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Citations for "The excess sensitivity of long-term interest rates: evidence and implications for macroeconomic models"

by Refet S. Gürkaynak & Brian P. Sack & Eric T. Swanson

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  1. Christoph Moser & Axel Dreher, 2010. "Do Markets Care about Central Bank Governor Changes? Evidence from Emerging Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(8), pages 1589-1612, December.
  2. Geert Bekaert & Seonghoon Cho & Antonio Moreno, 2010. "New Keynesian Macroeconomics and the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(1), pages 33-62, 02.
  3. Kevin L. Kliesen & Frank A. Schmid, 2006. "Macroeconomic news and real interest rates," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 133-144.
  4. Capistrán, Carlos, 2008. "Bias in Federal Reserve inflation forecasts: Is the Federal Reserve irrational or just cautious?," Journal of Monetary Economics, Elsevier, vol. 55(8), pages 1415-1427, November.
  5. Wei Xiong & Hongjun Yan, 2010. "Heterogeneous Expectations and Bond Markets," Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1433-1466, April.
  6. Gavin, William T. & Kydland, Finn E. & Pakko, Michael R., 2007. "Monetary policy, taxes, and the business cycle," Journal of Monetary Economics, Elsevier, vol. 54(6), pages 1587-1611, September.
  7. Isela Elizabeth Téllez León & Francisco Venegas Martínez, 2013. "Principales determinantes en las decisiones de política monetaria de México: un análisis econométrico," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 28(1), pages 79-108.
  8. Athanasios Orphanides & John C. Williams, 2005. "Inflation scares and forecast-based monetary policy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 498-527, April.
  9. Meredith J. Beechey, 2006. "A closer look at the sensitivity puzzle: the sensitivity of expected future short rates and term premia to macroeconomic news," Finance and Economics Discussion Series 2007-06, Board of Governors of the Federal Reserve System (U.S.).
  10. Ranaldo, Angelo & Rossi, Enzo, 2010. "The reaction of asset markets to Swiss National Bank communication," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 486-503, April.
  11. Piazzesi, Monika & Swanson, Eric T., 2008. "Futures prices as risk-adjusted forecasts of monetary policy," Journal of Monetary Economics, Elsevier, vol. 55(4), pages 677-691, May.
  12. Glenn D. Rudebusch & John C. Williams, 2008. "Revealing the Secrets of the Temple: The Value of Publishing Central Bank Interest Rate Projections," NBER Chapters,in: Asset Prices and Monetary Policy, pages 247-289 National Bureau of Economic Research, Inc.
  13. Refet S. Gürkaynak & Andrew T. Levin & Andrew N. Marder & Eric T. Swanson, 2007. "Inflation Targeting and the Anchoring of Inflation Expectations in the Western Hemisphere," Central Banking, Analysis, and Economic Policies Book Series,in: Frederic S. Miskin & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Se (ed.), Monetary Policy under Inflation Targeting, edition 1, volume 11, chapter 11, pages 415-465 Central Bank of Chile.
  14. Jagjit Chadha & Sean Holly, 2006. "Macroeconomic Models and the Yield Curve," Computing in Economics and Finance 2006 105, Society for Computational Economics.
  15. Christiano, Lawrence & Motto, Roberto & Rostagno, Massimo, 2007. "Shocks, structures or monetary policies? The euro area and US after 2001," Working Paper Series 774, European Central Bank.
  16. 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.
  17. Francis X. Diebold & Glenn D. Rudebusch & S. Boragan Aruoba, 2003. "The macroeconomy and the yield curve: a nonstructural analysis," Working Paper Series 2003-18, Federal Reserve Bank of San Francisco.
  18. Kozicki, Sharon & Tinsley, P.A., 2005. "Permanent and transitory policy shocks in an empirical macro model with asymmetric information," Journal of Economic Dynamics and Control, Elsevier, vol. 29(11), pages 1985-2015, November.
  19. Peter N. Ireland, 2007. "Changes in the Federal Reserve's Inflation Target: Causes and Consequences," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(8), pages 1851-1882, December.
  20. Faust, Jon & Rogers, John H. & Wang, Shing-Yi B. & Wright, Jonathan H., 2007. "The high-frequency response of exchange rates and interest rates to macroeconomic announcements," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1051-1068, May.
  21. Kenneth N. Kuttner & Adam S. Posen, 2010. "Do Markets Care Who Chairs the Central Bank?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(2-3), pages 347-371, 03.
  22. Giorgio Valente, 2005. "US Monetary Policy Announcements and the Term Structure of Interest Rate Differentials: Evidence from Hong Kong and Singapore," Working Papers 092005, Hong Kong Institute for Monetary Research.
  23. Gürkaynak, Refet S. & Levin, Andrew & Swanson, Eric T, 2006. "Does Inflation Targeting Anchor Long-Run Inflation Expectations? Evidence from Long-Term Bond Yields in the US, UK and Sweden," CEPR Discussion Papers 5808, C.E.P.R. Discussion Papers.
  24. Sarno, Lucio & Thornton, Daniel L. & Valente, Giorgio, 2007. "The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(01), pages 81-100, March.
  25. Beechey, Meredith J. & Wright, Jonathan H., 2009. "The high-frequency impact of news on long-term yields and forward rates: Is it real?," Journal of Monetary Economics, Elsevier, vol. 56(4), pages 535-544, May.
  26. Fair, Ray C., 2007. "Evaluating Inflation Targeting Using a Macroeconometric Model," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 1, pages 1-52.
  27. James H. Stock & Mark W. Watson, 2003. "Has the business cycle changed?," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 9-56.
  28. Kozicki, Sharon & Tinsley, P.A., 2005. "What do you expect? Imperfect policy credibility and tests of the expectations hypothesis," Journal of Monetary Economics, Elsevier, vol. 52(2), pages 421-447, March.
  29. Campbell, Sean D. & Sharpe, Steven A., 2009. "Anchoring Bias in Consensus Forecasts and Its Effect on Market Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(02), pages 369-390, April.
  30. David G. Blanchflower & Conall MacCoille, 2009. "The formation of inflation expectations: an empirical analysis for the UK," NBER Working Papers 15388, National Bureau of Economic Research, Inc.
  31. Janet L. Yellen, 2006. "Enhancing Fed credibility," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue mar17.
  32. Kevin L. Kliesen & Frank A. Schmid, 2004. "Do productivity growth, budget deficits, and monetary policy actions affect real interest rates? evidence from macroeconomic announcement data," Working Papers 2004-019, Federal Reserve Bank of St. Louis.
  33. Kim, Don H. & Orphanides, Athanasios, 2012. "Term Structure Estimation with Survey Data on Interest Rate Forecasts," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(01), pages 241-272, April.
  34. Douglas Laxton & Charles Freedman, 2009. "It Framework Design Parameters," IMF Working Papers 09/87, International Monetary Fund.
  35. Beechey, Meredith, 2004. "Excess Sensitivity and Volatility of Long Interest Rates: The Role of Limited Information in Bond Markets," Working Paper Series 173, Sveriges Riksbank (Central Bank of Sweden).
  36. Stefania D'Amico & Don H. Kim & Min Wei, 2008. "Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices," Finance and Economics Discussion Series 2008-30, Board of Governors of the Federal Reserve System (U.S.).
  37. Linda S. Goldberg & Michael W. Klein, 2005. "Establishing Credibility: Evolving Perceptions of the European Central Bank," NBER Working Papers 11792, National Bureau of Economic Research, Inc.
  38. Sujit Kapadia, 2005. "Inflation-Target Expectations and Optimal Monetary Policy," Money Macro and Finance (MMF) Research Group Conference 2005 81, Money Macro and Finance Research Group.
  39. Andrew Ang & Geert Bekaert & Min Wei, 2008. "The Term Structure of Real Rates and Expected Inflation," Journal of Finance, American Finance Association, vol. 63(2), pages 797-849, 04.
  40. GlennD. Rudebusch & Tao Wu, 2008. "A Macro-Finance Model of the Term Structure, Monetary Policy and the Economy," Economic Journal, Royal Economic Society, vol. 118(530), pages 906-926, 07.
  41. Christensen, Ian & Frédéric Dion & Christopher Reid, 2004. "Real Return Bonds, Inflation Expectations, and the Break-Even Inflation Rate," Staff Working Papers 04-43, Bank of Canada.
  42. Monika Piazzesi & Martin Schneider, 2007. "Equilibrium Yield Curves," NBER Chapters,in: NBER Macroeconomics Annual 2006, Volume 21, pages 389-472 National Bureau of Economic Research, Inc.
  43. Athanasios Orphanides & John C. Williams, 2007. "Inflation Targeting under Imperfect Knowledge," Central Banking, Analysis, and Economic Policies Book Series,in: Frederic S. Miskin & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Se (ed.), Monetary Policy under Inflation Targeting, edition 1, volume 11, chapter 4, pages 077-123 Central Bank of Chile.
  44. James A. Clouse, 2004. "Reading the minds of investors: an empirical term structure model for policy analysis," Finance and Economics Discussion Series 2004-64, Board of Governors of the Federal Reserve System (U.S.).
  45. Linda S. Goldberg & Christian Grisse, 2013. "Time variation in asset price responses to macro announcements," Staff Reports 626, Federal Reserve Bank of New York.
  46. Glenn D. Rudebusch & Eric T. Swanson, 2012. "The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks," American Economic Journal: Macroeconomics, American Economic Association, vol. 4(1), pages 105-143, January.
  47. Queijo von Heideken, Virginia, 2008. "Monetary Policy Regimes and the Volatility of Long-Term Interest Rates," Working Paper Series 220, Sveriges Riksbank (Central Bank of Sweden).
  48. Glenn D. Rudebusch & Eric T. Swanson & Tao Wu, 2006. "The Bond Yield "Conundrum" from a Macro-Finance Perspective," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 24(S1), pages 83-109, December.
  49. Joshua D. Angrist & Òscar Jordà & Guido Kuersteiner, 2013. "Semiparametric Estimates of Monetary Policy Effects: String Theory Revisited," NBER Working Papers 19355, National Bureau of Economic Research, Inc.
  50. Mamun, Abdullah & Hassan, M. Kabir, 2014. "What explains the lack of monetary policy influence on bank holding companies?," Review of Financial Economics, Elsevier, vol. 23(4), pages 227-235.
  51. John C Williams, 2004. "Discussion of 'A Snapshot of Inflation Targeting in its Adolescence'," RBA Annual Conference Volume,in: Christopher Kent & Simon Guttmann (ed.), The Future of Inflation Targeting Reserve Bank of Australia.
  52. Kosuke Aoki & Takeshi Kimura, 2008. "Central Bank's Two-Way Communication with the Public and Inflation Dynamics," CEP Discussion Papers dp0899, Centre for Economic Performance, LSE.
  53. Willem Thorbecke & Hanjiang Zhang, 2009. "Monetary Policy Surprises and Interest Rates: Choosing between the Inflation-Revelation and Excess Sensitivity Hypotheses," Southern Economic Journal, Southern Economic Association, vol. 75(4), pages 1114-1122, April.
  54. Linda S. Goldberg & Michael W. Klein, 2011. "Evolving Perceptions of Central Bank Credibility: The European Central Bank Experience," NBER International Seminar on Macroeconomics, University of Chicago Press, vol. 7(1), pages 153-182.
  55. Laxton, Douglas & N'Diaye, Papa & Pesenti, Paolo, 2006. "Deflationary shocks and monetary rules: An open-economy scenario analysis," Journal of the Japanese and International Economies, Elsevier, vol. 20(4), pages 665-698, December.
  56. William T Gavin, 2007. "Recent Developments in Monetary Macroeconomics and US Dollar Policy," The IUP Journal of Monetary Economics, IUP Publications, vol. 0(3), pages 49-56, August.
  57. Alexius, Annika & Welz, Peter, 2006. "Can a time-varying equilibrium real interest rate explain the excess sensitivity puzzle?," Working Paper Series 2006:20, Uppsala University, Department of Economics.
  58. Gorodnichenko, Yuriy & Shapiro, Matthew D., 2007. "Monetary policy when potential output is uncertain: Understanding the growth gamble of the 1990s," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1132-1162, May.
  59. Diebold, Francis X. & Rudebusch, Glenn D. & Borag[caron]an Aruoba, S., 2006. "The macroeconomy and the yield curve: a dynamic latent factor approach," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 309-338.
  60. Bedri Kamil Onur Tas & Selahattin Togay, 2008. "Optimal Monetary Policy for Postwar Iraq," Working Papers 0813, TOBB University of Economics and Technology, Department of Economics.
  61. Kevin L. Kliesen & Frank A. Schmid, 2004. "Monetary policy actions, macroeconomic data releases, and inflation expectations," Review, Federal Reserve Bank of St. Louis, issue May, pages 9-22.
  62. Jakas, Vicente, 2011. "Theory and empirics of an affine term structure model applied to European data," MPRA Paper 36029, University Library of Munich, Germany.
  63. Francis E. Warnock & Veronica C. Warnock, 2005. "International Capital Flows and U.S. Interest Rates," The Institute for International Integration Studies Discussion Paper Series iiisdp103, IIIS.
  64. Michel Juillard & Ondrej Kamenik & Michael Kumhof & Douglas Laxton, 2006. "Measures of Potential Output from an Estimated DSGE Model of the United States," Working Papers 2006/11, Czech National Bank, Research Department.
  65. Christiano, Lawrence & Motto, Roberto & Rostagno, Massimo, 2008. "Shocks, structures or monetary policies? The Euro Area and US after 2001," Journal of Economic Dynamics and Control, Elsevier, vol. 32(8), pages 2476-2506, August.
  66. Robert L. Hetzel, 2006. "Making the systematic part of monetary policy transparent," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 255-290.
  67. Bedri Kamil Onur Tas, 2007. "Inflation Targeting as a Signalling Mechanism," Working Papers 0701, TOBB University of Economics and Technology, Department of Economics.
  68. Chadha, Jagjit S. & Holly, Sean, 2010. "Macroeconomic models and the yield curve: An assessment of the fit," Journal of Economic Dynamics and Control, Elsevier, vol. 34(8), pages 1343-1358, August.
  69. Lavan Mahadeva, 2007. "A model of market surprises," Bank of England working papers 327, Bank of England.
  70. Bedri Kamil Onur Tas, 2014. "Why is Inflation Targeting Successful?: Analysis of Inflation Target Transparency," EcoMod2014 6725, EcoMod.
  71. Refet S. Gürkaynak & Brian Sack & Eric Swanson, 2005. "The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models," American Economic Review, American Economic Association, vol. 95(1), pages 425-436, March.
  72. Todd E. Clark & Troy A. Davig, 2008. "An empirical assessment of the relationships among inflation and short- and long-term expectations," Research Working Paper RWP 08-05, Federal Reserve Bank of Kansas City.
  73. Gabriele Galati & Peter Heemeijer & Richhild Moessner, 2011. "How do inflation expectations form? New insights from a high-frequency survey," DNB Working Papers 283, Netherlands Central Bank, Research Department.
  74. Stefano Eusepi, 2005. "Central bank transparency under model uncertainty," Staff Reports 199, Federal Reserve Bank of New York.
  75. Reeves, Rachel & Sawicki, Michael, 2007. "Do financial markets react to Bank of England communication?," European Journal of Political Economy, Elsevier, vol. 23(1), pages 207-227, March.
  76. Sharon Kozicki & Gordon H. Sellon, 2005. "Longer-term perspectives on the yield curve and monetary policy," Economic Review, Federal Reserve Bank of Kansas City, issue Q IV, pages 5-33.
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