Bundesbank.
    28. Bank for International Settlements, 2015. "Regulatory change and monetary policy," CGFS Papers, Bank for International Settlements, number 54, december.
    29. W. Arrata & B. Nguyen & I. Rahmouni-Rousseau & M. Vari, 2017. "Eurosystem’s asset purchases and money market rates," Working papers 652, Banque de France.
    30. Dr. Christian Grisse & Dr. Silvio Schumacher, 2017. "The response of long-term yields to negative interest rates: evidence from Switzerland," Working Papers 2017-10, Swiss National Bank.
    31. Bernhard, Severin & Ebner, Till, 2017. "Cross-border spillover effects of unconventional monetary policies on Swiss asset prices," Journal of International Money and Finance, Elsevier, vol. 75(C), pages 109-127.
    32. 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.
    33. Zaremba, Adam & Kizys, Renatas & Aharon, David Y. & Umar, Zaghum, 2022. "Term spreads and the COVID-19 pandemic: Evidence from international sovereign bond markets," Finance Research Letters, Elsevier, vol. 44(C).
    34. Grahame Johnson & Sharon Kozicki & Romanos Priftis & Lena Suchanek & Jonathan Witmer & Jing Yang, 2020. "Implementation and Effectiveness of Extended Monetary Policy Tools: Lessons from the Literature," Discussion Papers 2020-16, Bank of Canada.
    35. Beck, Roland & Duca, Ioana A. & Stracca, Livio, 2019. "Medium term treatment and side effects of quantitative easing: international evidence," Working Paper Series 2229, European Central Bank.
    36. Miller, Sam & Wanengkirtyo, Boromeus, 2020. "Liquidity and monetary transmission: a quasi-experimental approach," Bank of England working papers 891, Bank of England.
    37. Richard Finlay & Dmitry Titkov & Michelle Xiang, 2022. "The Yield and Market Function Effects of the Reserve Bank of Australia's Bond Purchases," RBA Research Discussion Papers rdp2022-02, Reserve Bank of Australia.
    38. Jens H. E. Christensen & Signe Krogstrup, 2015. "Transmission of asset purchases: the role of reserves," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.

  12. Jens H. E. Christensen & Glenn D. Rudebusch, 2013. "Estimating Shadow-Rate Term Structure Models with Near-Zero Yields," Working Paper Series 2013-07, Federal Reserve Bank of San Francisco.

    Cited by:

    1. Caggiano, Giovanni & Castelnuovo, Efrem & Pellegrino, Giovanni, 2017. "Estimating the real effects of uncertainty shocks at the zero lower bound," Bank of Finland Research Discussion Papers 6/2017, Bank of Finland.
    2. Lemke, Wolfgang & Vladu, Andreea L., 2016. "Below the zero lower bound: A shadow-rate term structure model for the euro area," Discussion Papers 32/2016, Deutsche Bundesbank.
    3. Qianying Chen & Marco Lombardi & Alex Ross & Feng Zhu, 2017. "Global impact of US and euro area unconventional monetary policies: a comparison," BIS Working Papers 610, Bank for International Settlements.
    4. Halberstadt, Arne & Krippner, Leo, 2016. "The effect of conventional and unconventional euro area monetary policy on macroeconomic variables," Discussion Papers 49/2016, Deutsche Bundesbank.
    5. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2013. "A Probability-Based Stress Test of Federal Reserve Assets and Income," Working Paper Series 2013-38, Federal Reserve Bank of San Francisco.
    6. Jens H. E. Christensen & Glenn D. Rudebusch, 2019. "A New Normal for Interest Rates? Evidence from Inflation-Indexed Debt," The Review of Economics and Statistics, MIT Press, vol. 101(5), pages 933-949, December.
    7. Francis, Neville R. & Jackson, Laura E. & Owyang, Michael T., 2020. "How has empirical monetary policy analysis in the U.S. changed after the financial crisis?," Economic Modelling, Elsevier, vol. 84(C), pages 309-321.
    8. Andreasen, Martin M & Meldrum, Andrew, 2015. "Dynamic term structure models: the best way to enforce the zero lower bound in the United States," Bank of England working papers 550, Bank of England.
    9. Leo Krippner & Michelle Lewis, 2018. "Real-time forecasting with macro-finance models in the presence of a zero lower bound," Reserve Bank of New Zealand Discussion Paper Series DP2018/04, Reserve Bank of New Zealand.
    10. Jens H. E. Christensen & Jose A. Lopez & Paul L. Mussche, 2022. "Extrapolating Long-Maturity Bond Yields for Financial Risk Measurement," Management Science, INFORMS, vol. 68(11), pages 8286-8300, November.
    11. Andrea Carriero & Lorenzo Ricci & Elisabetta Vangelista, 2022. "Expectations and term premia in EFSF bond yields," Working Papers 54, European Stability Mechanism.
    12. 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.
    13. Peter Feldhütter, 2016. "Can Affine Models Match the Moments in Bond Yields?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(02), pages 1-56, June.
    14. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2021. "Forecasting with Shadow-Rate VARs," Working Papers 21-09, Federal Reserve Bank of Cleveland.
    15. Bent Jesper Christensen & Mads Markvart Kjær & Bezirgen Veliyev, 2021. "The incremental information in the yield curve about future interest rate risk," CREATES Research Papers 2021-11, Department of Economics and Business Economics, Aarhus University.
    16. Michael D. Bauer & Glenn D. Rudebusch, 2020. "The Rising Cost of Climate Change: Evidence from the Bond Market," Working Paper Series 2020-25, Federal Reserve Bank of San Francisco.
    17. Leo Krippner, 2020. "A Note of Caution on Shadow Rate Estimates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(4), pages 951-962, June.
    18. 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.
    19. Jing Cynthia Wu & Fan Dora Xia, 2020. "Negative interest rate policy and the yield curve," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(6), pages 653-672, September.
    20. Kuusela, Annika & Hännikäinen, Jari, 2017. "What do the shadow rates tell us about future inflation?," MPRA Paper 80542, University Library of Munich, Germany.
    21. Hibiki Ichiue & Yoichi Ueno, 2018. "A Survey-based Shadow Rate and Unconventional Monetary Policy Effects," IMES Discussion Paper Series 18-E-05, Institute for Monetary and Economic Studies, Bank of Japan.
    22. Jean-Guillaume Sahuc & Sarah Mouabbi, 2019. "Evaluating the Macroeconomic Effects of the ECB's Unconventional Monetary Policies," EconomiX Working Papers 2019-2, University of Paris Nanterre, EconomiX.
    23. Edda Claus & Iris Claus & Leo Krippner, 2016. "Monetary policy spillovers across the Pacific when interest rates are at the zero lower bound," Reserve Bank of New Zealand Discussion Paper Series DP2016/08, Reserve Bank of New Zealand.
    24. Claus, Edda & Claus, Iris & Krippner, Leo, 2018. "Asset market responses to conventional and unconventional monetary policy shocks in the United States," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 270-282.
    25. Jens H. E. Christensen & Eric Fischer & Patrick Shultz, 2019. "Bond Flows and Liquidity: Do Foreigners Matter?," Working Paper Series 2019-08, Federal Reserve Bank of San Francisco.
    26. Constantino Hevia & Martin Sola, 2018. "Bond Risk Premia and Restrictions on Risk Prices," JRFM, MDPI, vol. 11(4), pages 1-22, October.
    27. A. Carriero & S. Mouabbi & E. Vangelista, 2016. "UK term structure decompositions at the zero lower bound," Working papers 589, Banque de France.
    28. Schupp, Fabian, 2020. "The (ir)relevance of the nominal lower bound for real yield curve analysis," Discussion Papers 32/2020, Deutsche Bundesbank.
    29. Yoichi Ueno, 2017. "Term Structure Models with Negative Interest Rates," IMES Discussion Paper Series 17-E-01, Institute for Monetary and Economic Studies, Bank of Japan.
    30. Tobias S. Blattner & Michael A. S. Joyce, 2020. "The Euro Area Bond Free Float and the Implications for QE," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(6), pages 1361-1395, September.
    31. Christensen, Jens H.E. & Spiegel, Mark M., 2023. "Central bank credibility during COVID-19: Evidence from Japan," Journal of International Money and Finance, Elsevier, vol. 131(C).
    32. Fornero, Jorge & Kirchner, Markus & Molina, Carlos, 2024. "Estimating shadow policy rates in a small open economy and the role of foreign factors," Journal of International Money and Finance, Elsevier, vol. 140(C).
    33. Ugo Panizza & Charles Wyplosz, 2018. "The Folk Theorem of Decreasing Effectiveness of Monetary Policy: What Do the Data Say?," Russian Journal of Money and Finance, Bank of Russia, vol. 77(1), pages 71-107, March.
    34. Rünstler, Gerhard & Bräuer, Leonie, 2020. "Monetary policy transmission over the leverage cycle: evidence for the euro area," Working Paper Series 2421, European Central Bank.
    35. Martínez-Cañete, Ana R. & Márquez-de-la-Cruz, Elena & Pérez-Soba, Inés, 2022. "Non-linear cointegration between oil and stock prices: The role of interest rates," Research in International Business and Finance, Elsevier, vol. 59(C).
    36. Jens H. E. Christensen & Signe Krogstrup, 2014. "Transmission of Quantitative Easing: The Role of Central Bank Reserves," Working Paper Series 2014-18, Federal Reserve Bank of San Francisco.
    37. Lealand Morin & Ying Shang, 2021. "Federal Reserve policy after the zero lower bound: an indirect inference approach," Empirical Economics, Springer, vol. 60(4), pages 2105-2124, April.
    38. Michael D. Bauer & Glenn D. Rudebusch, 2013. "Monetary Policy Expectations at the Zero Lower Bound," Working Paper Series 2013-18, Federal Reserve Bank of San Francisco.
    39. Marco Jacopo Lombardi & Feng Zhu, 2014. "A shadow policy rate to calibrate US monetary policy at the zero lower bound," BIS Working Papers 452, Bank for International Settlements.
    40. Masazumi Hattori & Tomohide Mineyama & Jouchi Nakajima, 2021. "Taylor Rule Yield Curve," Working Papers e156, Tokyo Center for Economic Research.
    41. Martin M. Andreasen & Jens H.E. Christensen & Glenn D. Rudebusch, 2017. "Term Structure Analysis with Big Data," CREATES Research Papers 2017-31, Department of Economics and Business Economics, Aarhus University.
    42. Lloyd, S. P., 2017. "Estimating Nominal Interest Rate Expectations: Overnight Indexed Swaps and the Term Structure," Cambridge Working Papers in Economics 1734, Faculty of Economics, University of Cambridge.
    43. 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.
    44. Chung, Tsz-Kin & Hui, Cho-Hoi & Li, Ka-Fai, 2017. "Term-structure modelling at the zero lower bound: Implications for estimating the forward term premium," Finance Research Letters, Elsevier, vol. 21(C), pages 100-106.
    45. Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano & Mertens, Elmar, 2023. "Shadow-rate VARs," Discussion Papers 14/2023, Deutsche Bundesbank.
    46. 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.
    47. Alfaro, Rodrigo & Piña, Marco, 2023. "Estimates of the US Shadow-Rate," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(1).
    48. Jens H. E. Christensen, 2022. "The Increase in Inflation Compensation: What’s Up?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, vol. 2022(18), pages 1-06, July.
    49. Teryoshin, Yevgeniy, 2023. "Historical performance of rule-like monetary policy," Journal of International Money and Finance, Elsevier, vol. 130(C).
    50. Blattner, Tobias Sebastian & Joyce, Michael A. S., 2016. "Net debt supply shocks in the euro area and the implications for QE," Working Paper Series 1957, European Central Bank.
    51. Andreasen, Martin M. & Christensen, Jens H.E. & Rudebusch, Glenn D., 2019. "Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices," Journal of Econometrics, Elsevier, vol. 212(1), pages 26-46.
    52. Anttila, Juho, 2018. "Measuring the effects of conventional and unconventional monetary policy in the euro area," Bank of Finland Research Discussion Papers 12/2018, Bank of Finland.
    53. Renne, J-P., 2012. "A model of the euro-area yield curve with discrete policy rates," Working papers 395, Banque de France.
    54. Grochola, Nicolaus, 2023. "The influence of negative interest rates on life insurance companies," ICIR Working Paper Series 53/23, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
    55. Aigner, Philipp & Schlütter, Sebastian, 2023. "Enhancing gradient capital allocation with orthogonal convexity scenarios," ICIR Working Paper Series 47/23, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
    56. Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne & Guillaume Roussellet, 2017. "Staying at zero with affine processes : an application to term structure modelling," Rue de la Banque, Banque de France, issue 52, november.
    57. Martin M. Andreasen & Andrew C. Meldrum, 2018. "A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States," Finance and Economics Discussion Series 2018-056, Board of Governors of the Federal Reserve System (U.S.).
    58. Martin Hodula, 2019. "Monetary Policy and Shadow Banking: Trapped between a Rock and a Hard Place," Working Papers 2019/5, Czech National Bank.
    59. Christensen, Jens H.E. & Fischer, Eric & Shultz, Patrick J., 2021. "Bond flows and liquidity: Do foreigners matter?," Journal of International Money and Finance, Elsevier, vol. 117(C).
    60. Martin Møller Andreasen & Kasper Jørgensen & Andrew Meldrum, 2019. "Bond Risk Premiums at the Zero Lower Bound," CREATES Research Papers 2019-10, Department of Economics and Business Economics, Aarhus University.
    61. 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.
    62. Shigenori Shiratsuka, 2021. "Monetary Policy Effectiveness under the Ultra-Low Interest Rate Environment: Evidence from Yield Curve Dynamics in Japan," Keio-IES Discussion Paper Series 2021-012, Institute for Economics Studies, Keio University.
    63. Martin M. Andreasen & Jens H.E. Christensen & Simon Riddell, 2017. "The TIPS Liquidity Premium," CREATES Research Papers 2017-27, Department of Economics and Business Economics, Aarhus University.
    64. Rostagno, Massimo & Altavilla, Carlo & Carboni, Giacomo & Lemke, Wolfgang & Motto, Roberto & Saint Guilhem, Arthur, 2021. "Combining negative rates, forward guidance and asset purchases: identification and impacts of the ECB’s unconventional policies," Working Paper Series 2564, European Central Bank.
    65. Aymeric Ortmans, 2020. "Evolving Monetary Policy in the Aftermath of the Great Recession," Documents de recherche 20-01, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    66. Martin M. Andreasen & Kasper Joergensen & Andrew C. Meldrum, 2019. "Bond Risk Premiums at the Zero Lower Bound," Finance and Economics Discussion Series 2019-040, Board of Governors of the Federal Reserve System (U.S.).
    67. Rodrigo Alfaro & Marco Piña, 2021. "Estimates of the US Shadow-Rate," Working Papers Central Bank of Chile 923, Central Bank of Chile.
    68. 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.

  13. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2013. "A Probability-Based Stress Test of Federal Reserve Assets and Income," Working Paper Series 2013-38, Federal Reserve Bank of San Francisco.

    Cited by:

    1. Monnet, Eric & Vari, Miklos, 2020. "A dilemma between liquidity regulation and monetary policy: some history and theory," CEPR Discussion Papers 15001, C.E.P.R. Discussion Papers.
    2. Atsushi Tanaka, 2021. "Central Bank Capital and Credibility: A Literature Survey," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 63(2), pages 249-262, June.
    3. Jens H. E. Christensen & Glenn D. Rudebusch, 2019. "A New Normal for Interest Rates? Evidence from Inflation-Indexed Debt," The Review of Economics and Statistics, MIT Press, vol. 101(5), pages 933-949, December.
    4. Jens H. E. Christensen & Jose A. Lopez & Paul L. Mussche, 2022. "Extrapolating Long-Maturity Bond Yields for Financial Risk Measurement," Management Science, INFORMS, vol. 68(11), pages 8286-8300, November.
    5. Marco Del Negro & Christopher A. Sims, 2014. "When does a central bank’s balance sheet require fiscal support?," Staff Reports 701, Federal Reserve Bank of New York.
    6. Aleksander Berentsen & Alessandro Marchesiani & Christopher Waller, 2014. "Floor Systems for Implementing Monetary Policy: Some Unpleasant Fiscal Arithmetic," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 17(3), pages 523-542, July.
    7. De Genaro, Alan, 2016. "Systematic multi-period stress scenarios with an application to CCP risk management," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 119-134.
    8. Huixin Bi & Wenyi Shen & Shu-Chun S. Yang, 2020. "Fiscal Implications of Interest Rate Normalization in the United States," Research Working Paper RWP 20-12, Federal Reserve Bank of Kansas City.
    9. Hertrich, Markus, 2020. "Foreign exchange interventions under a one-sided target zone regime and the Swiss franc," Discussion Papers 21/2020, Deutsche Bundesbank.
    10. Caballero, Diego & Lucas, André & Schwaab, Bernd & Zhang, Xin, 2019. "Risk endogeneity at the lender/investor-of-last-resort," Working Paper Series 2225, European Central Bank.
    11. Alexander Bogin & William Doerner, 2014. "Generating historically-based stress scenarios using parsimonious factorization," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 15(5), pages 591-611, November.
    12. Daly, Pierce & Moloney, Kitty, 2017. "Liquidity & Risk Management: Results of a Survey of Large Irish-Domiciled Funds," Quarterly Bulletin Articles, Central Bank of Ireland, pages 48-62, July.
    13. Robert E. Hall & Ricardo Reis, 2015. "Maintaining Central-Bank Financial Stability under New-Style Central Banking," Economics Working Papers 15109, Hoover Institution, Stanford University.
    14. Andrew McKenna & Rhys Bidder, 2014. "Robust Stress Testing," 2014 Meeting Papers 853, Society for Economic Dynamics.
    15. Jens H. E. Christensen & Signe Krogstrup, 2022. "A Portfolio Model of Quantitative Easing," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 12(04), pages 1-39, December.
    16. Remy Beauregard & Jens H. E. Christensen & Eric Fischer & Simon Zhu, 2021. "Inflation Expectations and Risk Premia in Emerging Bond Markets: Evidence from Mexico," Staff Reports 961, Federal Reserve Bank of New York.
    17. Kaminska, Iryna & Zinna, Gabriele, 2019. "Official demand for US debt: implications for US real rates," Bank of England working papers 796, Bank of England.
    18. Eric Fischer, 2020. "Monetary Surprises and Global Financial Flows: A Case Study of Latin America," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 19(2), pages 189-225, August.
    19. Jane E. Ihrig & Elizabeth C. Klee & Canlin Li & Brett Schulte & Min Wei, 2012. "Expectations about the Federal Reserve's balance sheet and the term structure of interest rates," Finance and Economics Discussion Series 2012-57, Board of Governors of the Federal Reserve System (U.S.).
    20. Michal Franta & Tomas Holub & Branislav Saxa, 2018. "Balance Sheet Implications of the Czech National Bank's Exchange Rate Commitment," Working Papers 2018/10, Czech National Bank.
    21. R.J. Galema & S. Lugo, 2017. "When central banks buy corporate bonds:: Target selection and impact of the European Corporate Sector Purchase Program," Working Papers 17-16, Utrecht School of Economics.
    22. Todd Keister & Antoine Martin & James J. McAndrews, 2015. "Floor systems and the Friedman rule: the fiscal arithmetic of open market operations," Staff Reports 754, Federal Reserve Bank of New York.
    23. Joerg Bibow, 2018. "Unconventional Monetary Policies and Central Bank Profits: Seigniorage as Fiscal Revenue in the Aftermath of the Global Financial Crisis," Economics Working Paper Archive wp_916, Levy Economics Institute.
    24. Michal Franta & Tomas Holub & Branislav Saxa, 2022. "Exiting from an Exchange Rate Floor in a Small Open Economy: Balance Sheet Implications of the Czech National Bank's Exchange Rate Commitment," International Journal of Central Banking, International Journal of Central Banking, vol. 18(2), pages 51-105, June.
    25. Jörg Bibow, 2018. "Unconventional monetary policies and central bank profits," IMK Studies 62-2018, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    26. Donnery, Sharon & Doran, David & Gleeson, Ruth & Carroll, Konstantina, 2017. "Non-standard Monetary Policy Measures and the Balance Sheets of Eurosystem Central Banks," Quarterly Bulletin Articles, Central Bank of Ireland, pages 79-94, July.
    27. Abdymomunov, Azamat & Gerlach, Jeffrey, 2014. "Stress testing interest rate risk exposure," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 287-301.
    28. Eric Monnet & Miklos Vari, 2019. "Liquidity Ratios as Monetary Policy Tools: Some Historical Lessons for Macroprudential Policy," IMF Working Papers 2019/176, International Monetary Fund.
    29. Engle, Robert & Roussellet, Guillaume & Siriwardane, Emil, 2017. "Scenario generation for long run interest rate risk assessment," Journal of Econometrics, Elsevier, vol. 201(2), pages 333-347.
    30. Atsushi Tanaka, 2020. "Central Bank Capital and Credibility: A Literature Survey," Discussion Paper Series 208, School of Economics, Kwansei Gakuin University, revised May 2020.
    31. Devine, Kenneth & Dooley, Jennifer & Meehan, Ciaran & Menton, Aisling, 2017. "Consolidated Banking Data: Introducing Enhanced Statistics for Ireland," Quarterly Bulletin Articles, Central Bank of Ireland, pages 63-78, July.
    32. Jens H. E. Christensen & Sarah Mouabbi, 2024. "The Natural Rate of Interest in the Euro Area: Evidence from Inflation-Indexed Bonds," Working Paper Series 2024-08, Federal Reserve Bank of San Francisco.
    33. Igor Goncharov & Vasso Ioannidou & Martin C. Schmalz, 2020. "(Why) do central banks care about their profits?," ECONtribute Discussion Papers Series 018, University of Bonn and University of Cologne, Germany.
    34. Cristhian Hernando Ruiz Cardozo & Jens H. E. Christensen, 2023. "The Benefit of Inflation-Indexed Debt: Evidence from an Emerging Bond Market," Working Paper Series 2023-04, Federal Reserve Bank of San Francisco.

  14. Jens H. E. Christensen & Glenn D. Rudebusch, 2013. "Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution?," Working Paper Series 2013-39, Federal Reserve Bank of San Francisco.

    Cited by:

    1. Carlos Viana de Carvalho & EriC Hsu & Fernanda Necchio, 2016. "Measuring the Effect of the Zero Lower Bound on Monetary Policy," Textos para discussão 649, Department of Economics PUC-Rio (Brazil).
    2. Lemke, Wolfgang & Vladu, Andreea L., 2016. "Below the zero lower bound: A shadow-rate term structure model for the euro area," Discussion Papers 32/2016, Deutsche Bundesbank.
    3. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2013. "A Probability-Based Stress Test of Federal Reserve Assets and Income," Working Paper Series 2013-38, Federal Reserve Bank of San Francisco.
    4. Laura Coroneo & Sergio Pastorello, 2017. "European spreads at the interest rate lower bound," Discussion Papers 17/10, Department of Economics, University of York.
    5. Norman R. Swanson & Weiqi Xiong & Xiye Yang, 2020. "Predicting interest rates using shrinkage methods, real‐time diffusion indexes, and model combinations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(5), pages 587-613, August.
    6. Kortela, Tomi, 2016. "A shadow rate model with time-varying lower bound of interest rates," Bank of Finland Research Discussion Papers 19/2016, Bank of Finland.
    7. Bäurle Gregor & Kaufmann Daniel & Kaufmann Sylvia & Strachan Rodney, 2020. "Constrained interest rates and changing dynamics at the zero lower bound," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(2), pages 1-26, April.
    8. Joseph E. Gagnon, 2016. "Quantitative Easing: An Underappreciated Success," Policy Briefs PB16-4, Peterson Institute for International Economics.
    9. Anastasios Evgenidis & Apostolos Fasianos, 2019. "Monetary Policy and Wealth Inequalities in Great Britain: Assessing the role of unconventional policies for a decade of household data," Papers 1912.09702, arXiv.org.
    10. Jean-Guillaume Sahuc & Sarah Mouabbi, 2019. "Evaluating the Macroeconomic Effects of the ECB's Unconventional Monetary Policies," EconomiX Working Papers 2019-2, University of Paris Nanterre, EconomiX.
    11. Claus, Edda & Claus, Iris & Krippner, Leo, 2018. "Asset market responses to conventional and unconventional monetary policy shocks in the United States," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 270-282.
    12. A. Carriero & S. Mouabbi & E. Vangelista, 2016. "UK term structure decompositions at the zero lower bound," Working papers 589, Banque de France.
    13. Vijay Kumar & Sanjeev Acharya & Ly T. H. Ho, 2020. "Does Monetary Policy Influence the Profitability of Banks in New Zealand?," IJFS, MDPI, vol. 8(2), pages 1-17, June.
    14. Candelon, Bertrand & Moura, Rubens, 2021. "A Multicountry Model of the Term Structures of Interest Rates with a GVAR," LIDAM Discussion Papers LFIN 2021007, Université catholique de Louvain, Louvain Finance (LFIN).
    15. Georges Prat & Remzi Uctum, 2018. "Term structure of interest rates: modelling the risk premium using a two-horizons framework," Post-Print hal-01828843, HAL.
    16. Michael D. Bauer & Glenn D. Rudebusch, 2013. "Monetary Policy Expectations at the Zero Lower Bound," Working Paper Series 2013-18, Federal Reserve Bank of San Francisco.
    17. Eric Fischer, 2020. "Monetary Surprises and Global Financial Flows: A Case Study of Latin America," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 19(2), pages 189-225, August.
    18. Martin M. Andreasen & Jens H.E. Christensen & Glenn D. Rudebusch, 2017. "Term Structure Analysis with Big Data," CREATES Research Papers 2017-31, Department of Economics and Business Economics, Aarhus University.
    19. Peter Tillmann, 2018. "Monetary Policy Uncertainty and the Response of the Yield Curve to Policy Shocks," GRU Working Paper Series GRU_2018_004, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    20. Jens H. E. Christensen & Jose A. Lopez & Paul Mussche, 2021. "International Evidence on Extending Sovereign Debt Maturities," Working Paper Series 2021-19, Federal Reserve Bank of San Francisco.
    21. Rui Wang, 2019. "Unconventional Monetary Policy in Japan: Empirical Evidence from Estimated Shadow Rate DSGE Model," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-29, June.
    22. Zhou, Siwen, 2018. "Measuring the Signaling Effect of the ECB’s Asset Purchase Programme at the Effective Lower Bound," MPRA Paper 87084, University Library of Munich, Germany.
    23. 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.
    24. Alfaro, Rodrigo & Piña, Marco, 2023. "Estimates of the US Shadow-Rate," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(1).
    25. Junttila, Juha & Perttunen, Jukka & Raatikainen, Juhani, 2021. "Keep the faith in banking: New evidence for the effects of negative interest rates based on the case of Finnish cooperative banks," International Review of Financial Analysis, Elsevier, vol. 75(C).
    26. Kang, Kyu Ho, 2015. "The predictive density simulation of the yield curve with a zero lower bound," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 51-66.
    27. Andreasen, Martin M. & Christensen, Jens H.E. & Rudebusch, Glenn D., 2019. "Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices," Journal of Econometrics, Elsevier, vol. 212(1), pages 26-46.
    28. Etienne Vaccaro-Grange, 2019. "Quantitative Easing and the Term Premium as a Monetary Policy Instrument," AMSE Working Papers 1932, Aix-Marseille School of Economics, France.
    29. Dang, Van Dan & Huynh, Japan, 2022. "Monetary policy and bank performance: The role of business models," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    30. Dang, Van Dan & Dang, Van Cuong, 2021. "Liquidity injection, bank lending, and security holdings: The asymmetric effects in Vietnam," The Journal of Economic Asymmetries, Elsevier, vol. 24(C).
    31. Hans Dewachter & Leonardo Iania & Jean-Charles Wijnandts, 2016. "The response of euro area sovereign spreads to the ECB unconventional monetary policies," Working Paper Research 309, National Bank of Belgium.
    32. Junttila, Juha & Nguyen, Vo Cao Sang, 2022. "Impacts of sovereign risk premium on bank profitability: Evidence from euro area," International Review of Financial Analysis, Elsevier, vol. 81(C).
    33. Mamatzakis, Emmanuel & Bermpei, Theodora, 2016. "What is the effect of unconventional monetary policy on bank performance?," Journal of International Money and Finance, Elsevier, vol. 67(C), pages 239-263.
    34. Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne & Guillaume Roussellet, 2017. "Staying at zero with affine processes : an application to term structure modelling," Rue de la Banque, Banque de France, issue 52, november.
    35. Hwang, Youngjin, 2019. "Forecasting recessions with time-varying models," Journal of Macroeconomics, Elsevier, vol. 62(C).
    36. 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.
    37. Benjamin Garcia & Arsenios Skaperdas, 2017. "Inferring the Shadow Rate from Real Activity," Finance and Economics Discussion Series 2017-106, Board of Governors of the Federal Reserve System (U.S.).
    38. Hördahl, Peter & Tristani, Oreste, 2019. "Modelling yields at the lower bound through regime shifts," Working Paper Series 2320, European Central Bank.
    39. Jacob Bjerre Skov & David Skovmand, 2021. "Dynamic term structure models for SOFR futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(10), pages 1520-1544, October.
    40. Rodrigo Alfaro & Marco Piña, 2021. "Estimates of the US Shadow-Rate," Working Papers Central Bank of Chile 923, Central Bank of Chile.
    41. 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.

  15. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2012. "Pricing deflation risk with U.S. Treasury yields," Working Paper Series 2012-07, Federal Reserve Bank of San Francisco.

    Cited by:

    1. Yuriy Kitsul & Jonathan H. Wright, 2012. "The Economics of Options-Implied Inflation Probability Density Functions," NBER Working Papers 18195, National Bureau of Economic Research, Inc.
    2. Jens H. E. Christensen & Jose A. Lopez & Patrick Shultz, 2017. "Do All New Treasuries Trade at a Premium?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.
    3. 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.
    4. Park, Alex & Lappas, Petros, 2017. "Evaluating demand charge reduction for commercial-scale solar PV coupled with battery storage," Renewable Energy, Elsevier, vol. 108(C), pages 523-532.
    5. 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.
    6. Grishchenko, Olesya V. & Vanden, Joel M. & Zhang, Jianing, 2016. "The informational content of the embedded deflation option in TIPS," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 1-26.
    7. Olesya V. Grishchenko & Joel M. Vanden & Jianing Zhang, 2011. "The information content of the embedded deflation pption in TIPS," Finance and Economics Discussion Series 2011-58, Board of Governors of the Federal Reserve System (U.S.).
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    143. Jens H. E. Christensen & James M. Gillan, 2013. "Does Quantitative Easing Affect Market Liquidity?," Working Paper Series 2013-26, Federal Reserve Bank of San Francisco.
    144. Darracq Pariès, Matthieu & Notarpietro, Alessandro & Kilponen, Juha & Papadopoulou, Niki & Zimic, Srečko & Aldama, Pierre & Langenus, Geert & Alvarez, Luis Julian & Lemoine, Matthieu & Angelini, Elena, 2021. "Review of macroeconomic modelling in the Eurosystem: current practices and scope for improvement," Occasional Paper Series 267, European Central Bank.
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    154. Motto, Roberto & Özen, Kadir, 2022. "Market-stabilization QE," Working Paper Series 2640, European Central Bank.
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    159. Roberto A. De Santis & Fédéric Holm‐Hadulla, 2020. "Flow Effects of Central Bank Asset Purchases on Sovereign Bond Prices: Evidence from a Natural Experiment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(6), pages 1467-1491, September.
    160. Kim, Daehwan & Moneta, Fabio, 2021. "Long-term foreign exchange risk premia and inflation risk," International Review of Financial Analysis, Elsevier, vol. 78(C).
    161. John H. Rogers & Chiara Scotti & Jonathan H. Wright, 2016. "Unconventional Monetary Policy and International Risk Premia," International Finance Discussion Papers 1172, Board of Governors of the Federal Reserve System (U.S.).
    162. 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.
    163. Zaremba, Adam & Kizys, Renatas & Aharon, David Y. & Umar, Zaghum, 2022. "Term spreads and the COVID-19 pandemic: Evidence from international sovereign bond markets," Finance Research Letters, Elsevier, vol. 44(C).
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    165. Burns, Andrew & Kida, Mizuho & Lim, Jamus Jerome & Mohapatra, Sanket & Stocker, Marc, 2014. "Unconventional monetary policy normalization in high-income countries : implications for emerging market capital flows and crisis risks," Policy Research Working Paper Series 6830, The World Bank.
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    167. Cong Gu & Benfu Lv & Ying Liu & Geng Peng, 2021. "The Impact of Quantitative Easing on Cryptocurrency," International Journal of Economics and Financial Issues, Econjournals, vol. 11(4), pages 27-34.
    168. Grahame Johnson & Sharon Kozicki & Romanos Priftis & Lena Suchanek & Jonathan Witmer & Jing Yang, 2020. "Implementation and Effectiveness of Extended Monetary Policy Tools: Lessons from the Literature," Discussion Papers 2020-16, Bank of Canada.
    169. Stelios Bekiros & Amanda Dahlström & Gazi Salah Uddin & Oskar Ege & Ranadeva Jayasekera, 2020. "A tale of two shocks: The dynamics of international real estate markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(1), pages 3-27, January.
    170. De Santis, Roberto A. & Holm-Hadulla, Fédéric, 2017. "Flow effects of central bank asset purchases on euro area sovereign bond yields: evidence from a natural experiment," Working Paper Series 2052, European Central Bank.
    171. Ramaprasad Bhar & Malliaris & Mary Malliaris, 2015. "The impact of large-scale asset purchases on the S&P 500 index, long-term interest rates and unemployment," Applied Economics, Taylor & Francis Journals, vol. 47(55), pages 6010-6018, November.
    172. Alexandros Kontonikas & Charles Nolan & Zivile Zekaite, 2015. "Always and Everywhere Inflation? Treasuries Variance Decomposition and the Impact of Monetary Policy," Working Papers 2015_17, Business School - Economics, University of Glasgow.
    173. Nyholm, Ken, 2016. "US-euro area term structure spillovers, implications for central banks," Working Paper Series 1980, European Central Bank.
    174. Shah, Imran Hussain & Schmidt-Fischer, Francesca & Malki, Issam & Hatfield, Richard, 2019. "A structural break approach to analysing the impact of the QE portfolio balance channel on the US stock market," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 204-220.
    175. Levrero, Enrico Sergio & Deleidi, Matteo, 2019. "The causal relationship between short- and long-term interest rates: an empirical assessment of the United States," MPRA Paper 93608, University Library of Munich, Germany.
    176. Simon Gilchrist & Vivian Z. Yue & Egon Zakrajšek, 2016. "The Response of Sovereign Bond Yields to U.S. Monetary Policy," Central Banking, Analysis, and Economic Policies Book Series, in: Elías Albagli & Diego Saravia & Michael Woodford (ed.),Monetary Policy through Asset Markets: Lessons from Unconventional Measures and Implications for an Integrated World, edition 1, volume 24, chapter 8, pages 257-283, Central Bank of Chile.
    177. Zhaogang Song & Haoxiang Zhu, 2014. "QE Auctions of Treasury Bonds," Finance and Economics Discussion Series 2014-48, Board of Governors of the Federal Reserve System (U.S.).
    178. Michael D. Bauer & Glenn D. Rudebusch, 2016. "Why Are Long-Term Interest Rates So Low?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.
    179. Alba Carlos & Cuadra Gabriel & Ibarra Raúl, 2023. "Effects of the Extraordinary Measures Implemented by Banco de México during the COVID-19 Pandemic on Financial Conditions," Working Papers 2023-03, Banco de México.
    180. Schüder, Stefan, 2014. "Expansive monetary policy in a portfolio model with endogenous asset supply," Economic Modelling, Elsevier, vol. 41(C), pages 239-252.
    181. Philippe Andrade & Christophe Cahn & Henri Fraisse & Jean-Stéphane Mésonnier, 2019. "Can the Provision of Long-Term Liquidity Help to Avoid a Credit Crunch? Evidence from the Eurosystem’s LTRO," Journal of the European Economic Association, European Economic Association, vol. 17(4), pages 1070-1106.
    182. Thi Bich Ngoc Tran & Hoang Cam Huong Pham, 2020. "The Spillover Effects of the US Unconventional Monetary Policy: New Evidence from Asian Developing Countries," JRFM, MDPI, vol. 13(8), pages 1-26, July.
    183. Franck Martin & Jiangxingyun Zhang, 2017. "Impact of QE on European sovereign bond market," Economics Working Paper Archive (University of Rennes 1 & University of Caen) 2017-04, Center for Research in Economics and Management (CREM), University of Rennes 1, University of Caen and CNRS.
    184. Rostagno, Massimo & Altavilla, Carlo & Carboni, Giacomo & Lemke, Wolfgang & Motto, Roberto & Saint Guilhem, Arthur, 2021. "Combining negative rates, forward guidance and asset purchases: identification and impacts of the ECB’s unconventional policies," Working Paper Series 2564, European Central Bank.
    185. Lloyd, Simon P., 2021. "Overnight indexed swap-implied interest rate expectations," Finance Research Letters, Elsevier, vol. 38(C).
    186. Walker Ray, 2019. "Monetary Policy and the Limits to Arbitrage: Insights from a New Keynesian Preferred Habitat Model," 2019 Meeting Papers 692, Society for Economic Dynamics.
    187. Taoufik Bouraoui, 2015. "The effect of reducing quantitative easing on emerging markets," Applied Economics, Taylor & Francis Journals, vol. 47(15), pages 1562-1573, March.
    188. Hibiki Ichiue & Yoichi Ueno, 2013. "Estimating Term Premia at the Zero Bound: An Analysis of Japanese, US, and UK Yields," Bank of Japan Working Paper Series 13-E-8, Bank of Japan.
    189. Byrne, Joseph P. & Cao, Shuo & Korobilis, Dimitris, 2017. "Forecasting the term structure of government bond yields in unstable environments," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 209-225.
    190. Martin M. Andreasen & Andrew Meldrum, 2014. "Dynamic term structure models: The best way to enforce the zero lower bound," CREATES Research Papers 2014-47, Department of Economics and Business Economics, Aarhus University.
    191. 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.
    192. Yutaka KURIHARA, 2017. "Monetary Policy and Stock/Foreign Exchange Market Liquidity: The Japanese Case," Journal of Economics Library, KSP Journals, vol. 4(1), pages 1-8, March.
    193. Dimitris Malliaropulos & Petros Migiakis, 2018. "Quantitative easing and sovereign bond yields: a global perspective," Working Papers 253, Bank of Greece.
    194. Moumita Paul & Kalluru Siva Reddy, 2022. "US QE and the Indian Bond Market," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 20(1), pages 137-157, March.
    195. Falagiarda, Matteo, 2013. "Evaluating Quantitative Easing: A DSGE Approach," MPRA Paper 49457, University Library of Munich, Germany.
    196. Rodrigo Alfaro & Marco Piña, 2021. "Estimates of the US Shadow-Rate," Working Papers Central Bank of Chile 923, Central Bank of Chile.
    197. Kaminska, Iryna & Mumtaz, Haroon, 2022. "Monetary policy transmission during QE times: role of expectations and term premia channels," Bank of England working papers 978, Bank of England, revised 31 Aug 2022.
    198. Valentin Jouvanceau, 2019. "New Evidence on the Effects of Quantitative Easing," Working Papers 1912, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
    199. John Meszaros & Eric Olson, 2020. "The effects of U.S. quantitative easing on South Africa," Review of Financial Economics, John Wiley & Sons, vol. 38(2), pages 321-331, April.
    200. Dimitris Kenourgios & Despoina Ntaikou, 2021. "ECB’s unconventional monetary policy and bank lending supply and performance in the euro area," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(2), pages 211-224, April.
    201. Vácha, Lukáš & Šmolík, Filip & Baxa, Jaromír, 2019. "Comovement and disintegration of EU sovereign bond markets during the crisis," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 541-556.
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  17. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2011. "Extracting deflation probability forecasts from Treasury yields," Working Paper Series 2011-10, Federal Reserve Bank of San Francisco.

    Cited by:

    1. Jens H. E. Christensen & Jose A. Lopez & Paul L. Mussche, 2022. "Extrapolating Long-Maturity Bond Yields for Financial Risk Measurement," Management Science, INFORMS, vol. 68(11), pages 8286-8300, November.
    2. 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.
    3. Santiago García-Verdú & Manuel Ramos-Francia, 2016. "On the costs of deflation: a consumption-based approach," BIS Papers chapters, in: Bank for International Settlements (ed.), Inflation mechanisms, expectations and monetary policy, volume 89, pages 247-273, Bank for International Settlements.
    4. Christensen, Jens H.E. & Gillan, James M., 2022. "Does quantitative easing affect market liquidity?," Journal of Banking & Finance, Elsevier, vol. 134(C).
    5. Andrade, Philippe & Fourel, Valère & Ghysels, Eric & Idier, Julien, 2014. "The financial content of inflation risks in the euro area," International Journal of Forecasting, Elsevier, vol. 30(3), pages 648-659.
    6. Andrade, P. & Ghysels, E. & Idier, J., 2012. "Tails of Inflation Forecasts and Tales of Monetary Policy," Working papers 407, Banque de France.
    7. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2012. "Pricing deflation risk with U.S. Treasury yields," Working Paper Series 2012-07, Federal Reserve Bank of San Francisco.
    8. Christensen, Jens H.E. & Spiegel, Mark M., 2023. "Central bank credibility during COVID-19: Evidence from Japan," Journal of International Money and Finance, Elsevier, vol. 131(C).
    9. Grishchenko, Olesya V. & Vanden, Joel M. & Zhang, Jianing, 2016. "The informational content of the embedded deflation option in TIPS," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 1-26.
    10. Mirdala, Rajmund, 2015. "Decomposing Euro Area Sovereign Debt Yields into Inflation Expectations and Expected Real Interest Rates," MPRA Paper 68866, University Library of Munich, Germany, revised Nov 2015.
    11. Scharnagl, Michael & Stapf, Jelena, 2014. "Inflation, deflation, and uncertainty: What drives euro area option-implied inflation expectations and are they still anchored in the sovereign debt crisis?," Discussion Papers 24/2014, Deutsche Bundesbank.
    12. 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.
    13. Maciej Ryczkowski, 2015. "Is deflation trap a serious threat? Case study of FED, ECB and NBP," Ekonomia i Prawo, Uniwersytet Mikolaja Kopernika, vol. 14(2), pages 243-259, June.
    14. Jens H. E. Christensen & James M. Gillan, 2011. "A model-independent maximum range for the liquidity correction of TIPS yields," Working Paper Series 2011-16, Federal Reserve Bank of San Francisco.
    15. Jens H. E. Christensen & James M. Gillan, 2011. "TIPS liquidity, breakeven inflation, and inflation expectations," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue june20.
    16. Scharnagl, Michael & Stapf, Jelena, 2015. "Inflation, deflation, and uncertainty: What drives euro-area option-implied inflation expectations, and are they still anchored in the sovereign debt crisis?," Economic Modelling, Elsevier, vol. 48(C), pages 248-269.
    17. Ryan Niladri Banerjee & Aaron Mehrotra, 2018. "Deflation expectations," BIS Working Papers 699, Bank for International Settlements.
    18. Faust, Jon & Wright, Jonathan H., 2013. "Forecasting Inflation," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 2-56, Elsevier.
    19. 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.
    20. 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.
    21. 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.

  18. Jens H. E. Christensen & James M. Gillan, 2011. "A model-independent maximum range for the liquidity correction of TIPS yields," Working Paper Series 2011-16, Federal Reserve Bank of San Francisco.

    Cited by:

    1. Daniel L. Tortorice & Arben Kita, 2018. "Can Risk Models Extract Inflation Expectations from Financial Market Data? Evidence from the Inflation Protected Securities of Six Countries," Working Papers 1801, College of the Holy Cross, Department of Economics.
    2. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2012. "Pricing deflation risk with U.S. Treasury yields," Working Paper Series 2012-07, Federal Reserve Bank of San Francisco.
    3. Carolin E. Pflueger & Luis M. Viceira, 2011. "Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity," NBER Working Papers 16892, National Bureau of Economic Research, Inc.
    4. Michael D. Bauer, 2014. "Inflation Expectations and the News," Working Paper Series 2014-9, Federal Reserve Bank of San Francisco.
    5. Bruno Feunou & Jean-Sébastien Fontaine, 2012. "Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields," Staff Working Papers 12-37, Bank of Canada.

  19. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2009. "Do central bank liquidity facilities affect interbank lending rates?," Working Paper Series 2009-13, Federal Reserve Bank of San Francisco.

    Cited by:

    1. León, Carlos & Machado, Clara & Sarmiento, Miguel, 2018. "Identifying central bank liquidity super-spreaders in interbank funds networks," Journal of Financial Stability, Elsevier, vol. 35(C), pages 75-92.
    2. Dewachter, Hans & Iania, Leonardo & Lyrio, Marco, 2014. "Information in the yield curve: A macro-finance approach," LIDAM Reprints LFIN 2014007, Université catholique de Louvain, Louvain Finance (LFIN).
    3. Alain Monfort & Jean-Paul Renne, 2010. "Default, Liquidity and Crises : An Econometric Framework," Working Papers 2010-46, Center for Research in Economics and Statistics.
    4. Gert Peersman, 2011. "Macroeconomic Effects of Unconventional Monetary Policy in the Euro Area," CESifo Working Paper Series 3589, CESifo.
    5. Dewachter, Hans & Iania, Leonardo, 2012. "An Extended Macro-Finance Model with Financial Factors," LIDAM Reprints LFIN 2012001, Université catholique de Louvain, Louvain Finance (LFIN).
    6. Frederic S. Mishkin, 2010. "Over The Cliff: From the Subprime to the Global Financial Crisis," NBER Working Papers 16609, National Bureau of Economic Research, Inc.
    7. G. Peersman, 2014. "The Effectiveness of Unconventional Monetary Policies," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 14/875, Ghent University, Faculty of Economics and Business Administration.
    8. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2013. "A Probability-Based Stress Test of Federal Reserve Assets and Income," Working Paper Series 2013-38, Federal Reserve Bank of San Francisco.
    9. Benjamin M. Friedman & Kenneth N. Kuttner, 2010. "Implementation of Monetary Policy: How Do Central Banks Set Interest Rates?," NBER Working Papers 16165, National Bureau of Economic Research, Inc.
    10. Nath, Golaka, 2013. "Repo Market – A Tool to Manage Liquidity in Financial Institutions," MPRA Paper 51590, University Library of Munich, Germany.
    11. Cassola, Nuno & Morana, Claudio, 2012. "Euro money market spreads during the 2007–? financial crisis," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 548-557.
    12. Glenn D. Rudebusch, 2010. "Macro‐Finance Models Of Interest Rates And The Economy," Manchester School, University of Manchester, vol. 78(s1), pages 25-52, September.
    13. S Battiston & G di Iasio & L Infante & F Pierobon, 2015. "Capital and contagion in financial networks," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Indicators to support monetary and financial stability analysis: data sources and statistical methodologies, volume 39, Bank for International Settlements.
    14. Gert Peersman, 2011. "Macroeconomic consequences of different types of credit market disturbances and non-conventional monetary policy in the euro area," 2011 Meeting Papers 333, Society for Economic Dynamics.
    15. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2014. "Can Spanned Term Structure Factors Drive Stochastic Yield Volatility?," Working Paper Series 2014-3, Federal Reserve Bank of San Francisco.
    16. Claudio Morana, 2013. "New Insights on the US OIS Spreads Term Structure During the Recent Financial Turmoil," CeRP Working Papers 137, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    17. Abbassi, Puriya & Linzert, Tobias, 2012. "The effectiveness of monetary policy in steering money market rates during the financial crisis," Discussion Papers 14/2012, Deutsche Bundesbank.
    18. Jens H. E. Christensen & Glenn D. Rudebusch, 2012. "The response of interest rates to U.S. and U.K. quantitative easing," Working Paper Series 2012-06, Federal Reserve Bank of San Francisco.
    19. Drobyshevsky, S. & Trunin, P., 2014. "The Evolution of Theory and Practice of Monetary Policy as a Result of the Global Economic Crisis," Journal of the New Economic Association, New Economic Association, vol. 24(4), pages 141-158.
    20. Liu, Xiaoling & Wu, Yuhui & Zhang, Huan, 2023. "Collateral-based monetary policy and corporate employment: Evidence from Medium-term Lending Facility in China," Journal of Corporate Finance, Elsevier, vol. 78(C).
    21. Guidolin, Massimo & Tam, Yu Man, 2013. "A yield spread perspective on the great financial crisis: Break-point test evidence," International Review of Financial Analysis, Elsevier, vol. 26(C), pages 18-39.
    22. Aneta Hryckiewicz & Piotr Mielus & Karolina Skorulska & Malgorzata Snarska, 2018. "Does a bank levy increase frictions on the interbank market?," KAE Working Papers 2018-033, Warsaw School of Economics, Collegium of Economic Analysis.
    23. Gary Gorton & Andrew Metrick, 2012. "Securitization," NBER Working Papers 18611, National Bureau of Economic Research, Inc.
    24. Scott Brave & Hesna Genay, 2011. "Federal Reserve policies and financial market conditions during the crisis," Working Paper Series WP-2011-04, Federal Reserve Bank of Chicago.
    25. Antonio De Socio, 2011. "The interbank market after the financial turmoil: squeezing liquidity in a "lemons market" or asking liquidity "on tap"," Temi di discussione (Economic working papers) 819, Bank of Italy, Economic Research and International Relations Area.
    26. Woon Wong & Iris Biefang-Frisancho Mariscal & Peter Howells, 2019. "Liquidity and credit risks in the UK’s financial crisis: how ‘quantitative easing’ changed the relationship," Applied Economics, Taylor & Francis Journals, vol. 51(3), pages 278-287, January.
    27. Chadha, Jagjit S. & Waters, Alex, 2014. "Applying a macro-finance yield curve to UK quantitative Easing," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 68-86.
    28. Thomas B. King & Kurt F. Lewis, 2020. "Credit Risk, Liquidity, and Lies," International Journal of Central Banking, International Journal of Central Banking, vol. 16(5), pages 219-267, October.
    29. Morten L Bech & Cyril Monnet, 2013. "The Impact of Unconventional Monetary Policy on the Overnight Interbank Market," RBA Annual Conference Volume (Discontinued), in: Alexandra Heath & Matthew Lilley & Mark Manning (ed.),Liquidity and Funding Markets, Reserve Bank of Australia.
    30. Heider, Florian & Hoerova, Marie, 2009. "Interbank lending, credit risk premia and collateral," Working Paper Series 1107, European Central Bank.
    31. Miguel Sarmiento, 2022. "Sudden Yield Reversals and Financial Intermediation in Emerging Markets," Borradores de Economia 1210, Banco de la Republica de Colombia.
    32. Mauricio Calani & Kevin Cowan & Pablo García S., 2010. "Inflation Targeting in Financially Stable Economies: Has it been Flexible Enough?," Working Papers Central Bank of Chile 587, Central Bank of Chile.
    33. Nicholas Apergis & Ioannis Pragidis, 2019. "Stock Price Reactions to Wire News from the European Central Bank: Evidence from Changes in the Sentiment Tone and International Market Indexes," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 25(1), pages 91-112, February.
    34. Christensen, Jens H.E. & Gillan, James M., 2022. "Does quantitative easing affect market liquidity?," Journal of Banking & Finance, Elsevier, vol. 134(C).
    35. Dubecq, Simon & Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume, 2016. "Credit and liquidity in interbank rates: A quadratic approach," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 29-46.
    36. Emanuella Enenajor & Alex Sebastian & Jonathan Witmer, 2010. "An Assessment of the Bank of Canada's Term PRA Facility," Staff Working Papers 10-20, Bank of Canada.
    37. Daniel L. Thornton, 2011. "The effectiveness of unconventional monetary policy: the term auction facility," Review, Federal Reserve Bank of St. Louis, vol. 93(Nov), pages 439-454.
    38. Hamilton, James D. & Wu, Jing Cynthia, 2012. "Identification and estimation of Gaussian affine term structure models," Journal of Econometrics, Elsevier, vol. 168(2), pages 315-331.
    39. Jens H. E. Christensen & Signe Krogstrup, 2014. "Transmission of Quantitative Easing: The Role of Central Bank Reserves," Working Paper Series 2014-18, Federal Reserve Bank of San Francisco.
    40. Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2008. "An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model," PIER Working Paper Archive 08-030, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    41. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2009. "Inflation expectations and risk premiums in an arbitrage-free model of nominal and real bond yields," Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
    42. Francisco Nadal De Simone & Franco Stragiotti, 2010. "Market and Funding Liquidity Stress Testing of the Luxembourg Banking Sector," BCL working papers 45, Central Bank of Luxembourg.
    43. James D. Hamilton & Jing Cynthia Wu, 2011. "Testable Implications of Affine Term Structure Models," NBER Working Papers 16931, National Bureau of Economic Research, Inc.
    44. V. Brousseau & Alexandre Chailloux & Alain Durré, 2013. "Fixing the Fixings: What Road to a More Representative Money Market Benchmark?," IMF Working Papers 2013/131, International Monetary Fund.
    45. Olivier Brossard & Susanna Saroyan, 2016. "Hoarding and short-squeezing in times of crisis: Evidence from the Euro overnight money market," Post-Print hal-01293693, HAL.
    46. Gallitschke, Janek & Seifried (née Müller), Stefanie & Seifried, Frank Thomas, 2017. "Interbank interest rates: Funding liquidity risk and XIBOR basis spreads," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 142-152.
    47. Campbell, Sean & Covitz, Daniel & Nelson, William & Pence, Karen, 2011. "Securitization markets and central banking: An evaluation of the term asset-backed securities loan facility," Journal of Monetary Economics, Elsevier, vol. 58(5), pages 518-531.
    48. Jean-François Bégin, 2016. "Deflation Risk and Implications for Life Insurers," Risks, MDPI, vol. 4(4), pages 1-36, December.
    49. Claudio Borio & Piti Disyatat, 2009. "Unconventional monetary policies: an appraisal," BIS Working Papers 292, Bank for International Settlements.
    50. Affinito, Massimiliano, 2013. "Central bank refinancing, interbank markets and the hypothesis of liquidity hoarding: evidence from a euro-area banking system," Working Paper Series 1607, European Central Bank.
    51. Nuno Cassola & Claudio Morana, 2010. "The 2007-? financial crisis: a euro area money market perspective," ICER Working Papers - Applied Mathematics Series 35-2010, ICER - International Centre for Economic Research.
    52. Leo Krippner, 2012. "A theoretical foundation for the Nelson and Siegel class of yield curve models," CAMA Working Papers 2012-11, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    53. Martina Cecioni & Giuseppe Ferrero & Alessandro Secchi, 2018. "Unconventional Monetary Policy in Theory and in Practice," World Scientific Book Chapters, in: Douglas D Evanoff & George G Kaufman & A G Malliaris (ed.), Innovative Federal Reserve Policies During the Great Financial Crisis, chapter 1, pages 1-36, World Scientific Publishing Co. Pte. Ltd..
    54. Frederic S. Mishkin, 2011. "Monetary Policy Strategy: Lessons from the Crisis," NBER Working Papers 16755, National Bureau of Economic Research, Inc.
    55. James D. Hamilton & Jing Cynthia Wu, 2012. "The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44, pages 3-46, February.
    56. Li, Xiao-Lin & Xie, Pinyi & Ding, Hui & Si, Deng-Kui, 2023. "Central bank lending facility and investment efficiency of non-SOEs: evidence from China," Economic Modelling, Elsevier, vol. 126(C).
    57. Paulo José Saraiva & Luiz Fernando De Paula & André De Melo Modenesi, 2016. "A Crise Financeira Americana E As Implicações Para A Política Monetária," Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting] 114, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    58. Sujit Kapadia & Matthias Drehmann & John Elliott & Gabriel Sterne, 2012. "Liquidity Risk, Cash Flow Constraints, and Systemic Feedbacks," NBER Chapters, in: Quantifying Systemic Risk, pages 29-61, National Bureau of Economic Research, Inc.
    59. David Skovmand & Jacob Bjerre Skov, 2022. "Decomposing LIBOR in Transition: Evidence from the Futures Markets," Papers 2201.06930, arXiv.org, revised Mar 2022.
    60. Jean-Loup, Soula, 2017. "Measuring heterogeneity in bank liquidity risk: Who are the winners and losers?," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 302-313.
    61. Rose, Andrew & Wieladek, Tomasz, 2012. "Too big to fail: some empirical evidence on the causes and consequences of public banking interventions in the United Kingdom," Bank of England working papers 460, Bank of England.
    62. Yasuo Hirose & Shinsuke Ohyama, 2010. "Identifying the Effect of the Bank of Japan's Liquidity Facilities: The Case of Commercial Paper Operations During the Financial Turmoil," International Finance, Wiley Blackwell, vol. 13(3), pages 461-483, December.
    63. Hans Dewachter & Leonardo Iania & Jean-Charles Wijnandts, 2016. "The response of euro area sovereign spreads to the ECB unconventional monetary policies," Working Paper Research 309, National Bank of Belgium.
    64. Lukasz Goczek, 2011. "Federal Policy Responses To The 2007-2009 Credit Crunch In The Us," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 6(3), pages 27-42, September.
    65. L. Gambacorta & B. Hofmann & G. Peersman, 2011. "The Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound: A Cross-Country Analysis," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 11/765, Ghent University, Faculty of Economics and Business Administration.
    66. Volha Audzei, 2012. "Efficiency of Central Bank Policy During the Crisis : Role of Expectations in Reinforcing Hoarding Behavior," CERGE-EI Working Papers wp477, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    67. Carla Soares & Paulo M. M. Rodrigues, 2013. "Determinants of the EONIA Spread and the Financial Crisis," Manchester School, University of Manchester, vol. 81, pages 82-110, October.
    68. Stefano Puddu & Andreas Waelchli, 2011. "Too TAF Towards the Risk," IRENE Working Papers 11-01, IRENE Institute of Economic Research.
    69. Yoldas, Emre & Senyuz, Zeynep, 2018. "Financial stress and equilibrium dynamics in term interbank funding markets," Journal of Financial Stability, Elsevier, vol. 34(C), pages 136-149.
    70. Brossard, Olivier & Saroyan, Susanna, 2016. "Hoarding and short-squeezing in times of crisis: Evidence from the Euro overnight money market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 163-185.
    71. Dimitri O. Ledenyov & Viktor O. Ledenyov, 2013. "To the problem of turbulence in quantitative easing transmission channels and transactions network channels at quantitative easing policy implementation by central banks," Papers 1305.5656, arXiv.org, revised May 2013.
    72. Nikolaos Karouzakis, 2021. "The role of time‐varying risk premia in international interbank markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5720-5745, October.
    73. Gert Peersman, 2012. "Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound," 2012 Meeting Papers 400, Society for Economic Dynamics.
    74. Hong, Zhiwu & Niu, Linlin & Zhang, Chen, 2022. "Affine arbitrage-free yield net models with application to the euro debt crisis," Journal of Econometrics, Elsevier, vol. 230(1), pages 201-220.
    75. Thomas B. King & Kurt F. Lewis, 2014. "What Drives Bank Funding Spreads?," Working Paper Series WP-2014-23, Federal Reserve Bank of Chicago.
    76. Bassett, William & Demiralp, Selva & Lloyd, Nathan, 2020. "Government support of banks and bank lending," Journal of Banking & Finance, Elsevier, vol. 112(C).
    77. Sunil Kumar & Anand Prakash & Krishna M. Kushawaha, 2017. "What Explains Call Money Rate Spread in India?," Working Papers id:11975, eSocialSciences.

  20. Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2008. "An arbitrage-free generalized Nelson-Siegel term structure model," Working Paper Series 2008-07, Federal Reserve Bank of San Francisco.

    Cited by:

    1. Rafael Barros de Rezende, 2011. "Giving Flexibility to the Nelson-Siegel Class of Term Structure Models," Brazilian Review of Finance, Brazilian Society of Finance, vol. 9(1), pages 27-49.
    2. Martins, Manuel M.F. & Afonso, António, 2010. "Level, slope, curvature of the sovereign yield curve, and fiscal behaviour," Working Paper Series 1276, European Central Bank.
    3. Laurini, Márcio Poletti & Hotta, Luiz Koodi, 2010. "Bayesian extensions to Diebold-Li term structure model," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 342-350, December.
    4. Levant, Jared & Ma, Jun, 2017. "A dynamic Nelson-Siegel yield curve model with Markov switching," Economic Modelling, Elsevier, vol. 67(C), pages 73-87.
    5. Koeda, Junko & Sekine, Atsushi, 2022. "Nelson–Siegel decay factor and term premia in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 64(C).
    6. Caldeira, João F. & Moura, Guilherme V. & Santos, André A.P., 2016. "Bond portfolio optimization using dynamic factor models," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 128-158.
    7. Bekker, Paul A., 2017. "Interpretable Parsimonious Arbitrage-free Modeling of the Yield Curve," Research Report 17009-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    8. Eric Hillebrand & Huiyu Huang & Tae-Hwy Lee & Canlin Li, 2018. "Using the Entire Yield Curve in Forecasting Output and Inflation," Econometrics, MDPI, vol. 6(3), pages 1-27, August.
    9. Caio Almeida & Kym Ardison & Daniela Kubudi & Axel Simonsen & José Vicente, 2018. "Forecasting Bond Yields with Segmented Term Structure Models," Journal of Financial Econometrics, Oxford University Press, vol. 16(1), pages 1-33.
    10. Kim, Young Min & Kang, Kyu Ho & Ka, Kook, 2020. "Do bond markets find inflation targets credible? Evidence from five inflation-targeting countries," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 66-84.
    11. Glenn D. Rudebusch, 2010. "Macro‐Finance Models Of Interest Rates And The Economy," Manchester School, University of Manchester, vol. 78(s1), pages 25-52, September.
    12. Eran Raviv, 2013. "Prediction Bias Correction for Dynamic Term Structure Models," Tinbergen Institute Discussion Papers 13-041/III, Tinbergen Institute.
    13. Mr. Ales Bulir & 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.
    14. Craig Blackburn & Michael Sherris, 2011. "Consistent Dynamic Affine Mortality Model for Longevity Risk Applications," Working Papers 201107, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales.
    15. Di Maggio, Marco, 2010. "The Political Economy of the Yield Curve," MPRA Paper 20697, University Library of Munich, Germany.
    16. 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.
    17. Michał Brzoza-Brzezina & Jacek Kotłowski, 2012. "Measuring the natural yield curve," NBP Working Papers 108, Narodowy Bank Polski.
    18. Ranik Raaen Wahlstrøm & Florentina Paraschiv & Michael Schürle, 2022. "A Comparative Analysis of Parsimonious Yield Curve Models with Focus on the Nelson-Siegel, Svensson and Bliss Versions," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 967-1004, March.
    19. Molenaars, Tomas K. & Reinerink, Nick H. & Hemminga, Marcus A., 2013. "Forecasting the yield curve - Forecast performance of the dynamic Nelson-Siegel model from 1971 to 2008," MPRA Paper 61862, University Library of Munich, Germany.
    20. Dauwe, Alexander & Moura, Marcelo L., 2011. "Forecasting the term structure of the Euro Market using Principal Component Analysis," Insper Working Papers wpe_233, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    21. Juneja, Januj, 2017. "Invariance, observational equivalence, and identification: Some implications for the empirical performance of affine term structure models," The Quarterly Review of Economics and Finance, Elsevier, vol. 64(C), pages 292-305.
    22. Aguiar-Conraria, Luís & Martins, Manuel M.F. & Soares, Maria Joana, 2012. "The yield curve and the macro-economy across time and frequencies," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1950-1970.
    23. Bredin, Don & O'Sullivan, Conall & Spencer, Simon, 2021. "Forecasting WTI crude oil futures returns: Does the term structure help?," Energy Economics, Elsevier, vol. 100(C).
    24. 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.
    25. Laurini, Márcio P. & Caldeira, João F., 2016. "A macro-finance term structure model with multivariate stochastic volatility," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 68-90.
    26. Lajos Horváth & Piotr Kokoszka & Jeremy VanderDoes & Shixuan Wang, 2022. "Inference in functional factor models with applications to yield curves," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(6), pages 872-894, November.
    27. A. Carriero & S. Mouabbi & E. Vangelista, 2016. "UK term structure decompositions at the zero lower bound," Working papers 589, Banque de France.
    28. Fabricio Tourrucôo & João F. Caldeira & Guilherme V. Moura & André A. P. Santos, 2016. "Forecasting The Yield Curve With The Arbitrage-Free Dynamic Nelson-Siegel Model: Brazilian Evidence," Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting] 028, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    29. Alessia Paccagnini, 2016. "The Macroeconomic Determinants of the US Term-Structure During The Great Moderation," Open Access publications 10197/7324, School of Economics, University College Dublin.
    30. Márcio Laurini, 2011. "Bayesian Factor Selection in Dynamic Term Structure Models," IBMEC RJ Economics Discussion Papers 2011-02, Economics Research Group, IBMEC Business School - Rio de Janeiro.
    31. Joslin, Scott & Le, Anh & Singleton, Kenneth J., 2013. "Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs," Journal of Financial Economics, Elsevier, vol. 109(3), pages 604-622.
    32. Linlin Niu & Gengming Zeng, 2013. "The Discrete-Time Framework of the Arbitrage-Free Nelson-Siegel Class of Term Structure Models," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    33. Leo Krippner, 2013. "A tractable framework for zero-lower-bound Gaussian term structure models," CAMA Working Papers 2013-49, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    34. Kei Imakubo & Haruki Kojima & Jouchi Nakajima, 2015. "The natural yield curve: its concept and measurement," Bank of Japan Working Paper Series 15-E-5, Bank of Japan.
    35. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2009. "Inflation expectations and risk premiums in an arbitrage-free model of nominal and real bond yields," Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
    36. Eric Fischer, 2020. "Monetary Surprises and Global Financial Flows: A Case Study of Latin America," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 19(2), pages 189-225, August.
    37. Márcio Laurini & João Frois Caldeira, 2012. "Some Comments on a Macro-Finance Model with Stochastic Volatility," IBMEC RJ Economics Discussion Papers 2012-04, Economics Research Group, IBMEC Business School - Rio de Janeiro.
    38. Takamizawa, Hideyuki, 2022. "How arbitrage-free is the Nelson–Siegel model under stochastic volatility?," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 205-223.
    39. Lorenčič Eva, 2016. "Testing the Performance of Cubic Splines and Nelson-Siegel Model for Estimating the Zero-coupon Yield Curve," Naše gospodarstvo/Our economy, Sciendo, vol. 62(2), pages 42-50, June.
    40. Balter, Anne G. & Pelsser, Antoon & Schotman, Peter C., 2021. "What does a term structure model imply about very long-term interest rates?," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 202-219.
    41. Leo Krippner, 2012. "A theoretical foundation for the Nelson and Siegel class of yield curve models," CAMA Working Papers 2012-11, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    42. Januj Juneja, 2015. "An evaluation of alternative methods used in the estimation of Gaussian term structure models," Review of Quantitative Finance and Accounting, Springer, vol. 44(1), pages 1-24, January.
    43. Wolfgang Karl Härdle,Piotr Majer & Melanie Schienle, 2012. "Yield Curve Modeling and Forecasting using Semiparametric Factor Dynamics," SFB 649 Discussion Papers SFB649DP2012-048, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    44. Sébastien Fries & Jean‐Stéphane Mésonnier & Sarah Mouabbi & Jean‐Paul Renne, 2018. "National natural rates of interest and the single monetary policy in the euro area," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 763-779, September.
    45. Hokuto Ishii, 2018. "Modeling and Predictability of Exchange Rate Changes by the Extended Relative Nelson–Siegel Class of Models," IJFS, MDPI, vol. 6(3), pages 1-15, August.
    46. Molenaars, Tomas K. & Reinerink, Nick H. & Hemminga, Marcus A., 2015. "Forecasting the yield curve: art or science?," MPRA Paper 61917, University Library of Munich, Germany.
    47. Leo Krippner, 2012. "Modifying Gaussian term structure models when interest rates are near the zero lower bound (this is a revised version of CAMA working paper 36/2011)," CAMA Working Papers 2012-05, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    48. Gzyl, Henryk & Mayoral, Silvia, 2016. "Determination of zero-coupon and spot rates from treasury data by maximum entropy methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 38-50.
    49. Renata Tavanielli & Márcio Laurini, 2023. "Yield Curve Models with Regime Changes: An Analysis for the Brazilian Interest Rate Market," Mathematics, MDPI, vol. 11(11), pages 1-28, June.
    50. Andreasen, Martin M. & Christensen, Jens H.E. & Rudebusch, Glenn D., 2019. "Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices," Journal of Econometrics, Elsevier, vol. 212(1), pages 26-46.
    51. Albert K. Tsui & Junxiang Wu & Zhaoyong Zhang & Zhongxi Zheng, 2023. "Forecasting term structure of the Japanese bond yields in the presence of a liquidity trap," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(5), pages 1205-1227, August.
    52. Anthony H. Tu & Cathy Yi-Hsuan Chen, 2016. "What Derives the Bond Portfolio Value-at-Risk: Information Roles of Macroeconomic and Financial Stress Factors," SFB 649 Discussion Papers SFB649DP2016-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    53. Wali Ullah & Yasumasa Matsuda, 2014. "Generalized Nelson-Siegel Term Structure Model : Do the second slope and curvature factors improve the in-sample fit and out-of-sample forecast?," TERG Discussion Papers 312, Graduate School of Economics and Management, Tohoku University.
    54. Daniel Vela, 2013. "Forecasting Latin-American yield curves: An artificial neural network approach," Borradores de Economia 10502, Banco de la Republica.
    55. Valentin Jouvanceau & Ieva Mikaliunaite, 2020. "Euro Area Monetary Communications: Excess Sensitivity and Perception Shocks," Bank of Lithuania Working Paper Series 79, Bank of Lithuania.
    56. Wali Ullah, 2020. "The arbitrage-free generalized Nelson–Siegel term structure model: Does a good in-sample fit imply better out-of-sample forecasts?," Empirical Economics, Springer, vol. 59(3), pages 1243-1284, September.
    57. Michael D. Bauer & Glenn D. Rudebusch & Jing Cynthia Wu, 2011. "Unbiased estimate of dynamic term structure models," Working Paper Series 2011-12, Federal Reserve Bank of San Francisco.
    58. Munch Grønlund, Asger & Jørgensen, Kasper & Schupp, Fabian, 2024. "Measuring market-based core inflation expectations," Working Paper Series 2908, European Central Bank.
    59. Rihab Bedoui & Islem Kedidi, 2018. "Modeling Longevity Risk using Consistent Dynamics Affine Mortality Models," Working Papers hal-01678050, HAL.
    60. Leo Krippner, 2012. "Modifying Gaussian term structure models when interest rates are near the zero lower bound," Reserve Bank of New Zealand Discussion Paper Series DP2012/02, Reserve Bank of New Zealand.
    61. Robert Brooks & Pavel Teterin, 2020. "Samuelson hypothesis, arbitrage activity, and futures term premiums," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(9), pages 1420-1441, September.
    62. Wali Ullah & Yasumasa Matsuda & Yoshihiko Tsukuda, 2015. "Generalized Nelson-Siegel term structure model: do the second slope and curvature factors improve the in-sample fit and out-of-sample forecasts?," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(4), pages 876-904, April.
    63. Lutz Kruschwitz, 2018. "Das Problem der Anschlussverzinsung," Schmalenbach Journal of Business Research, Springer, vol. 70(1), pages 9-45, March.
    64. Juneja, Januj, 2014. "Term structure estimation in the presence of autocorrelation," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 119-129.
    65. Januj Amar Juneja, 2022. "A Computational Analysis of the Tradeoff in the Estimation of Different State Space Specifications of Continuous Time Affine Term Structure Models," Computational Economics, Springer;Society for Computational Economics, vol. 60(1), pages 173-220, June.
    66. Hiroyuki Kawakatsu, 2020. "Recovering Yield Curves from Dynamic Term Structure Models with Time-Varying Factors," Stats, MDPI, vol. 3(3), pages 1-46, August.
    67. Takamizawa, Hideyuki & 高見澤, 秀幸, 2015. "Impact of No-arbitrage on Interest Rate Dynamics," Working Paper Series G-1-5, Hitotsubashi University Center for Financial Research.
    68. Caldeira, João F. & Laurini, Márcio P. & Portugal, Marcelo S., 2010. "Bayesian Inference Applied to Dynamic Nelson-Siegel Model with Stochastic Volatility," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 30(1), October.
    69. Blackburn, Craig & Sherris, Michael, 2013. "Consistent dynamic affine mortality models for longevity risk applications," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 64-73.
    70. Daniel Vela, 2013. "Forecasting Latin-American yield curves: An artificial neural network approach," Borradores de Economia 761, Banco de la Republica de Colombia.
    71. Frank J. Fabozzi & Francesco A. Fabozzi & Diana Tunaru, 2023. "A comparison of multi-factor term structure models for interbank rates," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 323-356, July.
    72. ZHU Xiaoneng & Shahidur RAHMAN, 2009. "A Regime Switching Macro-finance Model of the Term Structure," Economic Growth Centre Working Paper Series 0901, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    73. Vahidin Jeleskovic & Anastasios Demertzidis, 2018. "Comparing different methods for the estimation of interbank intraday yield curves," MAGKS Papers on Economics 201839, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).

  21. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2008. "Inflation expectations and risk premiums in an arbitrage-free model of nominal and real bond yields," Working Paper Series 2008-34, Federal Reserve Bank of San Francisco.

    Cited by:

    1. Michael D. Bauer, 2015. "Restrictions on Risk Prices in Dynamic Term Structure Models," CESifo Working Paper Series 5241, CESifo.
    2. Yuriy Kitsul & Jonathan H. Wright, 2012. "The Economics of Options-Implied Inflation Probability Density Functions," NBER Working Papers 18195, National Bureau of Economic Research, Inc.
    3. 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.
    4. 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.
    5. Ed Westerhout & Ona Ciocyte, 2017. "The role of inflation-linked bonds," CPB Discussion Paper 344, CPB Netherlands Bureau for Economic Policy Analysis.
    6. Luis Fernando Melo Velandia & José Fernando Moreno Gutiérrez, 2010. "Actualización de la descomposición del BEI cuando se dispone de nueva información," Borradores de Economia 620, Banco de la Republica de Colombia.
    7. Hatcher, Michael, 2013. "The Inflation Risk Premium on Government Debt in an Overlapping Generations Model," SIRE Discussion Papers 2013-81, Scottish Institute for Research in Economics (SIRE).
    8. Jens H. E. Christensen & Glenn D. Rudebusch, 2019. "A New Normal for Interest Rates? Evidence from Inflation-Indexed Debt," The Review of Economics and Statistics, MIT Press, vol. 101(5), pages 933-949, December.
    9. Glenn D. Rudebusch, 2010. "Macro‐Finance Models Of Interest Rates And The Economy," Manchester School, University of Manchester, vol. 78(s1), pages 25-52, September.
    10. Christian D. Dick & Maik Schmeling & Andreas Schrimpf, 2010. "Macro Expectations, Aggregate Uncertainty, and Expected Term Premia," CREATES Research Papers 2010-49, Department of Economics and Business Economics, Aarhus University.
    11. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2014. "Can Spanned Term Structure Factors Drive Stochastic Yield Volatility?," Working Paper Series 2014-3, Federal Reserve Bank of San Francisco.
    12. Michael D. Bauer & Glenn D. Rudebusch, 2020. "Interest Rates under Falling Stars," American Economic Review, American Economic Association, vol. 110(5), pages 1316-1354, May.
    13. Jens H. E. Christensen & Glenn D. Rudebusch, 2012. "The response of interest rates to U.S. and U.K. quantitative easing," Working Paper Series 2012-06, Federal Reserve Bank of San Francisco.
    14. Westerhout, Ed & Ciocyte, Ona, 2017. "The Role of Inflation-Linked Bonds. Increasing, but Still Modest," Discussion Paper 2017-027, Tilburg University, Center for Economic Research.
    15. Jens H. E. Christensen & Jose A. Lopez & Paul L. Mussche, 2022. "Extrapolating Long-Maturity Bond Yields for Financial Risk Measurement," Management Science, INFORMS, vol. 68(11), pages 8286-8300, November.
    16. Olivier Coibion & Yuriy Gorodnichenko & Rupal Kamdar, 2017. "The Formation of Expectations, Inflation and the Phillips Curve," NBER Working Papers 23304, National Bureau of Economic Research, Inc.
    17. Simon Gilchrist & David López-Salido & Egon Zakrajšek, 2015. "Monetary Policy and Real Borrowing Costs at the Zero Lower Bound," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 77-109, January.
    18. Byrne, JP & Cao, S & Korobilis, D, 2016. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," Essex Finance Centre Working Papers 18195, University of Essex, Essex Business School.
    19. 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.
    20. Bulkley, George & Harris, Richard D.F. & Nawosah, Vivekanand, 2015. "Can behavioral biases explain the rejections of the expectation hypothesis of the term structure of interest rates?," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 179-193.
    21. Nicolás Cachanosky & Bryan P. Cutsinger & Thomas L. Hogan & William J. Luther & Alexander W. Salter, 2021. "The Federal Reserve's response to the COVID‐19 contraction: An initial appraisal," Southern Economic Journal, John Wiley & Sons, vol. 87(4), pages 1152-1174, April.
    22. Andreasen, Martin M., 2012. "An estimated DSGE model: Explaining variation in nominal term premia, real term premia, and inflation risk premia," European Economic Review, Elsevier, vol. 56(8), pages 1656-1674.
    23. Chan R. Mang, 2014. "Uncertain Risk and Return in Bond Markets, I," 2014 Papers pma1706, Job Market Papers.
    24. Jens H. E. Christensen & Jose A. Lopez & Patrick Shultz, 2017. "Is There an On-the-Run Premium in TIPS?," Working Paper Series 2017-10, Federal Reserve Bank of San Francisco.
    25. Winkelmann, Lars & Netsunajev, Aleksei, 2015. "International Transmissions of Inflation Expectations in a Markov Switching Structural VAR Model," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112900, Verein für Socialpolitik / German Economic Association.
    26. Jens H. E. Christensen, 2013. "A Regime-Switching Model of the Yield Curve at the Zero Bound," Working Paper Series 2013-34, Federal Reserve Bank of San Francisco.
    27. Till Strohsal & Lars Winkelmann, 2012. "Assessing the Anchoring of Inflation Expectations," SFB 649 Discussion Papers SFB649DP2012-022, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    28. Benlagha, N., 2013. "Co-movement of Index linked bonds and conventional bonds in France: Subprime crisis and Structural Break, 2003-01, 2012-04," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 13(1), pages 55-66.
    29. Argyropoulos, Efthymios & Tzavalis, Elias, 2015. "Real term structure forecasts of consumption growth," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 208-222.
    30. Shiller, Robert J. & Campbell, John Y. & Viceira, Luis Manuel, 2009. "Understanding Inflation-Indexed Bond Markets," Scholarly Articles 10885503, Harvard University Department of Economics.
    31. Martin M. Andreasen & Jens H. E. Christensen, 2016. "TIPS Liquidity and the Outlook for Inflation," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.
    32. Speck, Christian, 2023. "Pricing the Bund term structure with linear regressions – without an observable short rate," Discussion Papers 08/2023, Deutsche Bundesbank.
    33. Andreasen, Martin, 2011. "An estimated DSGE model: explaining variation in term premia," Bank of England working papers 441, Bank of England.
    34. Constantino Hevia & Martin Sola, 2018. "Bond Risk Premia and Restrictions on Risk Prices," JRFM, MDPI, vol. 11(4), pages 1-22, October.
    35. Christensen, Jens H.E. & Gillan, James M., 2022. "Does quantitative easing affect market liquidity?," Journal of Banking & Finance, Elsevier, vol. 134(C).
    36. A. Carriero & S. Mouabbi & E. Vangelista, 2016. "UK term structure decompositions at the zero lower bound," Working papers 589, Banque de France.
    37. Francisco Palomino & Alex Hsu, 2013. "What do Nominal Rigidities and Monetary Policy tell us about the Real Yield Curve?," 2013 Meeting Papers 50, Society for Economic Dynamics.
    38. Luis Ceballos & Alberto Naudon & Damián Romero, 2016. "Nominal term structure and term premia: evidence from Chile," Applied Economics, Taylor & Francis Journals, vol. 48(29), pages 2721-2735, June.
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    41. Güler, Mustafa Haluk & Keleş, Gürsu & Polat, Tandoğan, 2017. "An empirical decomposition of the liquidity premium in breakeven inflation rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 185-192.
    42. Arben Kita & Daniel L. Tortorice, 2021. "Arbitrage in International Sovereign Debt Markets? Evidence from the Inflation‐Protected Securities of Six Countries," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(6), pages 1417-1448, September.
    43. John C. Williams, 2015. "The view from here: outlook and monetary policy," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.
    44. Hamza Bennani, 2018. "Media Perception of Fed Chair's Overconfidence and Market Expectations," EconomiX Working Papers 2018-29, University of Paris Nanterre, EconomiX.
    45. 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.
    46. Jens H. E. Christensen & James M. Gillan, 2011. "Has the Treasury benefited from issuing TIPS?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue apr18.
    47. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2012. "Pricing deflation risk with U.S. Treasury yields," Working Paper Series 2012-07, Federal Reserve Bank of San Francisco.
    48. 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.
    49. Christensen, Jens H.E. & Spiegel, Mark M., 2023. "Central bank credibility during COVID-19: Evidence from Japan," Journal of International Money and Finance, Elsevier, vol. 131(C).
    50. 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.
    51. Grishchenko, Olesya V. & Vanden, Joel M. & Zhang, Jianing, 2016. "The informational content of the embedded deflation option in TIPS," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 1-26.
    52. Hamilton, James D. & Wu, Jing Cynthia, 2012. "Identification and estimation of Gaussian affine term structure models," Journal of Econometrics, Elsevier, vol. 168(2), pages 315-331.
    53. 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.
    54. Marcello Pericoli, 2012. "Expected inflation and inflation risk premium in the euro area and in the United States," Temi di discussione (Economic working papers) 842, Bank of Italy, Economic Research and International Relations Area.
    55. Mirdala, Rajmund, 2015. "Decomposing Euro Area Sovereign Debt Yields into Inflation Expectations and Expected Real Interest Rates," MPRA Paper 68866, University Library of Munich, Germany, revised Nov 2015.
    56. Jens H. E. Christensen & Signe Krogstrup, 2014. "Transmission of Quantitative Easing: The Role of Central Bank Reserves," Working Paper Series 2014-18, Federal Reserve Bank of San Francisco.
    57. Juan Andrés Espinosa-Torres & Luis Fernando Melo-Velandia & José Fernando Moreno-Gutiérrez, 2017. "Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del Gobierno colombiano," Revista Desarrollo y Sociedad, Universidad de los Andes,Facultad de Economía, CEDE, vol. 78, February.
    58. Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2008. "An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model," PIER Working Paper Archive 08-030, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    59. Renne, J-P., 2009. "Frequency-domain analysis of debt service in a macro-finance model for the euro area," Working papers 261, Banque de France.
    60. Jens H. E. Christensen & Glenn D. Rudebusch, 2017. "New Evidence for a Lower New Normal in Interest Rates," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.
    61. Luis Fernando Melo Velandia & José Fernando Moreno Gutiérrez, 2010. "Actualización de la descomposición del BEI cuando se dispone de nueva información," Borradores de Economia 7333, Banco de la Republica.
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    64. Michael D. Bauer & Erin McCarthy, 2015. "Can we rely on market-based inflation forecasts?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.
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    70. Alex Hsu & Erica X. N. Li & Francisco J. Palomino, 2016. "Real and Nominal Equilibrium Yield Curves: Wage Rigidities and Permanent Shocks," Finance and Economics Discussion Series 2016-032, Board of Governors of the Federal Reserve System (U.S.).
    71. Strohsal, Till & Winkelmann, Lars, 2015. "Assessing the anchoring of inflation expectations," Journal of International Money and Finance, Elsevier, vol. 50(C), pages 33-48.
    72. Jef Boeckx & Leonardo Iania & Joris Wauters, 2024. "Macroeconomic drivers of inflation expectations and inflation risk premia," Working Paper Research 446, National Bank of Belgium.
    73. Kei Imakubo & Jouchi Nakajima, 2015. "Estimating inflation risk premia from nominal and real yield curves using a shadow-rate model," Bank of Japan Working Paper Series 15-E-1, Bank of Japan.
    74. Westerhout, Ed & Ciocyte, Ona, 2017. "The Role of Inflation-Linked Bonds. Increasing, but Still Modest," Other publications TiSEM 08878bbd-e76e-4216-bee9-b, Tilburg University, School of Economics and Management.
    75. Gregory R. Duffee, 2012. "Forecasting interest rates," Economics Working Paper Archive 599, The Johns Hopkins University,Department of Economics.
    76. Zhou, Siwen, 2018. "Measuring the Signaling Effect of the ECB’s Asset Purchase Programme at the Effective Lower Bound," MPRA Paper 87084, University Library of Munich, Germany.
    77. Jens H. E. Christensen & James M. Gillan, 2011. "A model-independent maximum range for the liquidity correction of TIPS yields," Working Paper Series 2011-16, Federal Reserve Bank of San Francisco.
    78. Alfaro, Rodrigo & Piña, Marco, 2023. "Estimates of the US Shadow-Rate," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(1).
    79. Leo Krippner, 2012. "A theoretical foundation for the Nelson and Siegel class of yield curve models," CAMA Working Papers 2012-11, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    80. Michael D. Bauer, 2014. "Inflation Expectations and the News," Working Paper Series 2014-9, Federal Reserve Bank of San Francisco.
    81. Gimeno, Ricardo & Ibáñez, Alfredo, 2018. "The eurozone (expected) inflation: An option's eyes view," Journal of International Money and Finance, Elsevier, vol. 86(C), pages 70-92.
    82. Sébastien Fries & Jean‐Stéphane Mésonnier & Sarah Mouabbi & Jean‐Paul Renne, 2018. "National natural rates of interest and the single monetary policy in the euro area," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 763-779, September.
    83. Aleksei Netšunajev & Lars Winkelmann, 2016. "International dynamics of inflation expectations," SFB 649 Discussion Papers SFB649DP2016-019, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    84. Jens H. E. Christensen & James M. Gillan, 2011. "TIPS liquidity, breakeven inflation, and inflation expectations," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue june20.
    85. Joshua C.C. Chan & Yong Song, 2018. "Measuring Inflation Expectations Uncertainty Using High‐Frequency Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(6), pages 1139-1166, September.
    86. Wright, Jonathan & Gürkaynak, Refet, 2010. "Macroeconomics and the Term Structure," CEPR Discussion Papers 8018, C.E.P.R. Discussion Papers.
    87. Ho, Hsiao-Wei & Huang, Henry H. & Yildirim, Yildiray, 2014. "Affine model of inflation-indexed derivatives and inflation risk premium," European Journal of Operational Research, Elsevier, vol. 235(1), pages 159-169.
    88. 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.
    89. Jens H.E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2012. "Extracting Deflation Probability Forecasts from Treasury Yields," International Journal of Central Banking, International Journal of Central Banking, vol. 8(4), pages 21-60, December.
    90. Seth Armitage & Janusz Brzeszczynski, 2010. "Forecasting UK Inflation: An Empirical AnalysisÂ," CFI Discussion Papers 1002, Centre for Finance and Investment, Heriot Watt University.
    91. Hardik A. Marfatia, 2021. "Is the future really observable? A practical approach to model monetary policy rules," Empirical Economics, Springer, vol. 61(3), pages 1189-1223, September.
    92. Gregory Bauer & Antonio Diez de los Rios, 2012. "An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks," Staff Working Papers 12-5, Bank of Canada.
    93. Alberto Di Iorio & Marco Fanari, 2020. "Break-even inflation rates: the Italian case," Questioni di Economia e Finanza (Occasional Papers) 578, Bank of Italy, Economic Research and International Relations Area.
    94. Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo, 2014. "How did the financial crisis alter the correlations of U.S. yield spreads?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 362-385.
    95. Munch Grønlund, Asger & Jørgensen, Kasper & Schupp, Fabian, 2024. "Measuring market-based core inflation expectations," Working Paper Series 2908, European Central Bank.
    96. Covarrubias, Enrique & Hernández-del-Valle, Gerardo, 2016. "Inflation expectations derived from a portfolio model," MPRA Paper 69489, University Library of Munich, Germany.
    97. Jens H. E. Christensen & Glenn D. Rudebusch, 2015. "Estimating Shadow-Rate Term Structure Models with Near-Zero Yields," Journal of Financial Econometrics, Oxford University Press, vol. 13(2), pages 226-259.
    98. Chen, Shi & Härdle, Wolfgang Karl & Wang, Weining, 2020. "The common and speci fic components of inflation expectation across European countries," IRTG 1792 Discussion Papers 2020-023, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    99. Flávio de Freitas Val & Claudio Henrique da Silveira Barbedo & Marcelo Verdini Maia, 2011. "Inflation expectation and implicit inflation: does market research provide accurate measures?," Brazilian Business Review, Fucape Business School, vol. 8(3), pages 83-100, July.
    100. Yiqun Gloria Chen, 2019. "Inflation, Inflation Expectations, and the Phillips Curve: Working Paper 2019-07," Working Papers 55501, Congressional Budget Office.
    101. Alturki, Sultan & Olson, Eric, 2022. "Oil sentiment and the U.S. inflation premium," Energy Economics, Elsevier, vol. 114(C).
    102. Ciccarelli, Matteo & García, Juan Angel, 2015. "International spillovers in inflation expectations," Working Paper Series 1857, European Central Bank.
    103. Christensen, Jens H.E. & Diebold, Francis X. & Rudebusch, Glenn D., 2011. "The affine arbitrage-free class of Nelson-Siegel term structure models," Journal of Econometrics, Elsevier, vol. 164(1), pages 4-20, September.
    104. Giray Gozgor, 2013. "The New Keynesian Phillips Curve in an Inflation Targeting Country: The Case of Turkey," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 6(1), pages 7-18, April.
    105. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2009. "Do central bank liquidity facilities affect interbank lending rates?," Working Paper Series 2009-13, Federal Reserve Bank of San Francisco.
    106. Bouwman, Kees & Buis, Boyd & Pieterse-Bloem, Mary & Tham, Wing Wah, 2015. "A practical approach to constructing price-based funding liquidity factors," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 90-97.
    107. Gregory R. Duffee, 2012. "Bond pricing and the macroeconomy," Economics Working Paper Archive 598, The Johns Hopkins University,Department of Economics.
    108. Helder Ferreira de Mendonça & Pedro Mendes Garcia & José Valentim Machado Vicente, 2021. "Rationality and anchoring of inflation expectations: An assessment from survey‐based and market‐based measures," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(6), pages 1027-1053, September.
    109. Tosapol Apaitan, 2015. "Extracting Market Inflation Expectations: A Semi-structural Macro-finance Term Structure Model," PIER Discussion Papers 4, Puey Ungphakorn Institute for Economic Research.
    110. Shi Chen & Wolfgang Karl Härdle & Weining Wang, "undated". "Inflation Co-movement across Countries in Multi-maturity Term Structure: An Arbitrage-Free Approach," SFB 649 Discussion Papers SFB649DP2015-049, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    111. Baranowski, Paweł & Doryń, Wirginia & Łyziak, Tomasz & Stanisławska, Ewa, 2021. "Words and deeds in managing expectations: Empirical evidence from an inflation targeting economy," Economic Modelling, Elsevier, vol. 95(C), pages 49-67.
    112. 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.
    113. Ciccarelli, Matteo & Osbat, Chiara, 2017. "Low inflation in the euro area: Causes and consequences," Occasional Paper Series 181, European Central Bank.
    114. 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.
    115. Shuo Cao, 2018. "Learning about Term Structure Predictability under Uncertainty," GRU Working Paper Series GRU_2018_006, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    116. Cem Çakmakli, 2012. "Bayesian Semiparametric Dynamic Nelson-Siegel Model," Working Paper series 59_12, Rimini Centre for Economic Analysis, revised Sep 2012.
    117. Andrea Berardi, 2013. "Inflation Risk Premia, Yield Volatility and Macro Factors," Working Papers 27/2013, University of Verona, Department of Economics.
    118. Michael D. Bauer & Glenn D. Rudebusch & Jing Cynthia Wu, 2014. "Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Comment," American Economic Review, American Economic Association, vol. 104(1), pages 323-337, January.
    119. Jens H. E. Christensen & Sarah Mouabbi, 2024. "The Natural Rate of Interest in the Euro Area: Evidence from Inflation-Indexed Bonds," Working Paper Series 2024-08, Federal Reserve Bank of San Francisco.
    120. 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.
    121. Juan Andrés Espinosa-Torres & Luis Fernando Melo-Velandía & José Fernando Moreno-Gutiérrez, 2015. "Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del gobierno colombiano," Borradores de Economia 13700, Banco de la Republica.
    122. Agnieszka Konicz & David Pisinger & Alex Weissensteiner, 2015. "Optimal annuity portfolio under inflation risk," Computational Management Science, Springer, vol. 12(3), pages 461-488, July.
    123. Andreas Hornstein & Marianna Kudlyak, 2017. "How Much Has Job Matching Efficiency Declined?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.
    124. Timmermann, Allan & Burjack, Rafael & Qu, Ritong, 2019. "Fluctuations in Economic Uncertainty and Transmission of Monetary Policy Shocks: Evidence Using Daily Surveys from Brazil," CEPR Discussion Papers 14097, C.E.P.R. Discussion Papers.
    125. John C. Williams, 2015. "The view from here: the economic outlook and its implications for monetary policy," Speech 135, Federal Reserve Bank of San Francisco.
    126. Rodrigo Alfaro & Marco Piña, 2021. "Estimates of the US Shadow-Rate," Working Papers Central Bank of Chile 923, Central Bank of Chile.
    127. Bruno Feunou & Jean-Sébastien Fontaine, 2012. "Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields," Staff Working Papers 12-37, Bank of Canada.
    128. Minwook Kang, 2020. "Inflation‐Indexed Bonds and Nominal Bonds: Financial Innovation and Precautionary Motives," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(4), pages 721-745, June.
    129. 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.
    130. Cristhian Hernando Ruiz Cardozo & Jens H. E. Christensen, 2023. "The Benefit of Inflation-Indexed Debt: Evidence from an Emerging Bond Market," Working Paper Series 2023-04, Federal Reserve Bank of San Francisco.

  22. Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2007. "The affine arbitrage-free class of Nelson-Siegel term structure models," Working Paper Series 2007-20, Federal Reserve Bank of San Francisco.

    Cited by:

    1. Michael D. Bauer, 2011. "Nominal interest rates and the news," Working Paper Series 2011-20, Federal Reserve Bank of San Francisco.
    2. Michael D. Bauer, 2015. "Restrictions on Risk Prices in Dynamic Term Structure Models," CESifo Working Paper Series 5241, CESifo.
    3. Azamat Abdymomunov & Kyu Ho Kang & Ki Jeong Kim, 2014. "Forecasting the Term Structure of Government Bond Yields Using Credit Spreads and Structural Breaks," Working Papers 2014-19, Economic Research Institute, Bank of Korea.
    4. Tu, Anthony H. & Chen, Cathy Yi-Hsuan, 2018. "A factor-based approach of bond portfolio value-at-risk: The informational roles of macroeconomic and financial stress factors," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 243-268.
    5. Abdymomunov, Azamat & Kang, Kyu Ho & Kim, Ki Jeong, 2016. "Can credit spreads help predict a yield curve?," Journal of International Money and Finance, Elsevier, vol. 64(C), pages 39-61.
    6. Laurini, Márcio Poletti & Hotta, Luiz Koodi, 2010. "Bayesian extensions to Diebold-Li term structure model," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 342-350, December.
    7. Levant, Jared & Ma, Jun, 2017. "A dynamic Nelson-Siegel yield curve model with Markov switching," Economic Modelling, Elsevier, vol. 67(C), pages 73-87.
    8. Recchioni, M.C. & Sun, Y., 2016. "An explicitly solvable Heston model with stochastic interest rate," European Journal of Operational Research, Elsevier, vol. 249(1), pages 359-377.
    9. Zhou, Siwen, 2019. "Assessing the Macroeconomic Impact of the ECB’s Asset Purchase Programme in a Dynamic Nelson–Siegel Modelling Framework," MPRA Paper 92530, University Library of Munich, Germany.
    10. Koeda, Junko & Sekine, Atsushi, 2022. "Nelson–Siegel decay factor and term premia in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 64(C).
    11. Tobias Adrian & Daniel M. Covitz & J. Nellie Liang, 2014. "Financial Stability Monitoring," FEDS Notes 2014-08-04, Board of Governors of the Federal Reserve System (U.S.).
    12. Caldeira, João F. & Moura, Guilherme V. & Santos, André A.P., 2016. "Bond portfolio optimization using dynamic factor models," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 128-158.
    13. Bekker, Paul A., 2017. "Interpretable Parsimonious Arbitrage-free Modeling of the Yield Curve," Research Report 17009-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    14. Borochin, Paul & Chang, Hao & Wu, Yangru, 2020. "The information content of the term structure of risk-neutral skewness," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 247-274.
    15. Creal, Drew D. & Wu, Jing Cynthia, 2015. "Estimation of affine term structure models with spanned or unspanned stochastic volatility," Journal of Econometrics, Elsevier, vol. 185(1), pages 60-81.
    16. Elizondo Rocío, 2013. "Forecasting the Term Structure of Interest Rates in Mexico Using an Affine Model," Working Papers 2013-03, Banco de México.
    17. Caio Almeida & Kym Ardison & Daniela Kubudi & Axel Simonsen & José Vicente, 2018. "Forecasting Bond Yields with Segmented Term Structure Models," Journal of Financial Econometrics, Oxford University Press, vol. 16(1), pages 1-33.
    18. Yajing Xu & Michael Sherris & Jonathan Ziveyi, 2020. "Market Price of Longevity Risk for a Multi‐Cohort Mortality Model With Application to Longevity Bond Option Pricing," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 87(3), pages 571-595, September.
    19. Chen, Rui & Du, Ke, 2013. "A generalised arbitrage-free Nelson–Siegel model: The impact of unspanned stochastic volatility," Finance Research Letters, Elsevier, vol. 10(1), pages 41-48.
    20. Halberstadt, Arne & Krippner, Leo, 2016. "The effect of conventional and unconventional euro area monetary policy on macroeconomic variables," Discussion Papers 49/2016, Deutsche Bundesbank.
    21. Brand, Claus & Goy, Gavin & Lemke, Wolfgang, 2021. "Natural rate chimera and bond pricing reality," Working Paper Series 2612, European Central Bank.
    22. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2013. "A Probability-Based Stress Test of Federal Reserve Assets and Income," Working Paper Series 2013-38, Federal Reserve Bank of San Francisco.
    23. Borus Jungbacker & Siem Jan Koopman & Michel van der Wel, 2009. "Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates," CREATES Research Papers 2009-39, Department of Economics and Business Economics, Aarhus University.
    24. Leo Krippner, 2008. "A Macroeconomic Foundation for the Nelson and Siegel Class of Yield Curve Models," Research Paper Series 226, Quantitative Finance Research Centre, University of Technology, Sydney.
    25. Kim, Young Min & Kang, Kyu Ho & Ka, Kook, 2020. "Do bond markets find inflation targets credible? Evidence from five inflation-targeting countries," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 66-84.
    26. Glenn D. Rudebusch, 2010. "Macro‐Finance Models Of Interest Rates And The Economy," Manchester School, University of Manchester, vol. 78(s1), pages 25-52, September.
    27. Mucai Lin & Linlin Niu, 2019. "Echo over the Great Wall: Spillover Effects of QE Announcements on Chinese Yield Curve," Working Papers 2019-05-17, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, revised 14 Oct 2020.
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    164. Gaus, Eric & Sinha, Arunima, 2018. "What does the yield curve imply about investor expectations?," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 248-265.
    165. Nikolaos Karouzakis, 2021. "The role of time‐varying risk premia in international interbank markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5720-5745, October.
    166. 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.
    167. Juneja, Januj, 2014. "Term structure estimation in the presence of autocorrelation," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 119-129.
    168. Januj Amar Juneja, 2022. "A Computational Analysis of the Tradeoff in the Estimation of Different State Space Specifications of Continuous Time Affine Term Structure Models," Computational Economics, Springer;Society for Computational Economics, vol. 60(1), pages 173-220, June.
    169. Gauthier, Geneviève & Simonato, Jean-Guy, 2012. "Linearized Nelson–Siegel and Svensson models for the estimation of spot interest rates," European Journal of Operational Research, Elsevier, vol. 219(2), pages 442-451.
    170. Cem Çakmakli, 2012. "Bayesian Semiparametric Dynamic Nelson-Siegel Model," Working Paper series 59_12, Rimini Centre for Economic Analysis, revised Sep 2012.
    171. Nyholm, Ken, 2016. "US-euro area term structure spillovers, implications for central banks," Working Paper Series 1980, European Central Bank.
    172. Hong, Zhiwu & Niu, Linlin & Zhang, Chen, 2022. "Affine arbitrage-free yield net models with application to the euro debt crisis," Journal of Econometrics, Elsevier, vol. 230(1), pages 201-220.
    173. Hiroyuki Kawakatsu, 2020. "Recovering Yield Curves from Dynamic Term Structure Models with Time-Varying Factors," Stats, MDPI, vol. 3(3), pages 1-46, August.
    174. Guidolin, Massimo & Pedio, Manuela, 2019. "Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.
    175. Takamizawa, Hideyuki & 高見澤, 秀幸, 2015. "Impact of No-arbitrage on Interest Rate Dynamics," Working Paper Series G-1-5, Hitotsubashi University Center for Financial Research.
    176. Dang-Nguyen, Stéphane & Le Caillec, Jean-Marc & Hillion, Alain, 2014. "The deterministic shift extension and the affine dynamic Nelson–Siegel model," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 402-417.
    177. Zongwu Cai & Jiazi Chen & Linlin Liu, 2021. "Estimating Impact of Age Distribution on Bond Pricing: A Semiparametric Functional Data Analysis Approach," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202102, University of Kansas, Department of Economics, revised Jan 2021.
    178. Misha Beek & Michel Mandjes & Peter Spreij & Erik Winands, 2020. "Regime switching affine processes with applications to finance," Finance and Stochastics, Springer, vol. 24(2), pages 309-333, April.
    179. Wali ULLAH & Khadija Malik BARI, 2018. "The Term Structure of Government Bond Yields in an Emerging Market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 5-28, September.
    180. Jacob Bjerre Skov & David Skovmand, 2021. "Dynamic term structure models for SOFR futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(10), pages 1520-1544, October.
    181. Carlos Castro-Iragorri & Juan Felipe Peña & Cristhian Rodríguez, 2021. "A Segmented and Observable Yield Curve for Colombia," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 10(2), pages 179-200.
    182. Doshi, Hitesh & Jacobs, Kris & Liu, Rui, 2018. "Macroeconomic determinants of the term structure: Long-run and short-run dynamics," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 99-122.
    183. 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.
    184. Frank J. Fabozzi & Francesco A. Fabozzi & Diana Tunaru, 2023. "A comparison of multi-factor term structure models for interbank rates," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 323-356, July.
    185. Maria Cristina Recchioni & Gabriele Tedeschi, 2016. "From bond yield to macroeconomic instability: The effect of negative interest rates," Working Papers 2016/06, Economics Department, Universitat Jaume I, Castellón (Spain).
    186. Timmermann, Allan & Burjack, Rafael & Qu, Ritong, 2019. "Fluctuations in Economic Uncertainty and Transmission of Monetary Policy Shocks: Evidence Using Daily Surveys from Brazil," CEPR Discussion Papers 14097, C.E.P.R. Discussion Papers.
    187. Ajit Dayanandan & Jai Chander & N. R. V. V. M. K. Rajendra Kumar, 2023. "Size and liquidity of government securities in India," Indian Economic Review, Springer, vol. 58(1), pages 71-90, June.
    188. ZHU Xiaoneng & Shahidur RAHMAN, 2009. "Global Yield Curves and Sovereign Bond Market Integration," Economic Growth Centre Working Paper Series 0902, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    189. Bruno Feunou & Jean-Sébastien Fontaine, 2012. "Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields," Staff Working Papers 12-37, Bank of Canada.
    190. Yallup, Peter J., 2012. "Models of the yield curve and the curvature of the implied forward rate function," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 121-135.
    191. Frédéric Godin & Ramin Eghbalzadeh & Patrice Gaillardetz, 2023. "Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson–Siegel model," Review of Derivatives Research, Springer, vol. 26(2), pages 171-206, October.
    192. Vahidin Jeleskovic & Anastasios Demertzidis, 2018. "Comparing different methods for the estimation of interbank intraday yield curves," MAGKS Papers on Economics 201839, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).

Articles

  1. Jens H. E. Christensen & Eric Fischer & Patrick Shultz, 2020. "Emerging Bond Markets and COVID-19: Evidence from Mexico," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, vol. 2020(23), pages 01-05, August.

    Cited by:

    1. Sanjay Kumar Rout & Hrushikesh Mallick, 2022. "Sovereign Bond Market Shock Spillover Over Different Maturities: A Journey from Normal to Covid-19 Period," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(4), pages 697-734, December.
    2. Szczygielski, Jan Jakub & Charteris, Ailie & Bwanya, Princess Rutendo & Brzeszczyński, Janusz, 2023. "Which COVID-19 information really impacts stock markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
    3. Christensen, Jens H.E. & Fischer, Eric & Shultz, Patrick J., 2021. "Bond flows and liquidity: Do foreigners matter?," Journal of International Money and Finance, Elsevier, vol. 117(C).

  2. Jens H. E. Christensen & James M. Gamble & Simon Zhu, 2020. "Coronavirus and the Risk of Deflation," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, vol. 2020(11), pages 1-5, May.

    Cited by:

    1. PINSHI, Christian P. & MALATA, Alain, 2020. "Canal d’incertitude de la COVID-19 : Quelles stratégies et tactiques pour la politique monétaire ? [COVID-19 Uncertainty Channel: What Strategies and Tactics for Monetary Policy?]," MPRA Paper 109313, University Library of Munich, Germany.
    2. Alain MALATA & Christian PINSHI, 2020. "Fading The Effects Of Coronavirus With Monetary Policy," Theoretical and Practical Research in the Economic Fields, ASERS Publishing, vol. 11(2), pages 105-110.

  3. Jens H. E. Christensen, 2019. "Yield Curve Responses to Introducing Negative Policy Rates," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.

    Cited by:

    1. Nicolas Reigl & Karsten Staehr, 2020. "Negative Interest Rates in the Five Eurozone Countries from Central and Eastern Europe," CESifo Forum, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 21(01), pages 24-30, April.
    2. Margherita Bottero & Enrico Sette, 2020. "Expansionary yet different: credit supply and real effects of negative interest rate policy," Temi di discussione (Economic working papers) 1269, Bank of Italy, Economic Research and International Relations Area.

  4. Jens H. E. Christensen & Mark M. Spiegel, 2019. "Negative Interest Rates and Inflation Expectations in Japan," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.

    Cited by:

    1. David-Pur, Lior & Galil, Koresh & Rosenboim, Mosi, 2020. "To decrease or not to decrease: The impact of zero and negative interest rates on investment decisions," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 87(C).
    2. Peña, Guillermo, 2021. "A Monetary Policy Rule using Gravity Models," MPRA Paper 105967, University Library of Munich, Germany.
    3. Lau, Wee-Yeap & Yip, Tien-Ming, 2020. "How do monetary transmission channels influence inflation in the short and long run? Evidence from the QQE regime in Japan," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).

  5. Jens H. E. Christensen, 2019. "The Risk of Returning to the Zero Lower Bound," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.

    Cited by:

    1. Li, Shaoyu & Zhang, Yuanyuan & Zhu, Chunhui, 2021. "A closed-form exact solution for pricing fixed-income variance swaps with affine-jump model," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).

  6. Jens H. E. Christensen, 2018. "The Slope of the Yield Curve and the Near-Term Outlook," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.

    Cited by:

    1. Massimo Ferrari Minesso & Laura Lebastard & Helena Mezo, 2023. "Text-Based Recession Probabilities," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 71(2), pages 415-438, June.
    2. Arto Kovanen, 2019. "Perspectives From the Past for the Federal Reserve¡¯s Monetary Policy and Communication," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 10(1), pages 31-51, January.

  7. Andreas Hornstein & Marianna Kudlyak, 2017. "How Much Has Job Matching Efficiency Declined?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.

    Cited by:

    1. Corneo, Giacomo, 2017. "Ein Staatsfonds, der eine soziale Dividende finanziert," Discussion Papers 2017/13, Free University Berlin, School of Business & Economics.

  8. Jens H. E. Christensen & Jose A. Lopez & Patrick Shultz, 2017. "Do All New Treasuries Trade at a Premium?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.

    Cited by:

    1. Iñaki Aldasoro & Peter Hördahl & Sonya Zhu, 2022. "Under pressure: market conditions and stress," BIS Quarterly Review, Bank for International Settlements, September.

  9. Jens H. E. Christensen & Glenn D. Rudebusch, 2017. "New Evidence for a Lower New Normal in Interest Rates," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.

    Cited by:

    1. Beyer, Robert & Milivojevic, Lazar, 2021. "Dynamics and synchronization of global equilibrium interest rates," IMFS Working Paper Series 146, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    2. Neri, Stefano & Gerali, Andrea, 2019. "Natural rates across the Atlantic," Journal of Macroeconomics, Elsevier, vol. 62(C).
    3. Kábrt, Tomáš & Brůna, Karel, 2022. "Asymmetric effects of foreign capital on income inequality: The case of the Post-China 16 countries," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 613-626.
    4. Reuven Glick, 2019. "R* and the Global Economy," Working Paper Series 2019-18, Federal Reserve Bank of San Francisco.

  10. Jens H. E. Christensen & Jose A. Lopez, 2016. "Differing views on long-term inflation expectations," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.

    Cited by:

    1. Cristina Conflitti & Riccardo Cristadoro, 2018. "Oil prices and inflation expectations," Questioni di Economia e Finanza (Occasional Papers) 423, Bank of Italy, Economic Research and International Relations Area.

  11. Martin M. Andreasen & Jens H. E. Christensen, 2016. "TIPS Liquidity and the Outlook for Inflation," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.

    Cited by:

    1. Mary C. Daly, 2019. "The Bumpy Road to 2 Percent: Managing Inflation in the Current Economy," Speech 193, Federal Reserve Bank of San Francisco.

  12. Jens H. E. Christensen & Simon H. Kwan, 2014. "Assessing expectations of monetary policy," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.

    Cited by:

    1. Alvin Andhika Zulen & Okiriza Wibisono, 2019. "Measuring stakeholders’ expectations for the central bank’s policy rate," IFC Bulletins chapters, in: Bank for International Settlements (ed.), The use of big data analytics and artificial intelligence in central banking, volume 50, Bank for International Settlements.
    2. Michelle Bongard & Gabriele Galati & Richhild Moessner & William Nelson, 2021. "Connecting the dots: Market reactions to forecasts of policy rates and forward guidance provided by the Fed," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 684-706, January.
    3. Eric Fischer, 2020. "Monetary Surprises and Global Financial Flows: A Case Study of Latin America," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 19(2), pages 189-225, August.
    4. Alvin Andhika Zulen & Okiriza Wibisono, 2019. "Measuring stakeholders’ expectation on central bank’s policy rate," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Are post-crisis statistical initiatives completed?, volume 49, Bank for International Settlements.
    5. 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.
    6. Stylianos X. Koufadakis, 2015. "Asymmetries on Closed End Country Funds Premium and Monetary Policy Announcements: An Approach Trough the Perspective of Foreign Countries," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 65(3-4), pages 29-65, july-Dece.

  13. Jens H. E. Christensen, 2014. "When will the Fed end its zero rate policy?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.

    Cited by:

  14. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2014. "Do Central Bank Liquidity Facilities Affect Interbank Lending Rates?," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(1), pages 136-151, January.
    See citations under working paper version above.
  15. Michael D. Bauer & Jens H. E. Christensen, 2014. "Financial market outlook for inflation," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.

    Cited by:

    1. Sara Cecchetti & Davide Fantino & Alessandro Notarpietro & Marianna Riggi & Alex Tagliabracci & Andrea Tiseno & Roberta Zizza, 2021. "Inflation expectations in the euro area: indicators, analyses and models used at Banca d’Italia," Questioni di Economia e Finanza (Occasional Papers) 612, Bank of Italy, Economic Research and International Relations Area.
    2. Natoli, Filippo & Sigalotti, Laura, 2017. "Tail co-movement in inflation expectations as an indicator of anchoring," Working Paper Series 1997, European Central Bank.
    3. Michael D. Bauer & Erin McCarthy, 2015. "Can we rely on market-based inflation forecasts?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.
    4. Stefano Neri & Guido Bulligan & Sara Cecchetti & Francesco Corsello & Andrea Papetti & Marianna Riggi & Concetta Rondinelli & Alex Tagliabracci, 2022. "On the anchoring of inflation expectations in the euro area," Questioni di Economia e Finanza (Occasional Papers) 712, Bank of Italy, Economic Research and International Relations Area.
    5. Yifan Cao & Adam Hale Shapiro, 2014. "Will inflation remain low?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.

  16. Jens H. E. Christensen & James M. Gillan, 2012. "Do Fed TIPS purchases affect market liquidity?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue mar5.

    Cited by:

    1. Winkelmann, Lars & Netsunajev, Aleksei, 2015. "International Transmissions of Inflation Expectations in a Markov Switching Structural VAR Model," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112900, Verein für Socialpolitik / German Economic Association.
    2. Christensen, Jens H.E. & Gillan, James M., 2022. "Does quantitative easing affect market liquidity?," Journal of Banking & Finance, Elsevier, vol. 134(C).
    3. Orlowski, Lucjan T. & Soper, Carolyne, 2019. "Market risk and market-implied inflation expectations," International Review of Financial Analysis, Elsevier, vol. 66(C).
    4. Hachula, Michael & Nautz, Dieter, 2018. "The dynamic impact of macroeconomic news on long-term inflation expectations," Economics Letters, Elsevier, vol. 165(C), pages 39-43.
    5. Laura Pagenhardt & Dieter Nautz & Till Strohsal & Strohsal, 2015. "The (De-)Anchoring of Inflation Expectations: New Evidence from the Euro Area," SFB 649 Discussion Papers SFB649DP2015-044, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    6. Strohsal, Till & Winkelmann, Lars, 2015. "Assessing the anchoring of inflation expectations," Journal of International Money and Finance, Elsevier, vol. 50(C), pages 33-48.
    7. Aleksei Netšunajev & Lars Winkelmann, 2016. "International dynamics of inflation expectations," SFB 649 Discussion Papers SFB649DP2016-019, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

  17. Jens H.E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2012. "Extracting Deflation Probability Forecasts from Treasury Yields," International Journal of Central Banking, International Journal of Central Banking, vol. 8(4), pages 21-60, December.
    See citations under working paper version above.
  18. Jens H. E. Christensen & Glenn D. Rudebusch, 2012. "The Response of Interest Rates to US and UK Quantitative Easing," Economic Journal, Royal Economic Society, vol. 122(564), pages 385-414, November.
    See citations under working paper version above.
  19. Jens H. E. Christensen & James M. Gillan, 2011. "TIPS liquidity, breakeven inflation, and inflation expectations," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue june20.

    Cited by:

    1. Haensly, Paul J., 2016. "Is a pure TIPS strategy truly risk free?," Review of Financial Economics, Elsevier, vol. 28(C), pages 1-20.

  20. Jens H. E. Christensen & James M. Gillan, 2011. "Has the Treasury benefited from issuing TIPS?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue apr18.

    Cited by:

    1. Patricia Gomez-Gonzalez, 2021. "Drivers of inflation-linked public debt: an empirical investigation," International Economics and Economic Policy, Springer, vol. 18(1), pages 223-244, February.

  21. Christensen, Jens H.E. & Diebold, Francis X. & Rudebusch, Glenn D., 2011. "The affine arbitrage-free class of Nelson-Siegel term structure models," Journal of Econometrics, Elsevier, vol. 164(1), pages 4-20, September.
    See citations under working paper version above.
  22. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2009. "Inflation expectations and risk premiums in an arbitrage-free model of nominal and real bond yields," Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
    See citations under working paper version above.
  23. Jens H. E. Christensen, 2009. "Inflation expectations and the risk of deflation," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue nov2.

    Cited by:

    1. Grishchenko, Olesya V. & Vanden, Joel M. & Zhang, Jianing, 2016. "The informational content of the embedded deflation option in TIPS," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 1-26.
    2. Jens H. E. Christensen, 2010. "TIPS and the risk of deflation," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue oct25.
    3. J. Scott Davis, 2015. "The asymmetric effects of deflation on consumption spending: evidence from the Great Depression," Globalization Institute Working Papers 226, Federal Reserve Bank of Dallas.

  24. Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2009. "An arbitrage-free generalized Nelson--Siegel term structure model," Econometrics Journal, Royal Economic Society, vol. 12(3), pages 33-64, November.
    See citations under working paper version above.
  25. Jens H. E. Christensen, 2009. "Have the Fed liquidity facilities had an effect on Libor?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue aug10.

    Cited by:

    1. Claudio Morana, 2013. "New Insights on the US OIS Spreads Term Structure During the Recent Financial Turmoil," CeRP Working Papers 137, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    2. Aït-Sahalia, Yacine & Andritzky, Jochen & Jobst, Andreas & Nowak, Sylwia & Tamirisa, Natalia, 2012. "Market response to policy initiatives during the global financial crisis," Journal of International Economics, Elsevier, vol. 87(1), pages 162-177.
    3. International Monetary Fund, 2009. "How to Stop a Herd of Running Bears? Market Response to Policy Initiatives during the Global Financial Crisis," IMF Working Papers 2009/204, International Monetary Fund.
    4. Claudio Morana, 2013. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks: New Insights on the US OIS SPreads Term Structure," Working Papers 233, University of Milano-Bicocca, Department of Economics, revised Feb 2013.

  26. Jens H. E. Christensen, 2008. "The corporate bond credit spread puzzle," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue mar14.

    Cited by:

    1. Krylova, Elizaveta, 2016. "Leading indicator properties of corporate bond spreads, excess bond premia and lending spreads in the euro area," Working Paper Series 1911, European Central Bank.
    2. Markus Hoermann & Andreas Schabert, 2013. "A Monetary Analysis of Balance Sheet Policies," Working Paper Series in Economics 68, University of Cologne, Department of Economics.
    3. Christensen, Jens H.E. & Gillan, James M., 2022. "Does quantitative easing affect market liquidity?," Journal of Banking & Finance, Elsevier, vol. 134(C).
    4. Krylova, Elizaveta, 2016. "Determinants of euro-denominated corporate bond spreads," Working Paper Series 1912, European Central Bank.
    5. 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.
    6. Samir Kadiric & Arthur Korus, 2019. "The effects of Brexit on credit spreads: Evidence from UK and Eurozone corporate bond markets," International Economics and Economic Policy, Springer, vol. 16(1), pages 65-102, March.
    7. Samir Kadiric & Arthur Korus, 2018. "Effects of Brexit on Corporate Yield Spreads: Evidence from UK and Eurozone Corporate Bond Markets," EIIW Discussion paper disbei251, Universitätsbibliothek Wuppertal, University Library.

  27. Christensen, Jens H.E. & Hansen, Ernst & Lando, David, 2004. "Confidence sets for continuous-time rating transition probabilities," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2575-2602, November.

    Cited by:

    1. Dimitris Gavalas & Theodore Syriopoulos, 2014. "Bank Credit Risk Management and Migration Analysis; Conditioning Transition Matrices on the Stage of the Business Cycle," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 20(2), pages 151-166, May.
    2. Andre Güttler & Peter Raupach, 2010. "The Impact of Downward Rating Momentum," Journal of Financial Services Research, Springer;Western Finance Association, vol. 37(1), pages 1-23, February.
    3. Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2010. "A Reduced Form Model of Default Spreads with Markov-Switching Macroeconomic Factors," Cahiers de recherche 1042, CIRPEE.
    4. Weißbach, Rafael & Mollenhauer, Thomas, 2011. "Modelling Rating Transitions," VfS Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis 48698, Verein für Socialpolitik / German Economic Association.
    5. Mathieu Gatumel & Florian Ielpo, 2011. "The Number of Regimes Across Asset Returns: Identification and Economic Value," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00658540, HAL.
    6. Jafry, Yusuf & Schuermann, Til, 2004. "Measurement, estimation and comparison of credit migration matrices," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2603-2639, November.
    7. Hanson, Samuel & Schuermann, Til, 2006. "Confidence intervals for probabilities of default," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2281-2301, August.
    8. Dannenberg, Henry, 2009. "Berücksichtigung von Schätzunsicherheit bei der Kreditrisikobewertung: Vergleich des Value at Risk der Verlustverteilung des Kreditrisikos bei Verwendung von Bootstrapping und einem asymptotischen Ans," IWH Discussion Papers 3/2009, Halle Institute for Economic Research (IWH).
    9. Nickell, Pamela & Perraudin, William & Varotto, Simone, 2007. "Ratings-based credit risk modelling: An empirical analysis," International Review of Financial Analysis, Elsevier, vol. 16(5), pages 434-451.
    10. Fuertes, Ana-Maria & Kalotychou, Elena, 2007. "On sovereign credit migration: A study of alternative estimators and rating dynamics," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3448-3469, April.
    11. Behrens, Andrew & Pederson, Glenn D., 2005. "Credit Risk Migration Patterns of Agricultural Loans," 2005 Agricultural and Rural Finance Markets in Transition, October 3-4, 2005, Minneapolis, Minnesota 132739, Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition.
    12. François Coppens & Fernando Gonzáles & Gerhard Winkler, 2007. "The performance of credit rating systems in the assessment of collateral used in Eurosystem monetary policy operations," Working Paper Research 118, National Bank of Belgium.
    13. Weißbach, Rafael & Walter, Ronja, 2010. "A likelihood ratio test for stationarity of rating transitions," Journal of Econometrics, Elsevier, vol. 155(2), pages 188-194, April.
    14. Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean‐Guy Simonato, 2010. "Default Risk in Corporate Yield Spreads," Financial Management, Financial Management Association International, vol. 39(2), pages 707-731, June.
    15. Frydman, Halina & Schuermann, Til, 2008. "Credit rating dynamics and Markov mixture models," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1062-1075, June.
    16. Orth, Walter, 2011. "Default probability estimation in small samples: With an application to sovereign bonds," Discussion Papers in Econometrics and Statistics 5/11, University of Cologne, Institute of Econometrics and Statistics.
    17. Til Schuermann & Yusuf Jafry, 2003. "Measurement and Estimation of Credit Migration Matrices," Center for Financial Institutions Working Papers 03-08, Wharton School Center for Financial Institutions, University of Pennsylvania.
    18. Schechtman, Ricardo, 2013. "Default matrices: A complete measurement of banks’ consumer credit delinquency," Journal of Financial Stability, Elsevier, vol. 9(4), pages 460-474.
    19. Guttler, Andre & Wahrenburg, Mark, 2007. "The adjustment of credit ratings in advance of defaults," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 751-767, March.
    20. Jean-Michel Sahut & Faten Ben Bouheni, 2019. "Profitability and Risk-Taking Among Cooperative Banks in the Eurozone," Economics Bulletin, AccessEcon, vol. 39(2), pages 1103-1117.
    21. Mogens Bladt & Michael SØrensen, 2009. "Efficient estimation of transition rates between credit ratings from observations at discrete time points," Quantitative Finance, Taylor & Francis Journals, vol. 9(2), pages 147-160.
    22. Guglielmo D’Amico, 2015. "Rate of Occurrence of Failures (ROCOF) of Higher-Order for Markov Processes: Analysis, Inference and Application to Financial Credit Ratings," Methodology and Computing in Applied Probability, Springer, vol. 17(4), pages 929-949, December.
    23. Figlewski, Stephen & Frydman, Halina & Liang, Weijian, 2012. "Modeling the effect of macroeconomic factors on corporate default and credit rating transitions," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 87-105.
    24. Beaver, William H. & Shakespeare, Catherine & Soliman, Mark T., 2006. "Differential properties in the ratings of certified versus non-certified bond-rating agencies," Journal of Accounting and Economics, Elsevier, vol. 42(3), pages 303-334, December.
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