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Citations for "Futures prices as risk-adjusted forecasts of monetary policy"

by Monika Piazzesi & Eric T. Swanson

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  1. Fischer, Andreas M & Ranaldo, Angelo, 2008. "Does FOMC News Increase Global FX Trading?," CEPR Discussion Papers 6753, C.E.P.R. Discussion Papers.
  2. Dominique Guegan & Florian Ielpo, 2008. "Flexible time series models for subjective distribution estimation with monetary policy in view," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00368356, HAL.
  3. Kwapil, Claudia & Scharler, Johann, 2013. "Expected monetary policy and the dynamics of bank lending rates," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 542-551.
  4. Monika Piazzesi & Eric T. Swanson, 2004. "Future prices as risk-adjusted forecasts of monetary policy," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
  5. Yuriy Gorodnichenko & Michael Weber, 2016. "Are Sticky Prices Costly? Evidence from the Stock Market," American Economic Review, American Economic Association, vol. 106(1), pages 165-99, January.
  6. Christopher W. Crowe & S. Mahdi Barakchian, 2010. "Monetary Policy Matters; New Evidence Basedon a New Shock Measure," IMF Working Papers 10/230, International Monetary Fund.
  7. Jinjarak, Yothin, 2014. "Equity prices and financial globalization," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 49-57.
  8. Esteban Rossi-Hansberg & Mark L.J. Wright, 2005. "Firm Size Dynamics in the Aggregate Economy," NBER Working Papers 11261, National Bureau of Economic Research, Inc.
  9. Mordecai Kurz & Maurizio Motolese, 2007. "Diverse Beliefs and Time Variability of Risk Premia," Discussion Papers 06-044, Stanford Institute for Economic Policy Research.
  10. Kim, Don H. & Singleton, Kenneth J., 2012. "Term structure models and the zero bound: An empirical investigation of Japanese yields," Journal of Econometrics, Elsevier, vol. 170(1), pages 32-49.
  11. Michael Weber & Andreas Neuhierl, 2016. "Monetary Policy and the Stock Market: Time-Series Evidence," Working Papers 2016-26, Becker Friedman Institute for Research In Economics.
  12. Giuseppe Ferrero & Andrea Nobili, 2009. "Futures Contract Rates as Monetary Policy Forecasts," International Journal of Central Banking, International Journal of Central Banking, vol. 5(2), pages 109-145, June.
  13. Gabriele Galati & Patrick C. Higgins & Owen F. Humpage & William R. Melick, 2006. "Option prices, exchange market intervention, and the higher moment expectations channel: a user’s guide," Working Paper 0618, Federal Reserve Bank of Cleveland.
  14. Rosa, Carlo & Verga, Giovanni, 2007. "On the consistency and effectiveness of central bank communication: Evidence from the ECB," European Journal of Political Economy, Elsevier, vol. 23(1), pages 146-175, March.
  15. Simon Gilchrist & David López-Salido & Egon Zakrajšek, 2013. "Monetary Policy and Real Borrowing Costs at the Zero Lower Bound," NBER Chapters, in: Lessons from the Financial Crisis for Monetary Policy National Bureau of Economic Research, Inc.
  16. Geert Bekaert & Seonghoon Cho & Antonio Moreno, 2005. "New-Keynesian Macroeconomics and the Term Structure," NBER Working Papers 11340, National Bureau of Economic Research, Inc.
  17. Yunus Aksoy & Henrique S. Basso, 2012. "Liquidity, term spreads and monetary policy," Working Papers 1223, Banco de España;Working Papers Homepage.
  18. Daniel L. Thornton, 2014. "The identification of the response of interest rates to monetary policy actions using market-based measures of monetary policy shocks," Oxford Economic Papers, Oxford University Press, vol. 66(1), pages 67-87, January.
  19. Lapp, John S. & Pearce, Douglas K., 2012. "The impact of economic news on expected changes in monetary policy," Journal of Macroeconomics, Elsevier, vol. 34(2), pages 362-379.
  20. Valerie A. Ramey, 2016. "Macroeconomic Shocks and Their Propagation," NBER Working Papers 21978, National Bureau of Economic Research, Inc.
  21. Severin Bernhard & Till Ebner, 2016. "Cross-border Spillover Effects of Unconventional Monetary Policies on Swiss Asset Prices," Working Papers 2016-09, Swiss National Bank.
  22. Pagano Patrizio & Pisani Massimiliano, 2009. "Risk-Adjusted Forecasts of Oil Prices," The B.E. Journal of Macroeconomics, De Gruyter, vol. 9(1), pages 1-28, June.
  23. Deborah Gefang & Gary Koop & Simon M. Potter, 2010. "Understanding Liquidity and Credit Risks in the Financial Crisis," Working Paper Series 45_10, The Rimini Centre for Economic Analysis.
  24. Carlos Fernando Daza Moreno & Jorge Mario Uribe, 2016. "Efectos de los cambios de la tasa de interés de Estados Unidos sobre Colombia, Perú y Chile," REVISTA DE ECONOMÍA DEL CARIBE 014794, UNIVERSIDAD DEL NORTE.
  25. Hausman, Joshua & Wongswan, Jon, 2011. "Global asset prices and FOMC announcements," Journal of International Money and Finance, Elsevier, vol. 30(3), pages 547-571, April.
  26. Guidolin, Massimo & Timmermann, Allan, 2009. "Forecasts of US short-term interest rates: A flexible forecast combination approach," Journal of Econometrics, Elsevier, vol. 150(2), pages 297-311, June.
  27. James D. Hamilton & Seth Pruitt & Scott C. Borger, 2009. "The market-perceived monetary policy rule," International Finance Discussion Papers 982, Board of Governors of the Federal Reserve System (U.S.).
  28. Chris Florackis & Alexandros Kontonikas & Alexandros Kostakis, 2010. "Transmission of macro-liquidity shocks to liquidity-sorted stock portfolios’ returns: The role of the financial crisis," Working Papers 2011_22, Business School - Economics, University of Glasgow, revised Apr 2011.
  29. Baumeister, Christiane & Kilian, Lutz, 2014. "A general approach to recovering market expectations from futures prices with an application to crude oil," CFS Working Paper Series 466, Center for Financial Studies (CFS).
  30. Brenner, Menachem & Pasquariello, Paolo & Subrahmanyam, Marti, 2009. "On the Volatility and Comovement of U.S. Financial Markets around Macroeconomic News Announcements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(06), pages 1265-1289, December.
  31. Anindya Banerjee & Victor Bystrov & Paul Mizen, 2010. "Interest rate pass-through in the major European economies - the role of expectations," Discussion Papers 10-07, Department of Economics, University of Birmingham.
  32. Banerjee, A. & Bystrov, V. & Mizen, P., 2012. "How do anticipated changes to short-term market rates influence banks' retail interest rates? Evidence from the four major euro area economies," Working papers 361, Banque de France.
  33. Hamilton, James D., 2008. "Daily monetary policy shocks and new home sales," Journal of Monetary Economics, Elsevier, vol. 55(7), pages 1171-1190, October.
  34. Campbell, Jeffrey R. & Fisher, Jonas D. M. & Justiniano, Alejandro & Melosi, Leonardo, 2016. "Forward Guidance and Macroeconomic Outcomes Since the Financial Crisis," Working Paper Series WP-2016-7, Federal Reserve Bank of Chicago.
  35. Petra Gerlach-Kristen & Barbara Rudolf, 2010. "Macroeconomic and interest rate volatility under alternative monetary operating procedures," BIS Working Papers 319, Bank for International Settlements.
  36. Eijffinger, Sylvester C W & Mahieu, Ronald J & Raes, Louis, 2011. "Can the Fed talk the hind legs off the stock market?," CEPR Discussion Papers 8450, C.E.P.R. Discussion Papers.
  37. Mark Gertler & Peter Karadi, 2014. "Monetary Policy Surprises, Credit Costs and Economic Activity," NBER Working Papers 20224, National Bureau of Economic Research, Inc.
  38. James D. Hamilton, 2008. "Daily Monetary Policy Shocks and the Delayed Response of New Home Sales," NBER Working Papers 14223, National Bureau of Economic Research, Inc.
  39. Miranda-Agrippino, Silvia, 2016. "Unsurprising shocks: information, premia, and the monetary transmission," Bank of England working papers 626, Bank of England.
  40. Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2016. "Macro Risks and the Term Structure of Interest Rates," NBER Working Papers 22839, National Bureau of Economic Research, Inc.
  41. Sergey V. Chernenko, 2004. "The information content of forward and futures prices: market expectations and the price of risk," International Finance Discussion Papers 808, Board of Governors of the Federal Reserve System (U.S.).
  42. James D. Hamilton, 2009. "Daily Changes in Fed Funds Futures Prices," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(4), pages 567-582, 06.
  43. Marfatia, Hardik A., 2014. "Impact of uncertainty on high frequency response of the U.S. stock markets to the Fed's policy surprises," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(3), pages 382-392.
  44. English, William B. & Van den Heuvel, Skander J. & Zakrajsek, Egon, 2014. "Interest Rate Risk and Bank Equity Valuations," Working Papers 14-05, University of Pennsylvania, Wharton School, Weiss Center.
  45. Berndt, Antje & Yeltekin, Şevin, 2015. "Monetary policy, bond returns and debt dynamics," Journal of Monetary Economics, Elsevier, vol. 73(C), pages 119-136.
  46. Erdemlioglu, Deniz, 2009. "Macro Factors in UK Excess Bond Returns: Principal Components and Factor-Model Approach," MPRA Paper 28895, University Library of Munich, Germany.
  47. Tideman, T. Nicolaus & Plassmann, Florenz, 2010. "Pricing externalities," European Journal of Political Economy, Elsevier, vol. 26(2), pages 176-184, June.
  48. Wingender Asger M, 2011. "Monetary Policy Shocks and Risk Premia in the Interbank Market," The B.E. Journal of Macroeconomics, De Gruyter, vol. 11(1), pages 1-21, January.
  49. Don H Kim & Athanasios Orphanides, 2007. "The bond market term premium: what is it, and how can we measure it?," BIS Quarterly Review, Bank for International Settlements, June.
  50. Menno Middeldorp, 2011. "Central bank transparency, the accuracy of professional forecasts, and interest rate volatility," Staff Reports 496, Federal Reserve Bank of New York.
  51. Valente, Giorgio, 2009. "International interest rates and US monetary policy announcements: Evidence from Hong Kong and Singapore," Journal of International Money and Finance, Elsevier, vol. 28(6), pages 920-940, October.
  52. Rosa, Carlo, 2011. "Words that shake traders," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 915-934.
  53. Hughes Hallett, Andrew & Rannenberg, Ansgar & Schreiber, Sven, 2014. "New Keynesian versus old Keynesian government spending multipliers: A comment," Discussion Papers 2014/6, Free University Berlin, School of Business & Economics.
  54. Eric T. Swanson & John C. Williams, 2012. "Measuring the effect of the zero lower bound on medium- and longer-term interest rates," Working Paper Series 2012-02, Federal Reserve Bank of San Francisco.
  55. Kishor, N. Kundan & Marfatia, Hardik A., 2013. "The time-varying response of foreign stock markets to U.S. monetary policy surprises: Evidence from the Federal funds futures market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 1-24.
  56. 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.
  57. Jonathan Kearns & Phil Manners, 2005. "The Impact of Monetary Policy on the Exchange Rate: A Study Using Intraday Data," RBA Research Discussion Papers rdp2005-02, Reserve Bank of Australia.
  58. Ielpo, Florian & Guégan, Dominique, 2006. "Further evidence on the impact of economic news on interest rates," MPRA Paper 3425, University Library of Munich, Germany, revised Jun 2007.
  59. Tom Engsted & Stig V. Møller & Magnus Sander, 2013. "Bond return predictability in expansions and recessions," CREATES Research Papers 2013-13, Department of Economics and Business Economics, Aarhus University.
  60. Borio, Claudio & Zhu, Haibin, 2012. "Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism?," Journal of Financial Stability, Elsevier, vol. 8(4), pages 236-251.
  61. Glenn D. Rudebusch & Eric T. Swanson & Tao Wu, 2006. "The bond yield "conundrum" from a macro-finance perspective," Working Paper Series 2006-16, Federal Reserve Bank of San Francisco.
  62. Marfatia, Hardik A., 2015. "Monetary policy's time-varying impact on the US bond markets: Role of financial stress and risks," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 103-123.
  63. Rogers, John H. & Scotti, Chiara & Wright, Jonathan H., 2014. "Evaluating Asset-Market Effects of Unconventional Monetary Policy: A Cross-Country Comparison," International Finance Discussion Papers 1101, Board of Governors of the Federal Reserve System (U.S.).
  64. Emi Nakamura & Jón Steinsson, 2013. "High Frequency Identification of Monetary Non-Neutrality: The Information Effect," NBER Working Papers 19260, National Bureau of Economic Research, Inc.
  65. Elena Andreou & Alessandra Pelloni & Marianne Sensier, 2008. "Is Volatility Good for Growth? Evidence from the G7," Centre for Growth and Business Cycle Research Discussion Paper Series 97, Economics, The Univeristy of Manchester.
  66. Kurov, Alexander, 2012. "What determines the stock market's reaction to monetary policy statements?," Review of Financial Economics, Elsevier, vol. 21(4), pages 175-187.
  67. Michael D. Bauer, 2011. "Term premia and the news," Working Paper Series 2011-03, Federal Reserve Bank of San Francisco.
  68. Ippolito, Filippo & Ozdagli, Ali K. & Perez, Ander, 2013. "Is bank debt special for the transmission of monetary policy? Evidence from the stock market," Working Papers 13-17, Federal Reserve Bank of Boston.
  69. Joyce, Michael & Relleen, Jonathan & Sorensen, Steffen, 2008. "Measuring monetary policy expectations from financial market instruments," Bank of England working papers 356, Bank of England.
  70. Ana Sequeira, 2013. "Predicting aggregate returns using valuation ratios out-of-sample," Economic Bulletin and Financial Stability Report Articles, Banco de Portugal, Economics and Research Department.
  71. John H. Cochrane, 2011. "Discount Rates," NBER Working Papers 16972, National Bureau of Economic Research, Inc.
  72. Refet S. Gürkaynak, 2005. "Using federal funds futures contracts for monetary policy analysis," Finance and Economics Discussion Series 2005-29, Board of Governors of the Federal Reserve System (U.S.).
  73. 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.
  74. Alexandros Kontonikas & Paulo Maio & Zivile Zekaite, 2016. "Monetary Policy and Corporate Bond Returns," Working Papers 2016_05, Business School - Economics, University of Glasgow.
  75. M.H. Middeldorp, 2011. "FOMC Communication Policy and the Accuracy of Fed Funds Futures," Working Papers 11-13, Utrecht School of Economics.
  76. David O. Lucca & Francesco Trebbi, 2009. "Measuring Central Bank Communication: An Automated Approach with Application to FOMC Statements," NBER Working Papers 15367, National Bureau of Economic Research, Inc.
  77. Refet Gürkaynak & Brian P. Sack & Eric T. Swanson, 2004. "Do actions speak louder than words? the response of asset prices to monetary policy actions and statements," Finance and Economics Discussion Series 2004-66, Board of Governors of the Federal Reserve System (U.S.).
  78. Lucio Sarno & Daniel L. Thornton & Giorgio Valente, 2005. "The empirical failure of the expectations hypothesis of the term structure of bond yields," Working Papers 2003-021, Federal Reserve Bank of St. Louis.
  79. Rosa, Carlo, 2014. "The high-frequency response of energy prices to U.S. monetary policy: Understanding the empirical evidence," Energy Economics, Elsevier, vol. 45(C), pages 295-303.
  80. Glenn D. Rudebusch & Eric T. Swanson, 2008. "The bond premium in a DSGE model with long-run real and nominal risks," Working Paper Research 143, National Bank of Belgium.
  81. Michael F. Gallmeyer & Burton Hollifield, 2005. "Taylor Rules, McCallum Rules and the Term Structure of Interest Rates," 2005 Meeting Papers 676, Society for Economic Dynamics.
  82. Laeven, Luc & Tong, Hui, 2012. "US monetary shocks and global stock prices," Journal of Financial Intermediation, Elsevier, vol. 21(3), pages 530-547.
  83. Kenneth B. Petersen & Vladimir Pozdnyakov, 2008. "Predicting the Fed," Working papers 2008-07, University of Connecticut, Department of Economics.
  84. Bo Young Chang & Bruno Feunou, 2013. "Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility," Staff Working Papers 13-37, Bank of Canada.
  85. James D. Hamilton, 2008. "Assessing monetary policy effects using daily federal funds futures contracts," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 377-394.
  86. Rosa, Carlo, 2013. "Market efficiency broadcasted live: ECB code words and euro exchange rates," Journal of Macroeconomics, Elsevier, vol. 38(PB), pages 167-178.
  87. Christensen, Jens H.E. & Rudebusch, Glenn D., 2013. "Modeling yields at the zero lower bound: are shadow rates the solution?," Working Paper Series 2013-39, Federal Reserve Bank of San Francisco.
  88. Refet S. Gürkaynak & Brian P. Sack & Eric T. Swanson, 2002. "Market-based measures of monetary policy expectations," Finance and Economics Discussion Series 2002-40, Board of Governors of the Federal Reserve System (U.S.).
  89. Carlo Rosa, 2008. "Talking less and moving the market more: is this the recipe for monetary policy effectiveness?: evidence from the ECB and the Fed," LSE Research Online Documents on Economics 19629, London School of Economics and Political Science, LSE Library.
  90. Refet S. Gürkaynak & Andrew T. Levin & Eric T. Swanson, 2006. "Does inflation targeting anchor long-run inflation expectations? evidence from long-term bond yields in the U.S., U.K., and Sweden," Working Paper Series 2006-09, Federal Reserve Bank of San Francisco.
  91. James D. Hamilton & Seth Pruitt & Scott Borger, 2010. "Estimating the Market-Perceived Monetary Policy Rule," NBER Working Papers 16412, National Bureau of Economic Research, Inc.
  92. Renne, Jean-Paul, 2016. "A tractable interest rate model with explicit monetary policy rates," European Journal of Operational Research, Elsevier, vol. 251(3), pages 873-887.
  93. Barakchian, S. Mahdi & Crowe, Christopher, 2013. "Monetary policy matters: Evidence from new shocks data," Journal of Monetary Economics, Elsevier, vol. 60(8), pages 950-966.
  94. Michael Weber & Ali Ozdagli, 2016. "Monetary Policy Through Production Networks: Evidence from the Stock Market," 2016 Meeting Papers 148, Society for Economic Dynamics.
  95. Basak, Suleyman & Croitoru, Benjamin, 2006. "On the role of arbitrageurs in rational markets," Journal of Financial Economics, Elsevier, vol. 81(1), pages 143-173, July.
  96. Selva Demiralp & Kamil Yilmaz, 2009. "Asymmetric Response to Monetary Policy Surprises at the Long-End of the Yield Curve," Koç University-TUSIAD Economic Research Forum Working Papers 0914, Koc University-TUSIAD Economic Research Forum.
  97. Wang, Shen & Mayes, David G., 2012. "Monetary policy announcements and stock reactions: An international comparison," The North American Journal of Economics and Finance, Elsevier, vol. 23(2), pages 145-164.
  98. Eric Swanson, 2013. "Implications of Labor Market Frictions for Risk Aversion and Risk Premia," 2013 Meeting Papers 1137, Society for Economic Dynamics.
  99. Carlo Rosa, 2013. "The high-frequency response of energy prices to monetary policy: understanding the empirical evidence," Staff Reports 598, Federal Reserve Bank of New York.
  100. Gregory H. Bauer & Clara Vega, 2004. "The Monetary Origins of Asymmetric Information in International Equity Markets," Staff Working Papers 04-47, Bank of Canada.
  101. Magnus, Jan R. & Vasnev, Andrey L., 2015. "Interpretation and use of sensitivity in econometrics, illustrated with forecast combinations," International Journal of Forecasting, Elsevier, vol. 31(3), pages 769-781.
  102. Andrea Monticini & David Peel & Giacomo Vaciago, 2010. "The Impact of ECB and FED announcements on the Euro Interest Rates," DEP - series of economic working papers 2/2010, University of Genoa, Research Doctorate in Public Economics.
  103. Marco Casiraghi & Marcello Miccoli, 2015. "Risk-adjusted expectations of inflation," Questioni di Economia e Finanza (Occasional Papers) 286, Bank of Italy, Economic Research and International Relations Area.
  104. John Driffill & Zeno Rotondi, 2007. "Inertia in Taylor Rules," Birkbeck Working Papers in Economics and Finance 0720, Birkbeck, Department of Economics, Mathematics & Statistics.
  105. Andrew J Swiston, 2007. "Where Have the Monetary Surprises Gone? The Effects of FOMC Statements," IMF Working Papers 07/185, International Monetary Fund.
  106. Giuseppe Ferrero & Andrea Nobili, 2008. "Short-term interest rate futures as monetary policy forecasts," Temi di discussione (Economic working papers) 681, Bank of Italy, Economic Research and International Relations Area.
  107. Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2010. "Countercyclical Currency Risk Premia," NBER Working Papers 16427, National Bureau of Economic Research, Inc.
  108. Christoffel, Kai & Jaccard, Ivan & Kilponen, Juha, 2013. "Welfare and bond pricing implications of fiscal stabilization policies," Research Discussion Papers 32/2013, Bank of Finland.
  109. Ali K. Ozdagli & Yifan Yu, 2012. "Monetary shocks and stock returns: identification through the impossible trinity," Working Papers 12-18, Federal Reserve Bank of Boston.
  110. 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.
  111. Sydney C. Ludvigson & Serena Ng, 2009. "A Factor Analysis of Bond Risk Premia," NBER Working Papers 15188, National Bureau of Economic Research, Inc.
  112. Yosra Baaziz, 2015. "Estimating Interest Rate Setting Behavior in Brazil: A LSTR Model Approach," Economies, MDPI, Open Access Journal, vol. 3(2), pages 55, April.
  113. Kurz, Mordecai & Motolese, Maurizio, 2006. "Risk Premia, diverse belief and beauty contests," MPRA Paper 247, University Library of Munich, Germany.
  114. Özer Karagedikli & Pierre L. Siklos, 2008. "Explaining Movements in the NZ Dollar - Central Bank Communication and the Surprise Element in Monetary Policy?," Reserve Bank of New Zealand Discussion Paper Series DP2008/02, Reserve Bank of New Zealand.
  115. Meredith Beechey & Pär Österholm, 2014. "Policy interest-rate expectations in Sweden: a forecast evaluation," Applied Economics Letters, Taylor & Francis Journals, vol. 21(14), pages 984-991, September.
  116. Andrea Monticini & Giacomo Vaciago, 2007. "Are Euro Interest Rates led by FED Announcements?," Money Macro and Finance (MMF) Research Group Conference 2006 16, Money Macro and Finance Research Group.
  117. Carlo Altavilla & Raffaella Giacomini & Riccardo Costantini, 2014. "Bond Returns and Market Expectations," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 12(4), pages 708-729.
  118. Jean-Sébastien Fontaine, 2012. "Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy," Staff Working Papers 12-41, Bank of Canada.
  119. Ghent, Andra, 2007. "Why do markets react badly to good news? Evidence from Fed Funds Futures," MPRA Paper 1708, University Library of Munich, Germany.
  120. John B. Carlson & Ben R. Craig & William R. Melick, 2005. "Recovering market expectations of FOMC rate changes with options on federal funds futures," Working Paper 0507, Federal Reserve Bank of Cleveland.
  121. Pennings, Steven & Ramayandi, Arief & Tang, Hsiao Chink, 2011. "The Impact of Monetary Policy on Financial Markets in Small Open Economies: More or Less Effective During the Global Financial Crisis?," Working Papers on Regional Economic Integration 72, Asian Development Bank.
  122. William R. Emmons & Aeimit K. Lakdawala & Christopher J. Neely, 2006. "What are the odds? option-based forecasts of FOMC target changes," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 543-562.
  123. 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.
  124. Refet S. Gürkaynak & Jonathan H. Wright, 2012. "Macroeconomics and the Term Structure," Journal of Economic Literature, American Economic Association, vol. 50(2), pages 331-67, June.
  125. Kjellberg, David, 2006. "Measuring Expectations," Working Paper Series 2006:9, Uppsala University, Department of Economics.
  126. Ozdagli, Ali K., 2014. "Financial frictions and the reaction of stock prices to monetary policy shocks," Working Papers 14-6, Federal Reserve Bank of Boston.
  127. Michał Markun & Anna Mospan, 2015. "Stationarity and persistence of the term premia in the Polish money market," National Bank of Poland Working Papers 227, National Bank of Poland, Economic Institute.
  128. Fatum, Rasmus & Scholnick, Barry, 2008. "Monetary policy news and exchange rate responses: Do only surprises matter?," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1076-1086, June.
  129. Bredin, Don & Hyde, Stuart & Reilly, Gerard O., 2010. "Monetary policy surprises and international bond markets," Journal of International Money and Finance, Elsevier, vol. 29(6), pages 988-1002, October.
  130. 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.
  131. Peter Hördahl, 2008. "The inflation risk premium in the term structure of interest rates," BIS Quarterly Review, Bank for International Settlements, September.
  132. Brent Bundick, 2007. "Do federal funds futures need adjustment for excess returns? a state-dependent approach," Research Working Paper RWP 07-08, Federal Reserve Bank of Kansas City.
  133. James D. Hamilton, 2007. "Assessing Monetary Policy Effects Using Daily Fed Funds Futures Contracts," NBER Working Papers 13569, National Bureau of Economic Research, Inc.
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